Browse Research
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1991
When an insurer accepts risk where the loss may have be incurred in a foreign currency, it is exposed to the additional risk of currency fluctuation. Normal strategies for handling this risk are discussed. A procedure is then outlined whereby entities (insurers, reinsurers, self-insureds, or, specifically in this ease, nuclear insurance pools) can create an automatic, reciprocal reinsurance system which will greatly reduce this risk.
1991
Savings-type policies are one of the most popular non-life insurance products in Japan, but virtually unknown in other countries.
1991
The model introduced may be treated as a mixed two-way analysis of variance with fixed company effects and random time effects. Further, the risk volumes are integrated into the model in such a way that the unexplained variance is inversely proportional to the risk volume of each company. The proposed model is used to analyze loss ratio data from the general insurance market in Kuwait.
1991
At the 1990 ASTIN-colloquium, SCHMITTER posed the problem of finding the extreme values of the ultimate ruin probability in a risk process with initial capital u, fixed safety margin 0, and mean u and variance of the individual claims. This note aims to give some more insight into this problem. Schmitter's conjecture that the maximizing individual claims distribution is always diatomic is disproved by a counterexample.
1991
The coefficients of this polynomial are not determined by equating the lower moments. It is shown that matching these moments does not improve the overall accuracy of the approximation.
1991
H. SCHMITTER describes the following practical background in which the problem arises. The problem of determining bounds for ruin probabilities arises when an insurer decides his reinsurance retentions m order to increase the stability of an account. He may not only choose between various forms of reinsurance (quota share, surplus, excess loss etc.) but he usually combines them in what is called a reinsurance program.
1991
The risk of a major hurricane or earthquake is spread throughout the world by the property catastrophe reinsurance market. This forms a complicated web of contracts with many reinsures reinsuring little pieces of each other’s catastrophe covers. Following Hurricane Alicia in 1983, the market began to notice an anomalous effect called the "London market spiral".
1991
LOB-Workers Comp/General/Regulation
1991
Current actuarial notation permit the calculation of annuities given annual benefit amounts that are consistent or that increase annually by a specified dollar amount. This paper, entitled "The Impact of Inflation on the Theory of Life Contingencies," provides a methodology that can be used to calculate the total value of annuities for which benefits are expected to increase annually by a specified percentage rate.
1991
The purpose of this paper is to briefly describe a system of categorizing the risks to which an insurance company is exposed. The categories have become widely accepted in the life insurance industry. It is not the purpose of this paper to recommend that this system be applied to the property and casualty industry. The purpose is to make casualty actuaries aware of the existence and wide acceptance of these categories.
1991
The credibility of the experience of an individual driver is determined by analyzing the accident records of private passenger drivers. For the particular data set analyzed, the risk parameters were found to be relatively stable over time, resulting in significant credibility being assigned to older years of data.
Keywords: Credibility, LOB-Auto Liability, Individual Risk Rating Plans
1991
Why would a casualty actuary, in his or her right mind, become a regulator?
Maybe there's no good answer for that. But I can tell you this: It's not because the pay is better than in the private sector. It's not for the excitement of attending NAIC meetings at exotic locations throughout the United States.
1991
Insurance Services Office, Inc. (ISO) has adopted a new risk load formula which is to become effective with 1991 advisory increased limits filings. This paper describes the underlying rationale of the new risk load formula.
1991
This is a useful history of the regulatory debate and the financial models that have played a role in it, with an emphasis on the Massachusetts debate, which has acted as a crucible in the forging of new theoretical approaches.
1991
This is a reprint of Allan H. Willett's 1901 Ph.D. dissertation originally published in the Columbia Studies in History, Economics and Public Law. Discusses the nature of risk, classes of risk, the cost of risk, the reward for risk-taking, ways of meeting risk (avoidance, prevention, assumption, distribution of losses, transfer), and insurance. A classic.
1991
Regression models have become standard actuarial tool for analyzing trends in frequency, severity, pure premium, reserves, development factors, and so on. Such analysis often is the basis for estimating future values of these random variables as an important aspect of ratemaking and reserving.
1991
Companies writing reinsurance are involved in the highest risk sector of the property-liability business. Commercial lines and liability exposures, the most difficult lines on a primary basis, are the types of risks most often reinsured. Because of this, the financial standards established for reinsurers should be carefully monitored.
Keywords: Reinsurance Research - Risk Loads, Profitability
1991
Recently the National Council on Compensation Insurance has significantly revised the Experience Rating Plan for Workers' Compensation. The new plan is referred to as the Revised Experience Rating Plan.
1991
Mr. Albert W. Whitney has developed a formula for experience rating which is described in a paper appearing in Volume IV of the Proceedings of the Casualty Actuarial Society. This formula was developed from the standpoint of Workmen's Compensation Insurance, but it has been adapted to other lines, in particular to Group Insurance. Keywords: Exposure Bases
1991
It is shown that there is a connection between rating in automobile insurance and the estimation of IBNR claims amounts because automobile insurance tariffs are mostly cross-classified by at least two variables (e.g. territory and driver class) and IBNR claims run-off triangles are always cross-classified by the two variables accident year and development year.
1991
This paper describes the development and characteristics of a computer system that produces loss development and exposure data that are used in pricing and reserving at the Progressive Insurance Companies. This system does no analysis; it only produces the summary data for analysis.
In writing this, I am assuming that the reader has some familiarity with reserving data and data processing.
