Browse Research
Viewing 651 to 675 of 7690 results
2013
Maximum likelihood estimators provide a powerful statistical tool. In this paper we directly deal with non-linear reserving models, without the need to transform those models to make them tractable for linear or generalized linear methods.
2013
Insurance companies’ risk management practices came under great scrutiny as a result of the financial crisis. Ensuring that the structure of incentive compensation does not promote unnecessarily risky behavior has been the subject of many recommendations by regulatory agencies, Congressional mandate and commentary from professional organizations.
2013
Islands such as the Galapagos have been incubators for the way species evolve. Many have written on the competitive phase of the evolutionary process. Species adapt to perfect their strategic advantage, through natural selection or “survival of the fittest”. However, these islands illustrate other evolutionary strategies: “survival of the first” or “survival of the few”.
2013
Enterprise risk management continues to evolve. Practice ranges vary widely. Models are becoming more sophisticated yet less transparent. Customers are becoming more sophisticated yet still depend on black box cookie cutter solutions. Incentive compensation, which everyone agrees is a key component of best practice ERM, lags behind. Given that people will do what you pay them to do, this behavior is not surprising.
2013
What really motivates people? The real answer is: a variety of things. People are not monolithic in the type of rewards they value, nor in what drives them to set and achieve goals. Ideally, incentives should recognize these differences - designed to fit the individual. And maybe if you’re a small business owner with a half-dozen employees, you could do so.
2013
In his book The Black Swan, the Impact of the Highly Improbable , Nassim Nicholas Taleb describes three key attributes of a black swan event. First, it is an ‘outlier’ event, one outside the realm of regular expectations. Second, it carries an extreme impact. And third, because of its outlier status, human nature leads us to develop after the fact explanations for its occurrence, making it explainable and predictable.
2013
Many theoreticians and more than a few executives take the position that incentive compensation is a powerful motivator and therefore it follows directly that careful crafting of the incentive compensation program is all that it takes to get the most out of a company’s management team.
2013
As the recent financial crisis has witnessed, the current incentive compensation plans for company executives have not done an effective job in curtailing the executives’ excessive risk taking behavior and encouraging them to take appropriate risk management actions in their strategic decision makings.
2013
Incentive compensation is widely promoted as support ing “pay-for-performance” and being necessary “to attract, motivate and retain” high performing individuals. However, it is also seen as having played an important, and negative, role in the 2008 financial crisis. In redesigning incentive plans, we must consider:
* What research tells us about the relationship between pay and performance, and * The “performance environment”.
2013
Incentive compensation is a particularly critical issue for job seekers, employees, employers and shareholders. Attention has typically focused on the role of incentive compensation in attracting and retaining employees along with incenting behaviors in line with strategic objectives. However, recent market events have shifted the focus to risks that may be inherent in incentive compensation arrangements.
2013
Risk is opportunity.
So says the Society of Actuaries. On its website. In its correspondence. Seemingly everywhere.
2013
The literature of estimating the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate losses. In this paper we introduce a novel Bayesian multivariate model based on the use of parametric copula to model dependencies between various lines of insurance claims.
2013
Motivation. Tail factors are used by actuaries to estimate the additional development that will occur after the eldest maturity in a given loss development triangle, or after the eldest credible link ratio. Over the years, many valuable contributions have been made to the CAS literature that describes various methods for calculating tail factors.
2013
Given that actuaries are using (informal) economic theories in their work (to build useful databases, to support the implementation process of proposed policies, etc.), it is worthwhile to understand the way these (informal) theories function and to evaluate their quality. We will construct a view of economic thinking that shows that economic theories fundamentally function like stories, like narratives.
2013
What is a simple way to price a catastrophe excess of loss reinsurance program (Cat XL)? By simple we mean pricing a Cat XL with limited information. This paper presents pricing methods that only require the layer pricing of last year’s Cat XL program and do not require any catastrophe modelling output. The first method is to fit a power curve (i.e.
2013
Property-casualty insurance companies tend to buy reinsurance; when they do, they must address reinsurance credit risk.
2013
This paper tackles the question: why should split credibility be better than credibility without a split? It corrects previous misunderstandings and presents new formulas showing how parameter uncertainty is reduced by use of unsplit credibility and then how it might be further reduced by introduction of a split. It derives the formulas for unsplit and split credibility when losses follow the widely used collective risk model (CRM).
2013
In many applied claims reserving problems in P&C insurance, the claims settlement process goes beyond the latest development period available in the observed claims development triangle. This makes it necessary to estimate so-called tail development factors which account for the unobserved part of the insurance claims. We estimate these tail development factors in a mathematically consistent way.
2013
This paper studies an insurance model under the regulation that the insurance company has to reserve sufficient initial capital to ensure that ruin probability does not exceed the given quantity a. We prove the existence of the minimum initial capital. To illustrate our results, we give an example in approximating the minimum initial capital for exponential claims.
2013
The current industry standard approach evaluates reinsurance effectiveness by calculating capital cost savings as the product of a fixed capital cost rate and the required capital which is released. Reinsurance is deemed value-creating if the resulting capital cost savings is more than the profit margin ceded to support the purchase-a Return On Risk-Adjusted Capital (RORAC) approach.
2013
In their short paper, the authors describe an elegant decision rule for evaluating the attractiveness of potential reinsurance transactions. In effect, they propose comparing the premium quoted by reinsurers for a particular reinsurance structure to the portion of its premiums the ceding company would need to allocate, given its cost of capital, to retain the risk.
2013
This paper presents a Bayesian technique for adjusting a mixed exponential severity distribution in response to partially-credible observed claim severities. It presents two applications: pricing excess of loss (XOL) reinsurance layers and computing increased limits factors (ILFs). The paper’s Bayesian model uses a Dirichlet distribution over the mixed exponential’s initial mixture weights.
