Browse Research
Viewing 1501 to 1525 of 7690 results
2009
This paper investigates the effects of high or low fair-premium demand elasticity in an insurance market where risk classification is restricted. The effects are represented by the equillibrium premium, and the risk-weighted insurance demand or "loss coverage". High fair-premium demand elasticity leads to a collapse in loss coverage, with an equillibrium premium close to the risk of the higher-risk population.
2009
The cost of adverse selection in life and in critical illness (CI) insurance markets, brought about by restrictions on insurers' use of genetic test information, has been studied for a variety of rare single-gene disorders. Only now do we have a study of a common disorder (breast cancer) that accounts for the rist associated with multiple genes. Such a collection of genes is called a polygene.
2009
Traditionally, migrations of a single driver across classes of the Bonus-Malus system are modeled as a simple homogeneous Markov chain. Generalization to the case when the modeled object is a population of drivers is straightforward provided all drivers are characterized by the same claim frequency.
2009
This paper gives a formula representing all discrete loss distributions of the Panjer class (Poisson, Binomial, and Negative Binomial) in one. Further it provides an overview of the many Negative Binomial variants used by actuaries.
Keywords: Panjer class, discrete loss distribution, Negative Binomial
2009
In insurance and even more in reinsurance it occurs that from a risk you only know that it had no losses in the past say seven years. Some of these risks are furthermore such particular that there are no similar risks to infer the loss frequency from.
In this paper we propose a loss frequency estimator which is able to handle such situations reasonably, just relying on the information coming from the risk itself.
2009
The hunger for bonus is a well-known phenomenon in insurance, meaning that the insured does not report all of his accidents to save bonus on his next year's premium. In this paper, we assume that the number of accidents is based on a Poisson distribution but that the number of claims is generated by censorship of this Poisson distribution. Then, we present new models for panel count data based on the zero-in ated Poisson distribution.
2009
Although, traditional reinsurance has successfully covered the economic consequences of the large natural disasters, there is still a great discussion for alternative risk transfer techniques. In this article, we investigate the data of the earthquakes in Greece. Actually, we explore all the basic characteristics of an earthquake as normally reported by seismologists and the potential relationship with the volume of the respective damages.
2009
This paper generalizes the results on optimal reinsurance pre-sented in Centeno and Guerra (2008) to the case of an insurer holding a portfolio of k dependent risks. It is assumed that the number of claims of a risk may depend on the number of claims of the other risks of the portfolio.
2009
There is an ongoing debate about the change in frequency and intensity of hurricanes due to climate change. In addition to the variety of opposing arguments that have arisen in this discussion, available data shows that while hurricane frequency in the Atlantic basin seems to increase, hurricane frequency in the Pacific basin seems to decrease.
2009
This paper shows that the one-factor Gaussian copula model, the standard market model for valuing CDO’s, can be derived from the multivariate Wang transform, which is consistent with Buhlmann’s equilibrium pricing model, whence it has a sound economic interpretation. The Gaussian copula model is then extended within the Buhlmann’s framework.
2009
This paper presents a unifying stochastic approach to modelling the reinsurance credit risk in a DFA environment. The approach relies on the key ideas of de ning the reinsurer default as the outcome of an asset impairment event and modelling default events being dependant on the current state of global reinsurancemarket.
2009
This paper illustrates a Bayesian method to estimate the predictive distribution for outstanding loss liabilities that can be applied when there is either insufficient data or little actuarial expertise. The assumptions made are that the unpaid losses can be described by the collective risk model and that the scenarios that make up the prior distribution contain the possible loss ratio and loss development factors.
2009
Both the Swiss Solvency Test (SST) and solvency II in the EU are the framework of a new, risk based solvency regulation. In this paper we concentrate on the insurance risk. We will compare the two models and discuss what is common and what is different in the two models. Emphasis will be lead on the estimation of the parameters and some new parameter estimators will be presented.
2009
According to the current Solvency II standard approach, non-life risk capital charges take into account geographical diversification by adjusting volume measures using a Herfindahl-Hirschman concentration index for premiums and reserves at a line of business level. The lower the Herfindahl index the less concentrated is a portfolio and the greater is its diversification extent.
2009
Abstract. In this paper, we construct a permit market model to derive a pricing formula of contingent claims traded in the market in a general equilibrium
framework. It is shown that prices of contingent claims exhibit significantly different properties from those in the ordinary financial markets.
2009
In this paper the catastrophe bond prices, as determined by the market, are analysed. The limited published work in this area has been carried out mainly by cat bond investors and is based either on intuition, or on simple linear regression on one factor or on comparisons of the prices of cat bonds with similar features. In this paper a Generalised Additive Model is fitted to the market data.
2009
Existing models of the market price of cat bonds are often overly exotic or too simplistic; we intend to offer 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.
2009
In this article, we consider several aspects of risk measures from the internal models’ perspective. We critically review the most widely used classes of risk measures. Especially, we attempt to clear up some
of the most commonly misconstructed aspects: the choice between risk measures, and practical data and forecasting issues, like the importance of robustness.
2009
In the valuation of the Solvency II Capital Requirement, the correct appraisal of risk interdependencies acquires particular importance. These interdependencies refer to the recognition of risk diversification in aggregation process.
2009
The purpose of this paper is to propose a realistic and operational model to quantify the systematic risk in credit risk insurance. The model presented is built on the basis of classical credit risk model in which the joint laws of the risk factors become non gaussian. We discuss also the way to take into account the ability for the insurer to mitigate the risk.
Keywords: Credit risk, NORTA method, default probabilty.
2009
In this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Levy copula as in Bocker and Kluppelberg (2006) and Bocker and Kluppelberg, C. (2008).
2009
This contribution shows that for certain classes of insurance risks, pricing can be based on expected values under a probability measure P* amounting to quasi risk-neutral pricing. This probability measure is unique and optimal in the sense of minimizing the relative entropy with respect to the actuarial probability measure P, which is a common approach in the case of incomplete markets.
2009
Frangos and Vrontos (2001) proposed an optimal bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance. In this paper, we introduce a generalized form of those obtained previously.
Keywords: Bonus-malus systems, frequency component, severity component.
2009
In recent Solvency II considerations much effort has been put into the development of appropriate models for the study of the one-year loss reserving uncertainty in non-life insurance. In this article we derive formulas for the conditional mean square error of prediction of the one-year claims development result in the context of the Bayes chain ladder model studied in Gisler-Wüthrich [9].
2009
We consider variation of observed claim frequencies in non-life insurance, modeled by Poisson regression with overdispersion. In order to quantify how much variation between insurance policies that is captured by the rating factors, one may use the coefficient of determination, R2 (squared), the estimated proportion of total variation explained by the model.
