Browse Research
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1981
A recent result by Panjer provides a recursive algorithm for the compound distribution of aggregate claims when the counting law belongs to a special recursive family. In the present paper we first give a characterization of this recursive family, then describe some generalizations of Panjer's result.
1981
The compound negative binomial distribution with exponential claim amounts (severity) distribution is shown to be equivalent to a compound binomial distribution with exponential claim amounts (severity) with a different parameter. As a result of this, the distribution function and net stop-loss premiums for the Negative Binomial-Exponential model can be calculated exactly as finite sums if the negative binomial parameter a is a positive integer.
1981
The Ministry of Social Affairs and Health, being the Supervising Office of Insurance in Finland, has established a special working group to investigate the problems involved with the solvency of insurers. A report will be compiled in a near future The capacity of risk carriers is one of the problems dealt with, and it will be preliminarily reviewed in this paper.
1981
[Discussion]
1981
Over the past decade, the senior management of P/L insurers have expressed an ever increasing concern regarding the impact of inflation on loss reserves. They want to know: I. What inflationary assumptions underlie their current reserve levels?
How much will current reserve adequacy be changed if future inflation is different than this assumption.
1981
In evaluating loss reserves, actuaries regularly make use of quantitative techniques which use the past to project the future . Any such approach to reserve analysis requires the assumption that the dynamics underlying the toss settlement process are both stable and persistent.
1981
Gary Patrik has written a paper which is significant from several points of view. It provides: 1.) a well-conceived methodology for selecting a model for an empirical loss amount distribution; 2.) thoughtful remarks suggesting more than usual intuitive familiarity with the subject matter; 3.) a synthesis of a large body of existing literature interpreted to speak directly to the concerns of the actuary.
1981
I am especially sympathetic to the search for the "Holy Grail" which will prevent the next malpractice crisis. Glenn Evans and Stan Miyao have used a very logical approach to selecting an exposure base which will respond to inflation but seemed to conclude, without analysis, that hospital revenue and inflation bear a direct relationship with hospital malpractice loss costs.
1981
The initial idea for the topic of this paper actually began in the mid-seventies, the period of the "malpractice crisis". As actuaries for a carrier specializing in Hospital Professional Liability Insurance (HPL), we are acutely aware that one of the primary causes of the "crisis" was the compound effect of several years of double-digit loss inflation without corresponding premium increases.
1981
The credibility of trend lines is important because trend lines cannot be extrapolated reliably far into the future. Credibility-weighted trend factors can be calculated if two or more alternative assumptions are considered. The effects of changes in the goodness of fit of the trend lines being considered can also be explored.
This paper approaches the problem by as hoc blending of alternative sets of hypotheses.
1981
This paper argues that computer simulation is an underappreciated and, therefore, underutilized casualty actuarial resource. In so contending.
1981
The stated aim of this lucid and straightforward paper is to forecast the shape (rather than the mean) of a size-of-loss distribution in some future time period, and this aim is accomplished in a clear presentation which I can still read even ten years away from any hard mathematics.
1981
There has been a surge of insurance company acquisition and merger activity in the United States and Europe in recent years.
1981
The purpose of this paper is to examine insurance classifications in view of the statutory requirements that insurance rates not be unfairly discriminatory. More specifically, how does one decide what classification variables should be permissible and what definitions of classes are allowed?
The paper asserts that classifications should possess certain necessary and sufficient qualities called standards.
1981
Existing models of the distribution of accidents among a population of drivers do not account for both the differences among individuals and those among age groups. This paper proposes a simple model to simultaneously explain these variations.
The model assumes that all drivers begin at some early age as “bad” drivers.
1981
The psychological principles that govern the perception of decision problems and the evaluation of probabilities and outcomes produce predictable shifts of preference when the same problem is framed in different ways. Reversals of preference are demonstrated in choices regarding monetary outcomes, both hypothetical and real, and in questions pertaining to the loss of human lives.
1980
The purpose of this paper is to address the following question: should the present retrospective rating formula be modified to account for the claim severity distribution for the risk being insured, and for the loss limit chosen for the plan? It will be shown that there are significant differences in premium adequacy that can be attributed to the above mentioned factors. Alternatives to the present formula will be proposed.
1980
The decision problem of acceptance or rejection of life insurance proposals is formulated as a two-person non cooperative game between the insurer and the set of the proposers. Using the minimax criterion or the Bayes criterion, it is shown how the value and the optimal strategies can be computed, and how an optimal set of medical information can be selected and utilized.
1980
When setting or modifying insurance rates on the basis of observed data, adjustments should be made for inflation between the average claim date of the observation period and the average claim date covered by policies to which the new rates will apply.
1980
Much attention has been paid in the last ten years to the necessary solvency margin especially as influenced by risk theory considerations. In these calculations, by which the solvency margin is determined in such a way that the probability of ruin remains under a specified norm, such factors as type of insurance, size of portfolio, reinsurance etc. play an essential role.
