Browse Research
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1991
Mr. Feldblum has written a very interesting paper on the subject of risk loads. I am happy to see more written on this subject. His paper concentrates on risk load in the context of pricing. Because I believe that the risk load in pricing is inextricably linked to the risk margins in reserving, this paper will also add to the literature on that important subject.
Profit Factor/Rate of Return/Risk
1991
Winter 1991 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 Completing and using Schedule P Sholom Feldblum An Actuarial Analysis of the NCCI Revised Experience Rating Plan Howard Mahler
1991
Fall 1991 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
1991
Unexpected stock returns are interpreted by breaking them into components attributable to both news about future returns and news about future dividends. The framework for the analysis is a log-linear approximation to the standard present value formula that is tractable even when expected returns vary though time. The analysis also uses a regression of the stock return, measured over a short period, onto variables known in advance.
1991
Financial pricing models are now widely used in insurance pricing and price regulation. However, most practical applications of these models have not taken into account either the effects of firm capital structure or the differences in financial risk across lines of insurance.
1991
It is well-documented that the rates of return to holding common stocks and bonds are to some extent predictable over time. There is controversy over the source of the predictability. Some authors attribute predictability to market inefficiencies, while others maintain that predictability is the result of changes in the required return.
1991
Insurance Services Office, Inc. (ISO) has adopted a new risk load formula which is to become effective with 1991advisory increased limits filings. This paper describes the underlying rationale of the new risk load formula.
1991
Mr. Feldblum has written a very interesting paper on the subject of risk loads. I am happy to see more written on this subject. His paper concentrates on risk load in the context of pricing. Because I believe that the risk load in pricing is inextricably linked to the risk margins in reserving, this paper will also add to the literature on that important subject. However, I believe that Mr.
1991
The paper studies dynamic reinsurance policies in the continuous Lundberg model, where claims, premiums and interest rates are stochastic processes. The main purpose of the paper is to study th econsequences of arbitrage-free markets for the premium calculation of arbitrary reinsurance contracts like stop loss or excess loss. An explicit formula is derived for the stop-loss contract when the claim process in Compound Poisson.
1991
Much experimental evidence indicates that choice depends on the status quo or reference level: changes of reference point often lead to reversals of preference. We present a reference-dependent theory of consumer choice, which explains such effects by a deformation of indifference curves about the reference point. The central assumption of the theory is that losses and disadvantages have greater impact on preferences than gains an
1991
Constraints imposed on premium calculation principles are studies 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.
1991
This paper assesses the ability of financial statement variables to forecast sensitivities to systematic risk factors generated by a multifactor, macroeconomic forces model. Forecasts of beta derived from financial variables are shown to outperform naive, random walk forecasts, although Bayesian-adjusted betas perform as well as the financial variables model. Coauthors are Michael A. Berry, David W. Harvey, and John R. Page.
1990
The property-liability (P&L) insurance industry uses statutory accounting principles (SAP) for measuring and monitoring solvency, but disputes have arisen concerning differences between SAP and generally accepted accounting principles (GAAP) and their applications to the P&L industry. A study was undertaken to compare the usefulness of 3 different accounting procedures for the prediction of insolvency among P&L insurers: 1.
1990
This paper is a welcome addition to CAS literature on cross-classification ratemaking. This review considers it in the context of other recent work outside the PCAS. Despite the title of the paper, the connection with general linear models does not seem to be the primary emphasis of the paper, and some skepticism about this aspect is voiced.
Keywords: Classifications/Territorial Rating
1990
The paper addresses the problem of estimating future claim payments from the ‘run-off’ of past claim payments. A model of the claim payment process is postulated. Results from risk theory are applied to give a model for the incremental paid claims data by development period. A fitting method is developed which takes account of the error structure of the data implied by the underlying model of the claim payment process.
1990
Chapter headings: Introduction Reinsurance Pricing Reinsurance Loss Reserving Appendices
1990
This paper discusses how to reinsurer prices the commutation of a group of claims. A commutation is when an insurer and a reinsurer agree to settle a group of claims with one payment by the reinsurer when they have not been settled by (or perhaps reported to) the insurer. After discussing the reasons for commutations, an example is used to discuss the after tax interest rate that is used to present value the claims.
1990
Excess-of-loss reinsurance contracts often contain loss sharing provisions, such as aggregate deductibles, loss ratio caps or limited reinstatements, and loss corridor provisions. They also frequently contain adjustable premium or commission features, such as retrospective rating plans, profit commission plans, and sliding scale commission plans. Pro rata treaties frequently contain adjustable commission features.
