Browse Research
Viewing 1176 to 1200 of 7690 results
2011
Many papers in the literature have adopted the expected utility paradigm to analyze insurance decisions. Insurance companies manage policies by growing, by adding independent risks. Even if adding risks generally ultimately decreases the probability of insolvency, the impact on the insurer’s expected utility is less clear.
2011
In this paper, we investigate the computation of the moments of the compound Poisson sums with discounted claims when introducing dependence between the interclaim time and the subsequent claim size. The dependence structure between the two random variables is defined by a Farlie-Gumbel-Morgenstern copula.
2011
In this contribution, a new measure of comonotonicity for m-dimensional vectors is introduced, with values between zero, representing the independent situation, and one, reflecting a completely comonotonic situation. The main characteristics of this coefficient are examined, and the relations with common dependence measures are analysed. A sample-based version of the comonotonicity coefficient is also derived.
2011
This paper intends to develop a feasible framework which incorporates ambiguity aversion into the pricing of insurance products and investigate the implications of ambiguity aversion on the pricing by comparing it with risk aversion. As applications of the framework, we present the closed-form pricing formulae for some insurance products appearing in life insurance and property insurance.
2011
The chain ladder is considered in relation to certain recursive and non-recursive models of claim observations. The recursive models resemble the (distribution free) Mack model but are augmented with distributional assumptions. The non-recursive models are generalisations of Poisson cross-classified structure for which the chain ladder is known to be maximum likelihood.
2011
Cash Flow Simulation for a Model of Outstanding Liabilities Based on Claim Amounts and Claim Numbers
n this paper we develop a full stochastic cash flow model of outstanding liabilities for the model developed in Verrall, Nielsen and Jessen (2010). This model is based on the simple triangular data available in most non-life insurance companies. By using more data, it is expected that the method will have less volatility than the celebrated chain ladder method.
2011
In this paper we propose an additive mixture model, where one component is the Generalized Pareto distribution (GPD) that allows us to estimate extreme quantiles. GPD plays an important role in modeling extreme quantiles for the wide class of distributions belonging to the maximum domain of attraction of an extreme value model.
2011
Conditional indexation offers a middle way between defined benefit and defined contribution pension schemes. In this paper, we consider a fully-funded pension scheme with conditional indexation. We show how the pension fund can be managed to reduce the risks associated with promised pension benefits when declared benefits are adjusted regularly during the working life.
2011
Non-life insurance payouts consist of two factors: claimsizes and claim frequency. When calculating e.g. next years premium, it is vital to correctly model these factors and to estimate the unknown parameters. A standard way is to separately estimate in the claimsize and the claim frequency models.
2011
Abstract. This paper is a response to the Casualty Actuarial Society’s call for papers on the topic of “Testing Loss Reserving Methods, Models and Data Using the Loss Simulation Model.” Its goal is to test and improve
the Loss Simulation Model (LSM). The testing methods used are good sources for analyzing real claim data.
2011
Currently, the pro rata method is widely used to price policy extensions and other changes to policy length. However, there are several other methods that an actuary can use in pricing policy-length changes, such as option and forward pricing, or modeling. There is little discussion in the literature about the relative merits of these different methods, leaving the pricing actuary potentially unsure of which method to use in a given situation.
2011
A firm will replace a physical asset at the end of its useful life. This fact demonstrates that there is a notion of mortality implicit in the way an enterprise manages its physical assets. We propose a theory that there is also an efficient time, which is random and observable, to replace a physical asset.
2011
The financial crisis has awoken financial service organizations to the reality that when financial transactions enter their operating environments, they trigger real-time risk exposures that can go well beyond nominal transaction values, capital charges and other measures deemed appropriate for preventing unexpected losses.
2011
This study investigates whether simulation-based models can be used to predict liquidity risk for banks, which must comply with Basel III by January 2015.
2011
The dynamic and highly competitive business environment of recent times has seen numerous debacles, from natural disasters to financial crisis to frauds and scandals. This has brought to the limelight risk management, a discipline that has in the past focused on mostly hazardous risks and is most recognized in the finance and insurance sectors.
2011
Risk appetite represents how much risk an organization is willing to assume consistently with its strategy. Each business strategy implies some amount of risk, in terms
of the uncertainty of the results will be achieved; therefore, risk appetite represents a fundamental element of enterprise risk management (ERM) as it sets the risk strategies and allows framing for the current risk profile.
2011
The paper is devoted to analysis of possibility, need and approaches towards introducing the indicators related to the effectiveness and efficiency of risk management system into key performance indicators (KPIs) of senior and middle management. Both theoretical and practical aspects of the topic are considered.
It is clear that management’s responsibility for development of risk management system should be secured.
2011
In "The Black Swan, The Impact of the Highly Improbable," Taleb (2010) makes a distinction between extreme scenarios that can be modeled (Mandelbrotian Grey Swans) and those that cannot (Black Swans). A Grey Swan model would consider the power law fractal nature of the markets that Mandelbrot rst described in the 1960s.
2011
Capital allocation is a theoretical exercise because all of a firm’s capital could be depleted to cover a significant loss arising from any one segment. However, firms do need to allocate capital for pricing, risk management and performance evaluation. One versatile allocation method, the Ruhm-Mango-Kreps algorithm, has several key advantages: additivity, simplicity and flexibility.
2011
To measure economic pro ts generated by an insurance policy during its lifetime, we compare the terminal assets of the policy account with certain break-even values. Policies with multi-year loss payments and income tax
payments are studied. The break-even value of terminal assets is given in closed form, and shown to be an increasing function of the claims risk and the asset investment risk.
2011
Non-financial businesses face a variety of financial risks to their cash flow in good times, but in times of extreme economic volatility, proper risk management can mean the difference between survival and bankruptcy. This paper will review a risk management theory that deals with correlated, non-normally distributed factors, and then apply risk management techniques to the U.S.
2011
In this paper, a multivariate quasi-negative binomial distribution is proposed to model frequency dependence among different risk types.
2011
Today’s complex, interconnected global environment has created borderless risk capable of rapidly spreading across geographic, societal and organizational boundaries. In this environment, extreme events compel greater attention due to their potential for generating expansive and catastrophic harm. One source of extreme events is emerging risk, which, as defined in this paper, is new (novel) risk that has not existed previously.
2011
The following paper starts by defining and discussing the nature of risk and its primary relationship to capital preservation. The paper then continues with a guide for implementing a company’s risk appetite statement for a variable annuity product. A company’s unique risk profile changes at the level of individual transactions.
2011
This paper addresses the contradiction between the financial theory of hedging and management practice. The theory has identified a series of legitimate reasons for companies to hedge and create shareholder value. When these conditions are present, companies are supposed to implement a consistent level of hedging over a period of time.
