Browse Research
Viewing 5476 to 5500 of 7690 results
1986
The losses that impact Casualty Excess of Loss Reinsurance are far different in nature and size than the losses that confront primary companies.
The new claims-made ISO GL policy forces new data requirements for accurate pricing of these new covers. Data is sparse and difficult to obtain.
1986
In the present paper the author investigates the problem of calculating the net premium for some versions of the largest claims reinsurance cover. A very handy recursive rating method of derived by applying some recursion formulas for the expectations of order statistics.
Reinsurance Research - Pricing/Contract Design
1986
Reinsurance Research - Reserving
1986
This paper develops a theory and econometric method of portfolio performance measurement using a competitive equilibrium version of the Arbitrage Pricing Theory. We show that the Jensen coefficient and the appraisal ratio of Treynor and Black are theoretically compatible with the Arbitrage Pricing Theory.
1986
This paper presents a stochastic model of capitalization which takes into account the financial risk in the actuarial processes. We first introduce a stochastic differential equation which allows us to define the capitalization and actualization processes.
1986
Reinsurance Research - Pricing/Contract Design
1986
A recursive expression is derived for computing exactly the distribution of aggregate claims of a portfolio of life insurance policies. The recursion generalizes a formula of White and Greviile for the claim numbers distribution and improves Kornya's approximation method for the aggregate claims distribution.
1986
Analysis of algorithms and many specific algorithms for numerical integration, interpolation, evaluation of functions generally and certain specific functions, random numbers, solving nonlinear sets of equations, maximization or minimization of functions, Fourier transforms and fast Fourier transforms, statistical description of data and comparisons of two distributions, least squares methods and nonlinear models.
1986
The finite and infinite horizon time probability of ruin are important parameters in the study of actuarial risk theory. This paper introduces procedures for directly estimating these key parameters from a random sample of observations without assumptions as to the parametric form of the distribution from which the observations arise.
1986
The distribution of total claims payable by an insurer is considered when the frequency of claims is a mixed Poisson random variable. It is shown how in many cases the total claims density can be evaluated numerically using simple recursive formulae (discrete or continuous).
Mixed Poisson distributions often have desirable properties for modelling claim frequencies.
1986
Kornya-type higher order approximations are derived for the aggregate claims distribution and for stop loss premiums in the individual model with arbitrary positive claims. Absolute error bounds and error bounds based on concentration functions are given. In the Gerber portfolio containing 31 policies, second order approximations lead to an accuracy of 3 X 10-4, and third order approximations to 1.7 X 10-5.
1986
Finite Time Ruin Problems for Perturbed Experience Rating and Connection wit Discounting Risk Models
We consider a generalization of a risk process under experience rating when the aggregation of claims up to time t is a Brownian motion (B.M.) with a drift. We prove that the distribution of rum before time t is equivalent to the distribution of the first passage time of B.M. for parabolic boundary. Using Wald identity for continuous time we give an explicit formula for this distribution.
1986
Reinsurance Research - Pricing/Contract Design
1986
This paper deals with experience rating of claims processes of ARIMA structures. By experience rating we mean that future premiums should be only a function of past values of the claims process. The main emphasis is on demonstrating the usefulness of the control-theoretical approach in the search for optimal rating rules.
1986
It has been argued in previous studies that the expected utility decision criterion provides useful insights for certain insurance problems, such as underwriting, reinsurance and portfolio optimization problems. In this study three new models are developed which extend and generalize previous results. The first model analyses modified stop-loss reinsurance. The second model analyses risk pooling where both inward and outward reinsurance occur.
1986
Three methods for fitting multiplicative models to observed, cross-classified risk data are compared. They are the method of Bailey-Simon, the method of marginal totals and a maximum likelihood method. The methods are applied to a number of risk data sets and compared with respect to balance and goodness-of-fit.
KEYWORDS multiplicative models, Tariff structures.
1986
Even with the recent advances in Bayesian credibility theory, there remain situations in which some may prefer the classical approach.
1986
Chains of reinsurance were first modelled by Gerber, in a special case. It is shown that more general results can be obtained by applying Borch’s theorem. The Pareto-optimal reinsurance indemnities are uniquely determined using the only assumption that the participating companies use exponential utility functions. A simple comparison then shows that Gerber’s indemnities are not Pareto-optimal.
1986
We explicitly calculate price equilibria for power and logarithmic utility functions which--together with the exponential utility functions--form the so-called HARA (Hyperbolic Absolute Risk Aversion) class. A price equilibrium is economically admissible in the market which is a closed system.
1986
Upper and lower bounds are derived for the stop-loss premium of compound distributions with fixed claim number distribution and known mean, variance and range for the claim severity distribution.
Reinsurance Research - Pricing/Contract Design
1986
Two popular measures of portfolio performance are Jensen‘s (1968) coefficient and Treynor and Black‘s (1973) appraisal ratio. Analogous performance measures are developed in an arbitrage pricing theory (APT) framework by extending Connor‘s (1984) equilibrium version of the APT to include a small set of investors with superior information. Estimators of the performance measures are proposed, and their asymptotic distributions derived.
