Browse Research
Viewing 1351 to 1375 of 7690 results
2010
Property-casualty insurance companies tend to focus on avoiding and controlling their exposure to reinsurance credit risk. This paper advocates switching from this risk avoidance and compliance mentality to a probabilistic and market-based view in which one seeks to measure, hedge, exploit and optimize risk.
Keywords: Reinsurance Credit Risk; Credit Default Swap; CDS.
2010
2010 Winter CAS E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2010
Using the principles of Biophysical Economics, together with the issue of resource constraints that the world is already facing (particularly with respect to oil), we show that the financial crisis that affected many industries in the 2008 -2009 period, including the property-casualty insurance industry, was not a one-off event.
2010
Responding to the recent financial crisis, this paper examines the role of information flow and transparency in the maintenance of orderly markets. Information plays a role in markets at two different levels: securities trading activity and fundamental values. Efficiency in securities markets is seen to depend on the availability and free flow of information.
2010
The purpose of Charles Cook’s 1970 paper Trend and Loss Development Factors was to address the “overlap fallacy.” That is, the focus of that paper was to demonstrate that trend and claims development were mutually exclusive adjustments. While this is certainly true, it should also be understood that there is a relationship between limited claims development patterns and trend factors.
2010
Motivation: Bootstrapping is a very versatile model for estimating a distribution of possible outcomes for the unpaid claims, is relatively easy to use and explain to others, and can be readily “generalized” to be more flexible and combined with other related models that can be used to assess risk for a wide variety of enterprise risk management issues.
2010
The estimation of adjusting and other expense (AOE) reserves can be constrained by the availability of historical AOE payment data, lack of uniformity of data, and lack of consensus of what AOE represents.
2010
This paper evaluates the foundation of loss reserving methods currently used by actuaries in property casualty insurance. The chain-ladder method, also known as the weighted loss development method in North America, is the most commonly used actuarial technique for loss reserving and setting liabilities for property/casualty insurers.
2010
The goal of this paper is to demonstrate how publicly available data can be used to calculate the technical provisions in Solvency II. This is a purely hypothetical exercise, since the publicly available data is in America, and Solvency II applies to the European Union. Using American Schedule P data, this paper: Develops “prior information” to be used in an empirical Bayesian loss reserving method.
2010
In a linear model for loss reserving, Gauss-Markov prediction is the natural principle of prediction: It minimizes the mean squared error of prediction over
the class of all unbiased linear predictors, and it provides exact formulas for predictors and their mean squared error of prediction.
2010
This paper explores the use of robust location estimators such as Average-Excluding-High-And-Low and Huber's M-estimators in loss reserving.
2010
Writers of physicians professional liability (PPL) claims-made coverage typically offer a death, disability and retirement (DDR) provision within their policy language, stating that, in the event of one of these three described events, an extended reporting endorsement (ERE) will be provided to the insured without additional premium charge.
2010
The crop insurance industry is a private-public partnership, whereby the private companies issue policies and handle claims for multi-peril crop insurance policies, which are administered by the U.S. Department of Agriculture-Risk Management Agency. The private companies are reinsured by the Federal Crop Insurance Corporation under the terms of the Standard Reinsurance Agreement.
2010
Enterprise risk management and its holistic approach appear to have attained permanency as a best-in-class approach to risk management. Yet, we continue to see insurers utilizing risk limits that have been set in isolation and remain untested from an enterprise-wide perspective.
2010
2010 Fall CAS E-Forum-Volume 2 The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2010
2010 Fall CAS E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
2010
This paper attempts to provide a relatively simple, but still mathematically meaningful context for applying Bühlmann credibility to large account experience rating. It further extends this to rating excess layers. It also allows for the inclusion of an additional complement of credibility to the traditional weighting of excess experience and ILF derived indications.
2010
Motivation: As use of economic capital models expands, the need for a robust approach to the measurement of reserving and pricing risk becomes increasingly important. The paper describes a stochastic simulation model developed by the authors that has some attractive advantages over other published approaches to risk measurement.
2010
2010 Summer CAS E-Forum The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
