Browse Research
Viewing 151 to 175 of 7690 results
2017
Motivation Reserving is typically performed on aggregate claim data using familiar reserving techniques such as the chain ladder method. Rich data about individual claims is often available but is not systematically used to estimate ultimate losses. Machine learning techniques are readily available to unlock the benefits of this information, potentially resulting in more accurate reserve estimates.
2017
When predictive performance testing, rather than testing model assumptions, is used for validation, the needs for detailed model specification are greatly reduced. Minimum bias models trade some degree of statistical independence in data points in exchange for statistically much more tame distributions underlying individual data points.
2017
Given that cyber risk is a major driver of operational risk and that businesses and individuals are looking to the insurance industry to provide coverage for the cyber risks they face, we asked authors to “share their thoughts and reflections on either how insurance companies should deal with cyber risk in an ERM context, or how insurance companies can respond to society’s call to action to expand cybersecurity insurance offerings.” We receive
2017
A Bayesian MCMC stochastic loss reserve model provides an arbitrarily large number of equally likely parameter sets that enable one to simulate future cash flows of the liability. Using these parameter sets to represent all future outcomes, it is possible to describe any future state in the model’s time horizon including those states necessary to calculate a cost of capital risk margin.
2017
In this paper, we study reinsurance treaties between an insurer and a reinsurer, considering both parties’ interests. Most papers only focus on the insurer’s point of view. The latest research considering both sides has considerably oversimplified the joint survival function. This situation leads to an unrealistic optimal solution; one of the parties can make risk-free profits while the other bears all the risk.
2017
Analysis of insurance data provides input for making decisions regarding underwriting, pricing of insurance products, and claims, as well as profitability analysis. In this paper, we consider graphical modeling as a vehicle to reveal dependency structure of categorical variables used in the Australian Auto mobile data. The methodology developed here may supplement the traditional approach to ratemaking.
2017
This paper discusses some strategies to better handle the modeling of loss development patterns. Some improvements to current curve and distributionfitting strategies are shown, including the use of smoothing splines to help the modeled patterns better fit the data. A strategy is shown for applying credibility to these curves that produces results that are wellbehaved and that can be implemented without the use of Bayesian software.
2017
Excess of policy limits (XPL) losses is a phenomenon that presents challenges for the practicing actuary. This paper proposes using a classic actuarial framework of frequency and severity, modified to address the unique challenge of XPL. The result is an integrated model of XPL losses together with nonXPL losses.
2017
Claim management requires applying statistical techniques in the analysis and interpretation of the claims data. The central piece of claim management is claims modeling and prediction.
2017
This article will discuss the use of results from popular Property Catastrophe models. It will explain common terms like Occurrence Exceedance Probability (OEP) and Aggregate Exceedance Probability (AEP) and show how these are related to event count and event size ideas. Simulation and the use of multiple models (blending) will also be discussed.
2017
The ultimate cost of an unpaid individual claim follows a probability distribution, and usually will not be the exact point resulting from use of a loss development factor. So, when actuaries apply loss development factors to individual claims, they often create biased estimates of excess loss costs. Methods for creating a loss development probability distribution are developed.
2017
Traditional reserve estimators such as chain-ladder and Bornhuetter-Ferguson model unpaid losses as a function of accident period versus lag to payment or reporting. The result of primary interest is expected future losses; these are derived from intermediate results such as lag factors and loss ratios.
2017
SIMEX (Simulation-Extrapolation) is a very general technique that helps to correct for bias in estimates caused by errors in measurements of predictors. The method is well established in statistical practice, but seems to not be as widely known in actuarial circles. Using ordinary least squares regression as an example, the method is illustrated using some simple R code.
2017
This paper illustrates a comprehensive approach to utilizing and credibility weighting all available information for large account and excess of loss treaty pricing. The typical approach to considering the loss experience above the basic limit is to analyze the burn costs in these excess layers directly (see Clark 2011, for example).
2017
The mathematical foundation of on-leveling premium is explicitly stated. This is combined with an appropriate set of assumptions to derive the formulae for on-leveling premium by rate book (described within) and for using the Parallelogram Method. It is demonstrated in an appendix that this foundation subsumes all works in the bibliography.
2017
This compendium summarizes the various aspects of credit risk that are important to insurance companies in general, namely corporate credit risk (single and multi-name), typical credit-sensitive securities, credit risk for individuals (including mortgage insurance), municipal credit risk, sovereign credit risk, counterparty risk, and regulatory and enterprise risk management.
2017
We present and discuss an insurance version of the classical Capital Asset Pricing Model that offers economic pricing and risk capital allocation rules for a large class of risks, including those that are non- symmetric and heavy tailed. A number of illustrative examples are given, and convenient computational formulas suggested.
2017
CAS E-Forum, Spring 2017 Volume 2 Featuring Two Reinsurance Call Papers
2017
CAS E-Forum, Spring 2017 Featuring two CAS-Sponsored Research Reports, Ratemaking Call Papers and Independent Research
