Browse Research
Viewing 676 to 700 of 7690 results
2013
This paper adopts the extreme value and VaR approach to investigate the amount of rice damaged due to extreme events and analyzes the collective risk model as a feasible scheme for estimating annual aggregate losses. The results show that the annual frequency of rice damage caused by typhoons is shown to fit well the Poisson distribution with one parameter.
2013
Two recent papers by Dornheim and Brazauskas (2011a, 2011b) introduced a new likelihood-based approach for robust-efficient fitting of mixed linear models and showed that it possesses favorable large and small-sample properties which yield more accurate premiums when extreme outcomes are present in the data.
2013
The title of this Call for Essays is “Incentive Compensation– The Critical Blind Spot in ERM Today.” The central question is: what should enterprise risk managers do to manage the critical blind spot “incentive compensation”. The management goal was clearly encapsulated by William Shakespeare in 1605. In Macbeth Act 5 Scene 1, Lady Macbeth speaks the famous line "Out, damn'd spot!
2013
Motivation. Excess of policy limits (XPL) losses is a phenomenon that presents challenges for the practicing actuary.
Method. This paper proposes using a classic actuarial framework of frequency and severity, modified to address the unique challenge of XPL.
Results. The result is an integrated model of XPL losses together with non-XPL losses.
2013
Fitting loss distributions in insurance is sometimes a dilemma: either you get a good fit for the small / medium losses or for the very large losses. To be able to get both at the same time, this paper studies generalizations and extensions of the Pareto distribution. This leads not only to a classification of potentially suitable functions, but also to new insights into tail behavior and exposure rating.
2013
Motivation. Actuaries are faced with increased questions on reserve variability and "reasonable ranges.” As consultants Mr. Littmann and Mr. Walker confront these questions frequently.
2013
Traditional accident year paid and/or reported loss development methods are often used to estimate liabilities for workers compensation claims by selecting age-to-age loss development factors which are then fitted to a curve.
2013
Adverse reserve development in older accident years (i.e., related to injuries occurring more than 10 years ago) is a continuing issue in the workers’ compensation industry. The use of informed judgment or the application of advanced modeling techniques for projecting this runoff (such as curve fitting) in traditional loss development methods often misstate projections.
2013
This paper introduces new systematic procedures to estimate aggregate unpaid claims as of the current accounting date. Through the use of examples that introduce concepts in a natural progression, emphasis is placed on the reasonability and practicality of an accounting date reserving framework and its appeal to loss reserving practitioners.
2013
It is well-known that the carried reserve adequacy of the property & casualty industry as a whole varies across the market cycle. We examine the extent to which this variation results from actuarial methods themselves, concluding that about half of the industry’s historical deficiencies and redundancies have resulted from actuarial methods.
2013
Motivation: As an insurance regulator, I regularly see instances where maximum limit losses are removed from incurred and/or paid losses prior to application of the development factors. In some of these instances, the triangles and LDFs are created with limited losses, as opposed to unlimited losses.
Method: This paper simulates loss development triangles that include maximum limit losses. It compares exclusion vs.
2013
This paper is a response to the Casualty Actuarial Society’s request for proposals on "Contingent Capital." In light of the recent financial crisis, contingent capital, a type of hybrid security, is seen as an innovative way of recapitalization given the occurrence of a specified event, such as the capital adequacy ratio falling below the threshold.
2013
Motivation. There is mounting evidence of obesity contributing to the cost of workers compensation. Longitudinal studies by Duke University (Østbye, Dement, and Krause [5]) of its own employees—and by Johns Hopkins University (Pollack et al. [7]) of employees of a multi-site U.S. aluminum manufacturing company—point to substantially higher odds of injury for workers in the highest obesity category.
2013
Motivation. Selecting loss ratio trends is an integral part of NCCI aggregate ratemaking. The trend selection draws on an exponential trend (ET) regression model that is applied, alternatively, to the latest 5, 8, and 15 observations (dubbed 5-point, 8-point, and 15-point ET). Then, using actuarial judgment (which may account for a variety of influences), the three estimates are aggregated into a single forecast.
2013
This paper examines different ways of pricing catastrophe (CAT)coverage for reinsurance treaties and large insurance accounts. While all the methods use CAT loss simulation mode l statistics, they use different statistics and different algorithms to arrive at indicated prices.
2013
The invention of PEBELS, or policy exposure based excess loss smoothing, was motivated by the need to develop estimates of high layer expected loss cost for extremely small, non-credible segments of a primary property book of business.
2013
In this paper we will present a refinement of the well-known asset share model for ratemaking. The new method for calculating premiums and premium relativities accounts for risk classification transition probabilities. The relationship between risk class transition and options on insurance coverage is discussed.
2013
Once cost models have been constructed, insurers spend a significant amount of time translating those expected cost models into a rating algorithm. Today, competitive analytics are widely used to support this effort. However, companies often fail to fully integrate competitive analytics into the pricing process.
2013
In this paper we discuss the application of modern mathematical optimization techniques to some of the common problems in insurance premium rating.
2013
Motivation. Reserve uncertainty is a significant risk to many insurance companies, captive insurers and self-insurance programs. Understanding and quantifying this risk is essential to insurance related enterprise risk management efforts. Using publicly available data, this paper examines reserve uncertainty for a majority of the U.S. property-casualty insurance industry on both an industry and by-company basis.
2013
Motivation. To estimate IBNR, with separate amounts estimated for pure IBNR and for IBNER or development on known claims, using methods similar to traditional triangle methods.
Results. We applied several methods to our sample data set to calculate estimates that ultimately proved to be more accurate than traditional triangle methods.
2013
A picture is worth a thousand words. This paper shows how to use pictures called stem-and-leaf diagrams to display important loss patterns that might otherwise remain hidden in development triangles. These diagrams have the added benefit of appealing to the “big picture” folks in your audience.
