Browse Research
Viewing 4901 to 4925 of 7690 results
1992
In this paper we discuss some properties o f counting distributions whose discrete density satisfies a recursion
1992
In the present paper we study the question of how to allocate the reinsurance premium between the sub-portfolios when an excess of loss treaty is to be shared between several sub-portfolios. Several allocation schemes based on the expected value principle and the standard deviation principle are suggested. The calculations are relatively simple with unlimited free reinstatements.
1992
Profit Factor/Rate of Return/Risk/Solvency/Regulation
1992
This paper describes the history and current status of the NAIC efforts in developing a risk-based capital requirement. The final schedule has not been developed by the NAIC. At the May, 1992, CAS meeting we will provide an update to this material.
1992
A considerable amount of research in the development of methods to evaluate the probability that an insurer will become insolvent has been performed by the British Solvency Working Party and the Finnish Working Patty on solvency. The result of the work of each of these two groups is a comprehensive model which simulates the future cash flows of an insurance company.
1992
This paper describes a technique to find the maximal stop-loss premiums in a given retention for a compound Poisson risk with known parameter, and known mean and variance of the claims. Restricting to an arithmetic and finite support of the claims, one gets an optimization problem of a non-linear function with a computable gradient, under linear constraints.
1992
Actuaries working for smaller companies face loss reserving challenges that may require special techniques. This session will focus on some special situations encountered by “small company” actuaries, including availability of data, data processing support and communication of results to management.
1992
Significant changes in the scope and working of loss reserve opinions were adopted by the NAIC for 1991. Of most importance, the scope of the opinion was expanded to address direct and assumed reserves as well as net reserves.
1992
An IBNR event is one that occurs at a random rate during some fixed exposure interval and incurs a random delay before it is reported. In practical cases, neither the Poisson intensity parameter nor the parameters of the delay distribution are known precisely.
1992
Making accurate estimates of reserve liabilities depends on a clear understanding of the company’s claims settlement environment, the characteristics of the business written, and current and future trends that affect the severity of loss payments. It is important to have a formal mechanism to gather this type of qualitative data to supplement the quantitative data used in analyzing reserves.
1992
The theory of linear filtering of stochastic processes provides continuous time analogues of finite-dimensional linear Bayes estimators known to actuaries as credibility methods. In the present paper a self-contained theory is built for processes of bounded variation, which are of particular relevance to insurance. Two methods for constructing the optimal estimator and its mean squared error are devised.
1992
Reserve values must sometimes be generated at times when a complete reserve analysis may be impractical. For example, a complete reserve evaluation might be done quarterly or semi-annually yet reserve estimates may be needed for monthly financials. This session will discuss techniques useful for estimating reserves at such times.
1992
This paper utilizes two factors (short-term interest rate and volatility of the short-tern interest rate) to develop a term structure.
1992
This paper studies the co-movements of real asset returns, inflation and money growth. The model implies negative correlations between expected asset returns and expected inflation, and it predicts that the inflation-asset return correlation will be more strongly negative when inflation is generated by fluctuations in real economic activity than when it is generated by monetary fluctuations.
1992
The author attempts to provide a set of meaningful predictor and analytic variables to promote future efforts to conduct both solvency surveillance and financial statement analyses of property casualty insurance companies.
1992
GOOVAERTS and DE VYLDER (1983) provided a stable recursive algorithm for calculating the probability of ultimate rum. Their algorithm yielded bounds for this probability It is shown that in practice their method may be inherently unstable because it is based on the subtraction of nearly equal numbers. An alternative to this type of subtraction IS provided. It is proved that their algorithm converges only at a linear rate to the true value.
1992
A survey of methods attempted in the prediction of insurer insolvency, including IRIS tests and rating agency evaluations, and the introduction of some new ones, some using transformed beta distributions.
1992
The ISO excess wind procedure is widely used by many companies. However, it has one major flaw. It depends on the loss history in the state to provide a true representation of the future expected wind experience. The procedure presented here removes this flaw. Modeling is used to augment history to yield more accurate wind expectations.
1992
The main source of industry data for excess loss development comes from the Reinsurance Association of America (RAA). Other sources for excess development include Best’s Reinsurance Loss Reserve Development, ISO, the Pinto/Gogol paper on excess development, and the London Reinsurance Company Market Survey.
