Browse Research
Viewing 926 to 950 of 7690 results
2013
2012
This paper investigates a non-self-financing portfolio optimization problem under the framework of multi-period mean–variance with Markov regime switching and a stochastic cash flow. The stochastic cash flow can be explained as capital additions or withdrawals during the investment process.
2012
In this article we want to motivate and analyse a wide family of reserving models, called linear stochastic reserving methods (LSRMs). The main idea behind them is the assumption that the (conditionally) expected changes of claim properties during a development period are proportional to exposures which depend linearly on the past.
2012
In this paper we describe a new approach to modelling the development of claims run-off triangles. This method replaces the usual ad hoc practical process of extrapolating a development pattern to obtain tail factors with an objective procedure. An example is given, illustrating the results in a practical context, and the WinBUGS code is supplied.
Keywords Claims Run-Off Triangles, Monte Carlo Valuation
2012
There is a dearth of public knowledge about the development patterns of mature workers compensation claims at the level of the aggregate loss triangle; this is because there are only a few loss triangles available for research that span the full lifetime of the cohort of claimants.
2012
Predictive models are used by insurers for underwriting and ratemaking in personal lines insurance. Focusing on homeowners insurance, this paper examines many predictive generalized linear models, including those for pure premium (Tweedie), frequency (logistic) and severity (gamma). We compare predictions from models based on a single peril, or cause of loss, to those based on multiple perils.
2012
The popular chain ladder model forms its estimate by applying age-to-age factors to the latest reported cumulative claims amount – fixed numbers. This paper proposes two models that replace these fixed claim amounts with estimated parameters, which are subject to parameter estimation error.
2012
This paper will address adjusting incurred loss triangles for changes in case reserve adequacy.
2012
Motivation: Insurance companies and corporations require credible methods in order to measure and manage risk exposures that derive from market price fluctuations. Examples include foreign currency exchange, commodity prices and stock indices.
Method: This paper will apply Geometric
Brownian Motion (GBM) models to simulate future
market prices.
2012
After laying a fairly rigorous foundation for the mathematical treatment of excess losses, this paper shows that the excess-loss function is akin to the probability distribution of its loss. All the moments of the loss can be reclaimed from the excess-loss function, the variance being especially simple. Excess-loss mathematics is a powerful tool for pricing loss layers, as in reinsurance.
2012
This paper presents a methodology for constructing a deterministic approximation to the distribution of the outputs produced by the loss development method (also known as the chain-ladder method). The approximation distribution produced by this methodology is designed to meet a preset error tolerance condition.
2012
It is generally well established that new business produces higher loss and expense ratios and lower retention ratios than renewal business. Ironically, to add more new business, an insurer needs higher profitability in order to generate the additional capital needed to support its exposure growth. Irrational growth is one of the op reasons for the insolvencies of property and casualty insurance companies.
2012
The aim of this paper is to analyze the impact of underwriting cycles on the risk and return of non-life insurance companies. We integrate underwriting cycles in a dynamic financial analysis framework using a stochastic process, specifically, the Ornstein-Uhlenbeck process, which is fitted to empirical data and used to analyze the impact of these cycles on risk and return.
2012
The models of Mack (1993) and Murphy (1994) are expanded to a continuously indexed family of chain-ladder models by broadening the variance structure of the error term. It is shown that, subject to certain restrictions, an actuary’s selected report-to-report factor can be considered the best linear unbiased estimate for some member of this family.
2012
Existing models of the market price of cat bonds are often too exotic or too simplistic; we present a model that is grounded in theory yet also tractable. We also intend for our analysis of cat bond pricing to shed light on broader issues relating to the theory of risk pricing.
2012
To measure economic profits generated by an insurance policy during its lifetime, we compare the terminal assets of the policy account with certain break-even value. The break-even value is an increasing function of the claims risk and the asset investment risk. It can be calculated with closed-form formulas. We study policies with multiyear loss payments and tax payments.
2012
For loss cost filings beginning in October 2009, NCCI implemented the largest set of changes in 40 years to the methodology used to determine class pure premiums in workers compensation.
2012
Since the 2007 Financial Crisis, regulators have been very interested in modeling and measuring systemic risk in the financial system. In this study, a network approach is taken to characterize the systemic risk of two nontraditional insurance industries: the bond insurer industry and the CDS market. These industries were chosen since traditional insurance industries do not generate significant systemic risk.
2012
In this paper, we introduce two families of loss reserving methods – the Actual vs. Expected family and the Mean-Reverting family. The Actual vs. Expected family can be used to credibly adjust prior expectations, either in terms of a fixed initial estimate or just a prior period’s estimate, for deviations between actual and expected experience in the same direction as the deviation.
2012
Motivation: Among other services in the assigned risk market, NCCI provides actuarial services for the National Workers Compensation Reinsurance Pooling Mechanism (NWCRP), the Massachusetts Workers’ Compensation Assigned Risk Pool, the Michigan Workers’ Compensation Placement Facility, and the New Mexico Workers’ Compensation Assigned Risk Pool.
2012
The advent of Solvency II has sparked interest in methods for estimating one-year reserve risk. This paper provides a discussion of the one-year view of reserve risk and some of the methods that have been proposed for quantifying it. It then presents a new method that uses ultimate reserve risk estimates, payment patterns, and reporting patterns to derive one-year reserve risk values in a systematic fashion.
2012
This paper will back-test the popular over-dispersed Poisson (ODP) bootstrap of the paid chain-ladder model, as detailed in England and Verrall (2002), using real data from hundreds of U.S. companies, spanning three decades. The results show that this model produces distributions that underestimate reserve risk. Therefore, we propose two methods to increase the variability of the distribution so that it passes the back-test.
2012
Thirty actuarial reserving methods are evaluated empirically against an extensive database of Schedule P data. The metric of method skill is used to evaluate the historical performance of the methods. Results are provided by company size and line of business. The effect of correlation on the usefulness of additional methods is considered.
