Browse Research
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1985
Data Management Profession (general or introductory)
1985
Reinsurance Research - Pricing/Contract Design
1985
Mr. Sherman’s paper presents a potpourri of practical applications involving the fitting of a parametric equation to loss development factor data. The particular equation utilized is called the inverse power curve.
1985
An outline is given of a proposed system for solvency control in non-life insurance that has recently been discussed within a Working Party appointed by the Norwegian supervisory authorities. According to this system the factual technical reserves must at any time be sufficient to meet, with high probability, all future liabilities stipulated by insurance contracts that have either expired or are currently in force.
1985
Data Management Profession (general or introductory)
1985
Credibility theory refers to the use of linear least-squares theory to approximate the Bayesian forecast of the mean of a future observation; families are known where the credibility formula is exact Bayesian. Second-moment forecasts are also of interest, for example, in assessing the precision of the mean estimate. For some of these same families, the second-moment forecast is exact in linear and quadratic functions of the sample mean.
1985
A major property-casualty insurance group recently created a separate profit center for personal lines, thereby signaling a new emphasis on these lines. Since the group had been a carrier with primary emphasis on commercial business, the planning process at the personal lines profit center became similar to that of an emerging company: there was little relevant history available to use in order to plan effectively for a very different future.
1985
Most insurance rating laws require consideration of "a reasonable margin for underwriting profit and contingencies" as one of the factors in establishing insurance rates. The purpose of this paper is to examine the contingency margin. A "contingency" is defined to be an uncertain, unexpected or unforeseen event. Evidence of the existence of "contingencies" can be seen by examination of industry underwriting results over the last 30 years.
1985
This paper attempts to provide the actuary with a methodology for monitoring the price and quantity of insurance for budgeting purposes. The paper discusses and defines cost accounting concepts and relates them to casualty actuarial work. The technique entitled "Analysis of Budget Variances" is applied to budgeted figures and actual results displayed on a net income statement prepared using the contribution method of allocating expenses.
1985
Effective measurement of financial performance for individual branch offices is hindered by two major problems. The first is an appropriate definition of profit; this is addressed through an economic-value accounting method which minimizes distortions due to the timing of income recognition. Return on equity is the basic profitability gauge used to compare results between profit centers.
1985
Financial reports of property/casualty insurance companies are notoriously difficult to interpret. A major reason for this difficulty is that the actuarially generated elements of those statements are usually not understood. Often they are not even identifiable. By the use of a fairly simple model, relationships between actuarial analysis and financial statement figures can be displayed. Once the sources of data in.
1985
When the assumption of constant risk premiums is relaxed, financial valuation models may be tested, and the risk measures estimated without specifying a market index or state variables. This is accomplished by examining the behavior of conditional expected returns. The approach is developed using a single risk premium asset pricing model as an examle and then extended to models with multiple risk premiums.
1984
Ron Ferguson has performed a valuable service to the CAS by encouraging actuaries to focus one eye on the investment side of insurance operations while keeping the other eye (hopefully the good one) on familiar underwriting terrain. Bond duration is an important component of investment performance and actuaries should be familiar with this concept.
1984
This paper discusses one possible tax treatment of an insurance company acquisition and the role of the casualty actuary in this process.
1984
I would like to express appreciation to the authors for providing an informative discussion of insurance company acquisitions and related tax considerations. The authors point out that Insurance Companies have certain “identifiable intangible assets” that do not appear on their balance sheets, but which are real and have value.
1984
Econometric multiple regression models are now commonplace aids to understanding variables affecting the insurance industry. For actuaries and other corporate management personnel to utilize these models to fullest advantage, it is necessary to be familiar with important regression statistics and to be able to critically evaluate model structure. This paper discusses statistics for determining the strength or validity of a model.
1984
The paper presents an extension of the classical Cramer-Lundberg ruin theory: the famous upper bound for the ruin probability with an infinite time horizon can be extended In a certain sense to the short and middle term case. Furthermore, a relation between the average values of lifetime and ruin amount is given.
Keywords: Ruin theory, middle term horizon, lifetime, ruin amount.
1984
We give an extension of the Economic Premium Principle treated in ASTIN Bulletin, Volume 11 where only exponential utility functions were admitted. The case of arbitrary risk averse utility functions leads to similar quantitative results. The role of risk aversion in the treatment is essential. It also permits an easy proof for the existence of equilibrium.
Keywords: Mathematical economics, equilibrium theory, premium principles.
1984
Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.
1984
The allocation of operating costs among the lines of an insurance company is one of the toughest problems of accounting; it is first shown that most of the methods used by the accountants fail to satisfy some natural requirements.
