Browse Research
Viewing 4826 to 4850 of 7690 results
1992
Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market â, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in â that is unrelated to size, the relation between market â and average return is flat, even when â is the only explanatory variable.
1992
The expanding role of the casualty actuary is explored in this address. In the field of loss reserving, loss reserve opinions are required for a broader scope, including both gross and net reserves. The emergence of environmental and toxic tort claims presents new types of liabilities for actuaries to deal with.
1992
Required surplus and return on equity (ROE) are of concern to the owners of insurance entities. A comparison of actual to required surplus provides a measure of the security afforded to policyholders. Calculation of ROE for individual segments of an operation can be used to evaluate relative performance. In either case, surplus must be correctly allocated to each business segment.
1992
Over the past two years insurer solvency and the adequacy of the current regulatory process have been the subject of increasing scrutiny by all sectors of the financial and regulatory community. As a result of this concern and attention, several studies have been performed and reported regarding historical insolvency data.
1992
In 1990 the NAIC began a project to establish risk-based capital formulas. This paper shows, how risk can be quantified for setting RBC for property-liability insurers. From an understanding of the general process, rules and methods are formed for practical use, either in regulation or to an insurer’s in-house capital management.
The valuation of policyholders’ security forms the economic basis for the development.
1992
The revisions to Schedule F that could result in a penalty against surplus caused by authorized reinsurers have been in effect since the 1989 Annual Statement. This paper compiles statistics associated with these new penalties as well as the long-standing penalties due to unauthorized reinsurers and analyzes them. The impact the penalties have on companies and in total is measured.
1992
Paul R. Halmos recently hailed the fast Fourier transform as one of the 22 most significant developments in mathematics in the last 75 years. This paper provides an application of this tool to the computation of aggregate loss distributions from arbitrary frequency and severity distributions. All necessary mathematics is developed in the paper, complete algorithms are given, and examples are provided.
1992
The recent insolvency of Executive Life Insurance Company has motivated increased concern about the quality of insurance company assets and the risks associated with those assets. Junk bonds are an asset which was believed by some to provide a relatively high return with minimal risk.
1992
In this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model.
KEYWORDS Probability of ruin; severity of ruin; recursive calculation; finite time; infinite time.
1992
For seven years workers compensation insurance has been in a state of crisis, with combined ratios averaging nearly 120%, a residual market share that has grown form less than 10% to 24% of the total market, and a number of state systems teetering on the verge of catastrophe. Only adequate rates, workers compensation system reforms resulting in cost reductions, or a combination of both will restore this system.
Loss Adjustment Expenses
1992
A modified capital asset pricing model (CAPM) is developed that integrates the markets for financial assets, real assets, and insurance. The proposed model recognizes that investors face not only financial risk from investments in risky assets, but also risk resulting from unpredictable losses on the real assets they hold in their portfolios.
1992
As the length, amplitude and overall uncertainty of the underwriting cycle increases, firm profit and required surplus levels become less predictable. Actuarial pricing techniques commonly target expected returns which are impossible to achieve in the soft market. Market based pricing strategies which will maximize return over the entire cycle are not well understood.
1992
Glenn Meyers has made a valuable contribution to actuarial literature with his well-written paper on how to load increased limits factors (ILFs) for risk. Given the complexity of the topic, he deserves special commendation for his coherent presentation. Meyers clearly states his fundamental assumptions and provide sufficient background for the reader to understand his results in context.
1992
The article outlines standards of practice which apply to the Canadian appointed actuary’s report in financial statements published in accordance with generally accepted accounting principles. The standards of practice describe the content of the actuary’s report, situations where a standard report is appropriate, the standard report, and the drafting of a report with reservations for unusual situations.
1992
Reinsurance Research
1992
Data Collection & Statistical Reporting (narrow focus or advanced)
1992
Messrs. Pinto and Gogol have made a valuable contribution to actuarial literature through their analyses of industry excess loss development patterns. Based upon application of a theoretical model to industry data, the authors have convincingly demonstrated that paid and incurred loss and ALAE development patterns increase significantly as the retention increases.
1992
This paper estimates and compares a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments. The paper finds that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of the interest rate changes to be highly sensitive to the level of the riskless rate.
1992
Insurers accept and manage risk. The insurance market has long sought to measure the operating leverage and risk of various insurers. The premium to surplus ratio and the reserve to surplus rat o are traditional measures of this leverage and risk. This paper examines both the sources of risk to an insurer and how the insurer can reduce that risk. It also examines the effectiveness of various leverage indices.
1992
The allocation of policyholder's surplus is a common element of financial analysis models, including models used in solvency regulation, risk-based capital determinations, profitability calculations and ratemaking. Because the allocation method can significantly affect financial estimates by insurance line, it is important that the selected allocation method be reasonable.
Four allocation methods are tested.
1992
The estimation of outstanding claims is one of the important aspects in the management of the insurance business. Various methods have been widely dealt with in the actuarial literature. Exploration of the inaccuracies involved is traditionally based on a post-facto comparison of the estimates against the actual outcomes of the settled claims.
