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1992
Profit Factor, Rate of Return, Risk, Underwriting Cycle, New/Renewal Analysis
1992
The security of a reinsurer is important not only in selecting reinsurance, but must also be monitored continuously to assure continued collectibility. Both from a statutory accounting viewpoint and long-term solvency viewpoint, actuaries are becoming increasingly responsible for informing management of the security of the company’s reinsurance.
1992
Provides an overview of European Dynamic Solvency Models.
1992
The approximation of the individual risk model by a compound Poisson model plays an important role in computational risk theory.
1992
LOB-Auto Liability/Premium Analysis/Regulation
1992
The uncertainties normally associated with the reserving process are even greater when dealing with potential claims arising from exposure to asbestos, lead, radon or other hazardous materials. Toxic waste sites and leaking storage tanks also present unique loss reserving problems. It is extremely difficult if not impossible for an insurer or self-insurer to project their potential liabilities due to environmental type exposures.
1992
Data Administration Including Warehousing & Design (general or introductory)
1992
Loss reserving techniques generally have the implied assumption that perfect data exists. In practice, this assumption is rarely the case. This seminar will explore data issues in terms of identification of problems and possible adjustments, external audit procedures and responsibilities of both the actuary and the auditor. Actual examples of problems and solutions will be discussed.
1992
Data Administration Including Warehousing & Design (general or introductory)
1992
The paper examines a type of insurance contract for which secondary markets do exist, default risk insurance is implicit m corporate bonds and other risky debts It applies risk neutral martingale measure pricing to evaluate the option for a borrower with default risk, to prepay a fixed rate loan A simple "matchbox" example ~s presented with a spreadsheet treatment.
KEYWORDS C-I risk; C-3 risk; credit risk insurance, default risk; interest rate r
1992
This paper shows that the optimal credibility split between two estimators is related to how well each estimator predicts the underlying experience. First, an equation is shown which expresses the credibility assigned to each estimator in terms of the average prediction error of the other estimator and the average squared difference between the two estimators.
1992
To protect policy holders, healthy insurers need to have adequate loss reserves, strong capital bases and the ongoing ability to generate sufficient earnings to protect and build overall capitalization.
1992
LOB-Auto Physical Damage/LOB-Auto Liability/Territorial Rating
1992
The sensitivity of the ruin probability depending on the claim size distribution has been the topic of several discussion papers in recent ASTIN Bulletins. This discussion was initiated by a question raised by Schmitter at the ASTIN Colloquium 1990 and attempts to make further contributions to this problem. We find the necessary and sufficient conditions for fitting three given moments by diatomic and diexponential distributions.
1992
The primary reserve problem for an insurance company is the determination of an overall reserve estimate. However, it is often necessary that reserve estimates developed at a corporate level be allocated to sub-units of the company. Some common allocation situations involve the distribution of reserves to profit center, to state, or to agent.
1992
In this session, panelists will apply their advanced reserve estimation techniques to the same set of data and compare the results. They will also discuss similarities and possible reasons for different projections from the various approaches.
1992
The Actuarial Standards Board recently issued a Standard of Practice on discounting casualty loss reserves. The development of the Standard took over two years, including two exposure drafts, many response letters, and a public hearing. The presentation will review the numerous complex issues raised in the drafting process, including the positions taken by various respondents and those ultimately adopted in the Standard.
1992
Rodney Kreps's paper contains some useful formulae, and the central idea is an important one. That idea is to determine risk loads by estimating the additional surplus that is required to write an additional contract, and then requiring premium such that the return on additional surplus equals some rate selected by management.
1992
Spring 1992 These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Observations on the California Proposition 103: Debate Over Profitability and Surplus Richard J. Roth Jr. Some Unifying Remarks on Risk Load Philip E. Heckman
1992
A closed form solution is provided for the value of a multiple claim insurance contract that is subject to a deductible amount and an upper limit on claims. The solution is a time integral of European option prices. A model is developed that abstracts from problems of market imperfections, noncompetitiveness, nonobservability, adverse selection, and moral hazard.
