Browse Research
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1991
This paper is intended for an audience that is not wholly familiar with the considerations in dealing with various currencies and addresses the problem from the viewpoint of the London Insurance and Reinsurance Market (London Market).
1991
The insurance industry is becoming more international in its scope, with many companies now doing business in more than one country. This paper explains how to adjust accounting records so that Calendar period underwriting results are stated more accurately. It also explains how to maintain and adjust reserving and pricing data so that it is possible to do a more accurate analysis.
1991
A simple model for IBNR claims is presented. Estimates for the loss reserves and for the ultimate claims rate are derived. Approximations to the mean square error of the estimators are produced. A more specific parametric model is suggested for the case that we deal with claim numbers instead of claim amounts. The general method is illustrated by a practical application to the pricing of a casualty excess of loss cover.
1991
The saddlepoint approximation or Esscher approximation for the total claim distribution is extended from the classical risk model to a number of models considered recently in the literature. Theorems are derived for the validity of the approximation. Key words: compound sum, conjugate distribution, log-concave density, tail probability.
Reinsurance Research - Loss Distributions, Size of
1991
The mean returns for life-health, property-liability, and diversified insurers are compared. Mean returns are compared with and without adjustment for risk. Several measures of risk are used, and both book and market returns are examined. The goal is to assess whether identifiable risk-return strategies existed for investors in each of the 3 insurer groups during the period 1973-1987.
1991
The aggregate claims process is modelled by a process with independent, stationary and nonnegative increments. Such a process is either compound Poisson or else a process with an infinite number of claims in each time interval, for example a gamma process. It is shown how classical risk theory, and in particular ruin theory, can be adapted to this model.
1991
The purpose of this document is to outline the issues surrounding the uncertainty in estimating reserves for losses and loss adjustment expenses for property/casualty insurers (hereinafter labeled "loss reserves") and the appropriateness of presenting this uncertainty in terms of an explicit "risk margin." The particular context is where loss reserves are presented on a present value discounted basis.
This document was prepared by the Committee
1991
The problem of what mortality tables to use for injured worker pension reserves is not a new one for casualty actuaries. A study of this issue appeared in the 1945 PCAS. We looked at the data from that study using computer intensive non-linear regression to model the ratio of injured worker to standard mortality.
The methodology and some of the conclusions may still be applicable today.
1991
A managerial portfolio selection model is presented that analyzes the reinsurance decision of the ceding insurer. Alternative goal functions for management are assumed and then comparative statistics, as well as illustrative numerical examples, are used to develop testable implications concerning the optimal proportional reinsurance retention level for property-liability insurance firms.
1991
Applies arbitrage-free pricing principles to reinsurance pricing. Includes a nice example of stop-loss pricing. Reinsurance Research - Market Dynamics.
1991
In this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.
Keywords Survival probability; finite time; infinite time; recursive calculations; numerical stability.
1991
Before he went on to even greater thespian heights, Dave Skurnick was bound and gagged in Dallas in March, 1989 at the CAS Ratemaking Seminar! In light of the positive reaction of the audience at the time and the timelessness and interest of the theme, I thought it worthwhile to publish this play manuscript belatedly in the Actuarial Forum. There are serious issues forwarded inside the context of the humor.
1991
This paper describes a production-based asset pricing model that uses producers and production functions in the place of consumers and utility functions. This model is used to examine forecasts of stock returns by business-cycle related variables and the association of stock returns with subsequent economic activity
1991
Constraints imposed on premium calculation principles are studied under one aspect of competitive market theory: the impossibility of systematic arbitrage. Principles based on second moments or utility theory are shown to lead to arbitrage possibilities, while some other principles do not.
Reinsurance Research - Pricing/Contract Design
1991
The report represents the first attempt by the actuarial profession to understand the issues involved in many types of latent claims, and it should not be taken as an authoritative statement of fact on these issues. Indeed, one important reason for its publication is to set out our present understanding so that it can be corrected by those with first hand knowledge of the problems.
1991
This paper considers the estimation of claims reserves and outstanding claims when a loglinear model is applied. Unbiased estimators are derived and these are compared with maximum likelihood and actuarial estimators. The set of loglinear models considered includes the commonly used chain ladder model. An example is given illustrating the results for the chain ladder model.
1991
Reinsurance Research - Pricing/Contract Design
1991
The paper introduces bonus/malus systems by briefly describing six of the systems which currently operate in Europe. The systems and their basis of operation vary widely among the six examples given.
Simple spreadsheet models of these six systems are used to illustrate the workings of these systems and the results are compared.
1991
Mortgage Indemnity Guarantee (MIG) Insurance is a class of business which appears to have received relatively little actuarial attention in the past, although it has been transacted for a considerable number of years.
1991
Reinsurance Research - Loss Distributions, Size of
1991
Loss reserve opinions have become one of the most common public pronouncements made by casualty actuaries today. From their introduction in 1980 in a select number of states to sir current requirement as part of the 1990 annual statement instructions, non-life loss reserve opinions have become common place in U.S. insurance markets. However, the role and acceptance of the non-life actuary vary significantly outside the U.S.
1991
In a recent column in the National Underwriter, the new President of the NCCI, Bill Hager, predicted a "meltdown" of the private workers compensation insurance industry within the next two years unless significant changes take place.
