Browse Research
Viewing 976 to 1000 of 7690 results
2012
Actuaries are often faced with the task of estimating tails of loss distributions from just a few observations. Thus estimates of tail probabilities (reinsurance prices) and percentiles (solvency capital requirements) are typically subject to substantial parameter uncertainty. We study the bias and MSE of estimators of tail probabilities and percentiles, with focus on 1-parameter exponential families.
2012
In the paper we introduce a generalization of the mean-value principle under Cumulative Prospect Theory. This new method involves some well-known ways of pricing insurance contracts described in the actuarial literature. Properties of this premium principle, such as translation and scale invariance, additivity for independent risks, risk loading and others are studied.
2012
Global warming has more than doubled the likelihood of extreme weather
events, e.g. the 2003 European heat wave, the growing intensity of rain and snow in the Northern Hemisphere, and the increasing risk of flooding in the United Kingdom. It has also induced an increasing number of deadly tropical cyclones with a continuing trend.
2012
By adding the information of reported count data to a classical triangle of reserving data, we derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between development factors allows to involve and then estimate the reporting and payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR and RBNS claims, separately.
2012
Of necessity, users of complex simulation models are faced with the question of “how many simulations should be run?” On one hand, the pragmatic consideration of shortening computer runtime with fewer simulation trials can preclude simulating enough of them to achieve precision.
2012
When does it make sense for a firm to incur costs to mitigate risk?
The results of Modigliani-Miller (1958) are still frequently referenced today. In broad out-line, MM theory indicates that for a firm owned by diversified investors, any risk that can be diversified against broader holdings is irrelevant to the owners--and thus it is not worthwhile for the firm to incur mitigation costs for such risks.
2012
The purpose of this paper is to study historical insolvencies with emphasis on patterns that can be related to risk factors relevant to the NAIC P&C RBC formula. This is one of several papers being issued by the Risk Based Capital (RBC) Dependencies and Calibration Working Party (DCWP).
2012
The purpose of this paper is to describe the main features of the Solvency II Standard Formula when applied to a property casualty insurer and compare those features of the Solvency II Standard Formula to the U.S. National Association of Insurance Commissioners Risk-Based Capital formula. The comparison helps clarify the assumptions and methods used by the U.S NAIC RBC and Solvency II Standard Formula.
2012
2012 Winter E-Forum-Volume 2 Including the Data Management, Quality, and Technology Call Papers, the Ratemaking Call Paper, an Additional Paper, and Acronyms for Actuaries
2012
2012 Winter E-Forum-Volume 1 Including reports from the reports of the CAS Risk-Based Capital Dependencies and Calibration Working Party and the CAS Underwriting Risk Working Party
2012
At the request of the American Academy of Actuaries, the CAS formed the Risk-Based Capital (RBC) Underwriting Risk Working Party (URWP) to research the current RBC formula for measuring underwriting risk and the procedures for calibrating the formula’s parameters (the Current Calibration Method). The research unveiled various accuracy and consistency issues with the Current Calibration Method.
2012
The author intends to outline and clarify a basic application of mixed distributions. The equa-
tions are based on a life insurance publication written more than fifty years ago. By a change in
perspective, the same model can be applied to workers compensation insurance for the fitting of
probability density curves to a mixture of injury types.
2012
The traditional approach to Property/Casualty rate indications starts with a methodology that uses internal data to forecast the Ultimate Loss Ratio, with losses making up about half of the expenses. For parties that are external to the insurer, this approach to forecasting a key component of future profitability is impractical as they generally do not have access to the necessary data.
2012
Kelly and Kleffner (2006) have documented that the structure in the Canadian P/C industry is materially different from that of the American P/C industry. As historical literature has rationalized the structure of the American P/C insurance industry, this represents a puzzle and a new explanation needs to be found.
2012
This paper presents a method to use US insurance industry information and economic data to monitor the relative adequacy of the earned premium volume and the calendar year loss ratios that are being booked. The economic data is updated monthly and the industry data being used is updated and available each quarter which allows for timely monitoring of the likely movement in the industry’s loss reserve adequacy.
2012
CAS E-Forum, Fall 2012-Volume 2 Including Reports 3 and 4 of the RBC Dependencies and Calibration Working Party and a Refresher Course
2012
CAS E-Forum, Fall 2012-Volume 1 2012 Fall-Volume 1 including independently submitted papers
2012
For most actuarial modeling applications, model parameters are unknown and must be estimated. If the associated parameter estimation error is not recognized in the modeling, there is a good chance that a substantial portion of the adverse (and favorable) loss potential will appear to be diversified away in the aggregation process.
Keywords: modeling applications, parameters
2012
In this paper we establish an actuarial framework for loyalty rewards and gift card programs. Specifically, we present models to estimate redemption and breakage rates as well as to estimate cost and value for use in both accrued cost and deferred revenue accounting methodologies.
2012
The Maximum Likelihood Estimation (MLE) is one of the most popular methodologies used to fit a parametric distribution to an observed set of data. MLE’s popularity stems from its desirable asymptotic properties.
2012
The value of a firm derives from its future cash flows, adjusted for risk, and discounted to present value. Much of the existing literature addresses the quantitative techniques for calculating probability distributions of future cash flows, calculating values of risk adjustment factors, and calculating values of discount factors.
2012
Bayesian approach is applied to evaluate the prediction uncertainty in chain ladder reserving. First, the philosophy of the Bayesian approach to prediction uncertainty is introduced and compared with the Frequentist approach. All parameters in the model are then estimated using the Bayesian approach, with multiple types of prior distributions.
