Browse Research
Viewing 1826 to 1850 of 7690 results
2008
Assume that an insurance company pays dividends to its shareholders whenever the surplus process is above a given threshold. In this paper we study the expected amount of dividends paid, and the expected time to ruin in the compound Poisson risk process perturbed by a Brownian motion. Two models are considered: In the first one the insurance company pays whatever amount exceeds a given level b as dividends to its shareholders.
2008
In an arbitrage-free economy, it is well-known that financial risks can be priced using equivalent martingale measures. We establish in this paper that, for general stochastic processes, the Wang Transform does not lead to a price which is consistent with the arbitrage-free price. Based on these results we must conclude that the Wang Transform cannot be a universal framework for pricing financial and insurance risks.
2008
We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.
Keywords: Individual risk model, premium, optimality.
2008
Using probabilistic arguments we obtain an integral expression for the joint density of the time of ruin and the deficit at ruin. For the classical risk model, we obtain the bivariate Laplace transform of this joint density and invert it in the cases of individual claims distributed as Erlang(2) and as a mixture of two exponential distributions. As a consequence, we obtain explicit solutions for the density of the time of ruin.
2008
We consider a dependent portfolio of insurance contracts. Asymptotic tail probabilities of the ECOMOR and LCR reinsurance amounts are obtained under certain assumptions about the dependence structure.
Keywords: Archimedean copula, Dependence, ECOMOR and LCR reinsurance, Tail probability.
2008
In this paper, we consider the problem of Pareto optimal allocation in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent to a modified sup-convolution of the different agents’ preference functionals.
2008
We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Bühlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims.
2008
The US workers compensation system is different from those in many countries, but it is reinsured in the world-wide market and so has international impact. From its origin in the early 20th century it has been a laboratory for actuarial credibility techniques. In recent years deductibles have been increasing, so that fairly high excess coverage is now commonplace.
2008
In this paper, we study the expected discounted penalty functions and their decompositions in a Markov-modulated risk process in which the rate for the Poisson claim arrivals and the distribution of the claim amounts vary in time depending on the state of an underlying (external) Markov jump process.
2008
Robust statistical procedures have a growing body of literature and in actuarial applications have been applied in loss severity fitting. Here an introduction of robust methods is made for loss reserving. In particular, following Tampubolon [1], reserve models for a development triangle are compared based on the sensitivity of the reserve estimates to changes in individual data points.
2008
Many loss reserving models are over-parameterized yet ignore calendar-year (diagonal) effects. Venter [1] illustrates techniques to deal with these problems in a regression environment. Venter [2] explores distributional approaches for the residuals. Gluck [3] shows that systematic effects can increase the reserve runoff ranges by more than would be suggested by models fitted to the triangle data alone.
2008
This paper motivates the benefits of modeling trends, volatility and correlations through a study of real data triangles.
We show that a model that is demonstrably unable to forecast the recent past of the historical triangle cannot be expected to tell us anything useful about the future of the same process. Naturally, the same basic model fitted by applying a more sophisticated tool will suffer the same fate.
2008
Motivation: Capital allocation can have substantial ramifications upon measuring risk adjusted profitability as well as setting risk loads for pricing. Current allocation methods that emphasize the tail allocate too much capital to extreme events; “capital consumption” methods, which incorporate relative likelihood, tend to allocate insufficient capital to highly unlikely yet extremely severe losses.
2008
Dimension reduction is one of the major tasks for multivariate analysis, it is especially critical for multivariate regressions in many P&C insurance-related applications. In this paper, we’ll present two methodologies, principle component analysis (PCA) and partial least squares (PLC), for dimension reduction in a case that the independent variables used in a regression are highly correlated.
2008
Rate regulation has a long history in insurance markets. In many states an important goal of regulation is to reduce price variation across purchasers, and specifically to reduce price levels for high-risk purchasers. That feature of rate regulation leads to price cross-subsidies from low-risk purchasers to high-risk purchasers.
2008
Reserve ranges and risk capital requirements can be related to statistical interval estimates. While not all sources of uncertainty are readily incorporated into an interval estimate, such intervals give a lower bound on the size of the required interval.
2008
2008 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.
2008
2008 Fall CAS E-Forum including Reserves Call Papers 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.
2008
This paper uses the financial data of some property-liability insurance companies in Egypt to develop a multivariate model that reflects the efficiency of financial performance. Data will be classified statistically among three categories of financial performance based on the results of fuzzy clustering.
2008
Motivation: Provide an introduction to data quality and data management directed at actuaries.
Method: Expand on the concepts in Actuarial Standard of Practice No. 23 (Data Quality), then introduce practical methods that actuaries, actuarial analysts, and management can apply to improve their situation, with references for more information.
