Browse Research
Viewing 5501 to 5525 of 7690 results
1986
Taxation of asset returns can create various clientele effects. If every agent is marginal on all assets, no clientele effects arise. If some (but not every) agent is marginal on all assets, there arises a clientele effect in quantities but none in prices. If no agent is marginal on all assets, there arise clientele effects in both quantities and prices.
1986
A discrete-time option-pricing model is used to derive the "fair" rate of return for the property-liability insurance firm. The rationale for the use of this model is that the financial claims of shareholders, policyholders, and tax authorities can be modeled as European options written on the income generated by the insurer‘s asset portfolio. This portfolio consists mostly of traded financial assets and is therefore relatively easy to value.
1985
A reinsurers’ financial results are materially influenced by unreported premiums, and the losses and expenses related to these premiums. When unreported premiums and losses are estimated using underwriting year experience, an approximation is required to separate premiums earned and losses incurred before the reserve date from those earned and incurred after the reserve date.
1985
The reinsurer has a monopoly in the following sense: He will select a random variable P that determines the reinsurance premiums. The first insurer can purchase a payment of R (a random variable) for a premium of pi = E[PR]. For known P, the first insurer chooses R to maximize his expected utility. Knowing this, i.e., the demand for reinsurance as a function of P, the reinsurer chooses P to maximize his utility.
1985
This paper considers reinsurance retention limits in cases where the cedent has a choice between a pure quota-share treaty, a pure excess of loss treaty or a combination of the two. Our primary aim is to find the combination of retention limits which minimizes the skewness coefficient of the insurer’s retained risk subject to constraints on the variance and the expected value of his retained risk.
1985
This paper presents an econometric model of private passenger liability underwriting results. The model, fitted on data from 1954 to 1983, is used to forecast results from 1984, 1985 and 1986. Premiums, losses, and expenses are modelled separately, with the loss model based on two sub-models (severity and traffic accidents). The paper covers the process of model building from initial a priori analysis, through forecasting.
1985
With current methodology, the parameters of a retrospective rating plan are calculated to place the plan in balance on an underwriting basis. Thus paper provides a way of calculating the present value of the retrospective premium. Using this methodology, one can compare the expected profitability of various retrospective rating plans on a discounted or operating basis. This includes paid loss retros.
1985
One method of treating the acquisition of a stock company is a Section 338 election. This paper discusses such an election in the acquisition of a stock insurance company. The tax aspects are explored and the role of the casualty actuary in such an election is discussed.
1985
Keywords: Credibility, doubly stochastic Poisson sequences, weakly stationary sequences, generalized Polya sequence.
1985
The paper deals with the renewal equation governing the infinite-time ruin probability. It is emphasized as intended to be no more than a pleasant ramble through a few scattered results. An interesting connection between ruin probability and a recursion formula for computation of the aggregate claims distribution is noted and discussed.
1985
Once again, Steve Philbrick has taken a concept which makes many actuaries feel uncomfortable and, through lucid writing and clear examples, made it available to all who take the time to read him. Prior to Mr. Philbrick's paper, fitting size of loss distributions has been a tool primarily available only to the "pure actuary." This guide to the Pareto distribution provides all actuaries access to a powerful means of analysis.
1985
The actuarial literature has discussed several candidates for size-of-loss distributions-log normal, Weibull, multi-parameter Pareto, gamma, as well as others. However, despite the demonstrated success of these distributions, there is a dependence on techniques such as empirical data, judgment, or at times some unwieldy formulae.
1985
The run off-pattern of long-term reinsurance treaties is described by means and standard deviations of logarithmic increments of premiums and loss ratios in a normal distribution. From this description forecasts of ultimate claims and current IBNR-reserves are derived, with associated distributions and confidence limits. Aggregation from individual treaties to portfolio level is proposed by normal approximation.
1985
Experience rating formulas that are currently in use have features that have no counterpart in the literature on Bayesian credibility. These features include the limiting of individual losses that go into the experience rating, separate treatment of primary and excess losses, and the gradual transition to self-rating.
1985
Mr. Stanard's paper offers the reader three things:
1) reserving techniques;
2) a methodology for assessing reserving techniques; and
3) conclusions about the reserving technique.
Of these three, the methodology for assessing reserving techniques is the most significant.
1985
Contains fully described simulation models.
Abstract:
This paper uses a computer simulation model to measure the expected value and variance of prediction errors of four simple methods of estimating loss reserves. Two of these methods are new to the Proceedings.
1985
The author provides variability estimates for development factor projections under the assumption that the age-to-age factors are lognormally distributed. Keywords: Confidence Estimates
Abstract
This paper explores some properties of the lognormal distribution.
1985
A deterministic treatment of profit models, including taxation, cited here as an encyclopedic reference.
Abstract
This paper will provide an introduction to the subject of underwriting profit models in order to provide actuaries with a basic framework for further study.
1985
Insurers paid $1.9 billion on property claims arising from catastrophes in 1983. Researchers have estimated that annual insured catastrophe losses could exceed $14 billion. Certainly, the financial implications for the insurance industry of losses of this magnitude would be severe; even industry losses much smaller in magnitude could cause financial difficulties for insurers who are heavily exposed to the risk of catastrophic losses.
1985
We improve on some results of Sundt (1982) on the asymptotic behavior of compound negative binomial distributions.
Keywords: Compound negative binomial distributions, renewal theory, asymptotic estimates.
