Browse Research
Viewing 5401 to 5425 of 7690 results
1987
The loss and loss expense reserves of a property and casualty company are the moat important items on the balance sheet and the most difficult to value. Regulators' concerns include but go beyond the question of reserve adequacy, and include a knowledge that the company will be reasonably secure even if the claims environment unfolds in unexpected ways.
1987
This paper considers the application of regression techniques to the analysis of claims data.
1987
A method is presented for projecting the development of reported losses, or of prod losses, or the number of reported cases, for each of the first 12 months of an accident year.
1987
We compare three modern methods for calculating the aggregate claims distribution with respect to their computation amount and accuracy" Panjer's algorithm, the approximation method of Kornya and the most recent, exact procedure of De Pril. They are compared numerically in the case of actual Life portfolios. The computation amount of De Pril's method is much greater than that of the two others, which do not differ substantially in this respect.
1987
In the usual model of the collective risk theory, we are interested m the severity o f rum, as well as its probability. As a quantitative measure, we propose G(u, y ), the probability that for given initial surplus u ruin will occur and that the deficit at the time of ruin will be less than y, and the corresponding density g(u, y). First a general answer in terms of the transform is obtained.
1987
Some reasons are given for paying special attention to the gross cost of catastrophe claims in planning and control. A method is then described of defining catastrophe claims and estimating their expected cost. The various steps in applying the method to real data and its performance for planning and control are discussed and illustrated in conjunction with an investigation carried out on a company portfolio.
1987
As the array of products and services marketed by the financial services industry expands, competition among products for scarce surplus funds will increase. This paper proposes a method for assessing a financial product's performance in terms of return on equity that explicitly addresses the various elements of risk inherent in the product.
1987
The paper discusses the items an investor should consider to determine the purchase value of a property-casualty insurance company. These items include both strategic considerations and financial measurements.
The strategic discussion makes distinctions among defensive, offensive, and diversification strategies.
1987
This paper describes an accounting system designed to take investment income from insurance float into account when evaluating insurance operations. It makes use of data contained in the annual statement to estimate premium, lore, and expense cash flows. It discusses the use of a risk free asset portfolio for estimating the investment income that can be earned from insurance float.
1987
An insurance company IS considered as an intermediary between policyholders and the capital market. By applying the traditional and the generalized version of the capital asset pricing model, a class of premium principles can be derived. This class is fully compatible with Buhlmann's economic premium principle.
1987
If an indicator of a significant paper is that it opens the door for further research, Dr. Robbin's paper should stand the historical test. This review will emphasize generalizing the Poisson assumptions of the paper: attention to optimal parameter estimation and other model assumptions may also prove fruitful, as may the quantification of uncertainty in the IBNR estimates.
1987
In the past twenty years there has been ever increasing improvement in the techniques of classification ratemaking. Most of this has centered around improvements incredibility procedures and most of the improvements have been due to incorporating aspects of Bayesian analysis.
1987
Until recent years. classical statistics had focused on estimating a quantity based only on directly relevant observations; peripherally relevant or seemingly unrelated series which may provide further information had been excluded. Since at least the early 1900’s, however, casualty actuarial practice has incorporated related information, sometimes In a fairly ad hoc manner, under the name of “credibility.”
1987
There is a well known cycle in the prices of cattle. This cycle causes serious risks for producers, leading occasionally to bankruptcy of producers, packing houses, and their lenders. It also leads occasionally to shortages and high prices for consumers. The uncertainty of the cycle raises costs for everyone.
1987
The present paper is concerned with the calculation of the maximum retensions in excess of loss reinsurance. First, by the Kuhn–Tucker first-order optimality conditions, the relative retention problem is solved; moreover, by the expected utility criterion, the solution of the absolute retention problem is given. For both cases an algorithm is proposed.
1987
This paper addresses three questions typically neglected by proponents of asset/liability management. First, from a management perspective, which focuses on GAAP and statutory measures of profitability and net worth, is asset/liability management worthwhile? Second, does a company’s balance sheet fully reflect the assets and liabilities that should be managed?
1987
A formula, originally presented by J.B.S. HALDANE (1938), for the evaluation of the distribution of aggregate claims is examined and compared with some other approaches. The idea is to apply a symmetrizing transformation to the original variable in order to make it susceptible to be approximated by the normal distribution.
1987
Various methods have been advanced for allocating policyholders' surplus to lines of insurance. While these methods could be powerful analytical tools, there are practical and theoretical problems that limit their usefulness. These problems are due to both the functions and nature of surplus and the nature of the decision-making processes that might use an allocation method.
1987
Mr. McClenahan presents a method that can be very useful when there has been a recent, significant change in exposure. The average accident date in the most recent accident year may be considerably different from what it was for previous accident years at the same stage of development. Both loss reserving and pricing decisions can benefit greatly from an accurate estimate of the effect of changing exposure on loss development patterns.
1987
This paper examines the impact of changes in exposure growth on loss development patterns. An adjustment methodology for use in cases where growth patterns have changed materially during the observation period is proposed and an example is presented.
