Browse Research
Viewing 5276 to 5300 of 7690 results
1989
Summarizes the collective risk model and ways to compute aggregate loss distributions. Considers parameter uncertainty and provides a bibliography concerning stochastic approaches to reserve estimation.
Abstract:
The intent of this paper is to present an introduction to Collective Risk Theory for the first time reader and considerations in applying that theory to estimate variability in loss reserves.
1989
The purpose of this statement of principles is to identify and describe principles applicable to property and casualty valuations and appraisals. The statement establishes fundamental concepts for research and education regarding valuation techniques. The principles in the statement provide the foundation for actuarial procedures and standards of practice regarding valuations.
1989
This paper is an introduction to the actuarial analysis of surety reserves. Its main goal is to help students and those new to surety business appreciate fundamental considerations and properly recognize these considerations in the determination and evaluation of reserves.
1989
A statistical analysis is performed on natural events which can produce important damages to insurers. The analysis is based on hurricanes which have been observed in the United States between 1954 et 1986. At first, independence between the number and the amount of the losses is examined. Different distributions (Poisson and negative binomial for frequency and exponential, Pareto, and lognormal for severity) are tested.
1989
The liquidation of an insolvent reinsurer is traditionally a very long and frustrating process. This is the result of the need to wait for all of the claims (insurance and otherwise) in the liquidation to crystallize before the residual assets of the insolvent reinsurer may be distributed. The most significant cause of delay is the time required for the reinsured claims to be settled and paid by the ceding companies.
1989
Fall 1989 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 Toward A Certain Equivalent Discounted Cash Flow Model Don Cunningham Easier Algorithms For Aggregate Excess Gary Venter
1989
Spring 1989 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 1959 Presidential Address Exposure Bases Revisited Amy Bouska Involuntary Markets Commercial Automobile Mark Homan
1989
This paper values a contingent claim to discrete stochastic cash flows generated by a Poisson arrival process with a randomly varying intensity parameter. In the most general case, both the size and the arrival intensity of cash flows may correlate with state variables in a continuous time economy.
1989
This paper contains a review and synthesis of the theoretical research that has examined the corporate determinants of systematic risk (beta). By delineating the underlying assumptions and by using a consistent notation to summarize the results, this review is designed to facilitate the beta assessment efforts of financial managers, investment analysts, and academic researchers.
1989
Insurance guaranty funds charge flat premium rates, normally a percentage of premiums. Flat premiums can encourage insurers to adopt high-risk strategies, a problem that can be avoided through the use of risk-based premiums. Risk-based premium formulas are developed for 3 cases: 1. an ongoing insurer with stochastic assets and liabilities, 2. an ongoing insurer also subject to jumps in liabilities (catastrophes), and 3.
1989
This is the second of two volumes of the proceedings of the First International Conference on Insurance Solvency held at the Wharton School, University of Pennsylvania. The papers presented at the Conference are published in two volumes, this book, and a companion volume, Classical insurance Solvency Theory, J.D. Cummins and R.A. Derrig, eds. (Norwell, MA: Kluwer Academic Publishers, 1988).
1989
In the past, the determination of appropriate solvency levels for U.S. companies writing major property-liability insurance lines took a decidedly non-analytic approach. Verbal persuasion, reinforced by continual empirical observation, allowed for the dominance of the so-called Kenney Rules for the determination of an appropriate level of financial assets, relative to premiums written, as the required solvency level.
1989
The issues of whether the expected returns on bonds and stocks move together and whether the variation in expected bond and stock returns is related to business conditions are examined. Value- and equal-weighted portfolios of New York Stock Exchange stocks and a sample of monthly bond returns and yields for the period 1926-1987 are used.
1988
The paper "Insurance Rates with Minimum Bias" by Robert A. Bailey [3] presents a methodology which is used by a large number of Canadian casualty actuaries to determine class and driving record differentials. In his paper, Bailey outlines four methods (two directly and two by reference to a previous paper by Bailey and Simon). No presentation has ever been made of an analysis of the applicability of these methods on Canadian data.
1988
Swing Plans - or retrospectively rated contracts with maximum and minimum final premiums - are commonplace I excess-of-loss reinsurance treaties. Key provisions include the provisional premium, maximum and minimum premiums, an aggregate deductible, the loss conversion factor for claims in the reinsured layer, and the attachment point itself, which is usually indexed.
1988
The purpose of this Statement is to identify and describe principles applicable to the determination and review of property and casualty insurance rates. The principles in this Statement are limited to that portion of the ratemaking process involving the estimation of costs associated with the transfer of risk. This Statement consists of four parts: I. DEFINITIONS II. PRINCIPLES III. CONSIDERATIONS IV.
1988
The paper describes in detail a new method which can be applied by an insurance company to its own data to set reserves for outstanding losses (including IBNR) and to calculate a confidence interval for these reserves. The method has also opened up a whole range of interesting ways of looking at data.
1988
The Canadian Charter of Rights and Freedoms Its Effect on the Canadian Automobile Insurance Industry
With the existence of the new Canadian Charter of Rights and Freedoms, it is expected that many of the present risk classification parameters used by the Canadian automobile insurance industry will be challenged. Whether these challenges occur in court or in political forums, industry spokespersons should be prepared to present cogent and relevant comments on the pertinent issues. This paper is specifically designed to assist such persons.
1988
A model for the claim number process is considered. The claim number process is assumed to be a weighted Poisson process with a three-parameter gamma distribution as the structure function. Fitting of this model to several data encountered m the literature is considered, and the model is compared with the two-parameter gamma model giving the negative binomial distribution.
1988
The estimation of reserves, established by the ceding company, for known and potential reinsures in liquidation requires a digest of reinsurance placements, a ceded claim data capture capability, an accounting of known ceded claims and the corresponding accounts receivable, methods for evaluating the expected ultimate liability in the ceded layers (including development of known direct claims and IBNR claims), and an evaluation of potential credi
1988
Standard reserving techniques of squaring the triangle are difficult or impossible to apply to a portfolio of assumed reinsurance. A portfolio of assumed reinsurance is typically comprised of very dissimilar risks. This paper outlines a method to reserve at the individual contract level as a means to develop a reserve for the entire portfolio.
1988
Recently the National Council on Compensation Insurance has significantly revised the Experience Rating Plan for Workers' Compensation. This followed a detailed actuarial study of the performance of the current plan and possible alternatives. The new plan that is the result of this study has been given the acronym SERA (Simplified Experience Rating Adjustment).
This note compares SERA to the current experience rating plan.
1988
For a general class of reinsurance treaties the author gives an upper bound for the net premium. This result can be seen as the counterpart to a premium bound for the classical stop-loss reinsurance cover (see Bowers, 1969). For some special cases some preliminary work can be found in Kremer (1983).
Reinsurance Research - Pricing/Contract Design
