Browse Research
Viewing 1726 to 1750 of 7690 results
2008
Dynamic valuation models for the computation of optimum fair premiums are developed using a new framework. The concept of fair premiums which are also “best” is introduced. Optimum fair premiums are defined as the minimum discounted losses for an insurance firm or industry. This notion extends the discrete and continuous discounted cash flow models in many ways.
2008
Longitudinal data (or panel data) consist of repeated observations of individual units that are observed over time. Each individual insured is assumed to be independent but correlation between contracts of the same individual is permitted.
2008
Significant work on the modeling of asset returns and other economic and financial processes is occurring within the actuarial profession, in support of risk-based capital analysis, dynamic financial analysis, pricing embedded options, solvency testing, and other financial applications. Although the results of most modeling efforts remain proprietary, two models are in the public domain.
2008
The present paper provides a unifying survey of some of the most important methods of loss reserving based on run-off triangles and proposes the use of a family of such methods instead of a single one.
2008
All of us, especially those of us working in insurance, are constantly exposed to the results of small samples from skewed distributions. The majority of our customers will see small sample results below the population mean. Also, the most likely sample average value for any small sample from a skewed population will be below the mean of the skewed population being sampled. Experienced actuaries are aware of these issues.
2008
In this article, we present a Bayesian approach for calculating the credibility factor. Unlike existing methods, a Bayesian approach provides the decision maker with a useful credible interval based on the posterior distribution and the posterior summary statistics of the credibility factor, while most credibility models only provide a point estimate.
2008
Dynamic financial analysis (DFA) has become an important tool in analyzing the financial condition of insurance companies. Constant development and documentation of DFA tools has occurred during recent years. However, several questions concerning the implementation of DFA systems have not yet been answered in the DFA literature. One such important issue is the consideration of management strategies in the DFA context.
2008
This paper examines the impact of capital level on policy premium and shareholder return. If an insurance firm has a chance of default, it covers less liability than a default-free firm does, so it charges less premium. We explain why policyholders require greater premium credits than the uncovered liabilities. In a default-free firm, if frictional costs are ignored, we prove shareholders are indifferent to the capital level.
2008
When focusing on reserve ranges rather than point estimates, the approach to developing ranges across multiple lines becomes relevant. Instead of being able to simply sum across the lines, we must consider the effects of correlations between the lines. This paper presents two approaches to developing such aggregate reserve indications. Both approaches rely on a simulation model.
2008
This article reviews the current status of the market for catastrophic risk (CAT) bonds and other risk-linked securities. CAT bonds and other risk-linked securities are innovative financial vehicles that have an important role to play in financing mega-catastrophes and other types of losses.
2008
When they occurred the 9/11 terrorist attacks constituted the most costly event ever in the history of insurance, raising the question of what are the most effective ways for a country to recover from economic losses from terrorism? This paper discusses the emergence of terrorism insurance market.
2008
After all this time, I am still shocked that certain investment banks (that are experts at distributing credit risk) held so much credit risk at the worst possible time. For insurers to avoid similar situations, the obvious solution is to clearly identify their roles as risk distributors or risk insurers. However, this is not always a realistic option in a world with sticky prices and volatile market shares.
2008
The current crisis is catalyzing an array of responses, including searching for causes, reworking regulations, scapegoating and a massive capital injection. Without a clear understanding of the cause, the remedies may do more harm than good, innocents may be scapegoated, and valuable progress in financial tools may be lost. Worse, it will happen again.
Keywords: Enterprise Risk Management
2008
Risk modelling is a risky business, but the burden of risk model failure is often borne by society in general rather than the firm in particular. This division of the ultimate cost ensures that risk models systemically underestimate the risk, as they are designed to capture only that part of the risk borne by the firm.
2008
As one highly rated financial firm after another blows up, what is the right conclusion to draw about enterprise risk management (ERM)? Does the financial crisis of 2008-09 demonstrate its criticality, or does it bring the whole concept into disrepute?
2008
Much of the current crisis can be traced to models that failed to adequately reflect risk, both in housing costs and complex financial instruments. Even if historical homeprice data had never recorded changes like those realized recently, data from other bubbles, from tulip bulbs on, could have been used. It was not clear that housing was in a bubble, but bubble scenarios should have been in the models.
2008
Something as massive as the current financial crisis is much too large to have one or two or even three simple drivers. Below is a discussion of three drivers that are often not at the top of lists about the origins of the crisis. And in all three cases, my mother would have cautioned against those mistakes.
Keywords: Enterprise Risk Management
2008
Investing for insurance companies in the United States and Canada is a balancing act. There are numerous restrictions on allowable investments. Portfolio yield is very important, because insurance companies are relying on the investment returns to supplement the operating income. Since the burst of the Internet bubble in 2001, the interest rates fell and stayed low for a number of years.
2008
Our current financial crisis has wreaked havoc on the credit markets, the stock market and the entire economy. We must remember that the root cause of this crisis is the collapse of the residential housing market, which has been further exacerbated by the continuing downward housing spiral.
2008
The most notable thing about the current crisis in the financial markets is the nature of the instruments that caused the trouble. The subprime mortgage debacle would have been bad enough by itself, but it has been aggravated out of all proportion by marketing of mortgage obligations as CDOs, sliced and diced in backroom chop shops, blessed by the laying on of hands by the rating agencies and sold over the counter to the unsuspecting.
2008
Arguably, many of the fundamental contributing factors to the 2008 mortgage crisis involved misdirected incentives and misinformation available to key participants in the housing finance process. The incentives discussed here include those of the mortgage holders, mortgage intermediaries, mortgage providers, securitizers, raters and CEOs and other highly paid staff of those involved.
2008
This article presents a hypothesis that the market cycles are primarily created by human actions, behavior and assumptions rather than by random variables. An analysis of main financial events over the last decade reveals that:
• Every one of these events has had a human touch.
• The current financial crisis is an aftermath of the excessive economic boom during this period.
2008
In a recent Casualty Actuarial Society VALCON1 list email, Gary Venter distributed foreclosure rates for cohorts of subprime mortgages organized by origination year. Venter noted that when the data are transposed, they have the form of a loss development triangle, a standard tool applied by property and casualty actuaries to estimate ultimate liabilities.
2008
Various ingredients contributed to the current financial crisis, and we can learn many lessons from the crisis. Yet rather than myopically focus on the particular minutiae of the current circumstances, we ought to pay special attention to those central issues that underpin the current crisis, past crises and future crises.
Keywords: Enterprise Risk Management
