Browse Research
Viewing 2026 to 2050 of 7690 results
2007
The operation and management of local Chinese securities companies is not yet mature with a history of less than 20 years. The fact remains that most of the risk lies on the companies’ embezzlement of customers’ funds or failure of supervising the behavior of their branches. Thus we developed an operational risk management framework for local Chinese securities companies and a set of tools to manage their branches.
2007
Based on recent work by Kevin Dowd on investor loss aversion preferences and work by Benoit Mandelbrot on Stable Paretian distributions with Huston McCulloch’s parameter estimation procedures, this paper recommends the practical application of new portfolio risk/return measurements to achieved and back tested stock portfolio performance.
2007
Risks of different types are embedded into every business process and every business activity no matter what the business of the organization. At the same time, today all organizations seeking sustainable growth simultaneously manage a number of projects: endeavors that are even riskier than their usual daily routine.
2007
The objective of this article is to identify and explore the fundamental issues necessary to design an integrated model of financial risk (hereinafter referred as “FR”) and operational risk (hereinafter referred as “OR”) within the framework of enterprise risk management (hereinafter referred as “ERM”) for the insurance industry.
2007
Enterprise risk managers should explicitly relate the firm’s business model to the risk supported by the economic capital. The economic capital, risk drivers and business model are intricately integrated. The purpose of this paper is to demonstrate this point. This business model approach has many applications. For example, in order to ensure the safety and soundness of the U.S.
2007
We use arbitrage arguments to characterise the relationship between required shareholder returns and the exposure to downside risk, as measured by VaR at stated confidence level and time horizon. We show that skewness and diversification have a major impact on zero-NPV RAROC (return on capital) hurdles, implying that use of return on capital with a constant hurdle rate can lead to substantial loss of shareholder value.
2007
2007
This paper discusses statutory incurred losses, tax basis incurred losses, and IRS loss reserve discount factors.
• Calendar year statutory incurred losses are paid losses plus the change in full value loss reserves from the beginning to the end of the year.
• Tax basis incurred losses are paid losses plus the change in the discounted loss and loss adjustment expense reserves from the beginning to the end of the year.
• The IRS reserve discount f
2007
This reading explains tax influences on investment strategy for property-casualty insurers.
Learning objectives: Why do property-casualty insurers choose certain asset classes? Why do they prefer bonds over stocks? Why are they a major clientele for municipal bonds? What type of stocks are best for insurers?
2007
Knowledge of federal income taxes is essential for policy pricing, company valuation, and financial modeling, and actuaries frequently aid tax accountants in preparing the federal tax returns. In the past, some actuaries used rules of thumb to avoid dealing explicitly with taxes, such as grossing up the underwriting profit margin by 1/(1 – 35%) and using after-tax investment yields.
2007
This actuarial standard of practice (ASOP) provides guidance to actuaries when performing professional services relating to the estimation of loss and loss adjustment expense for unpaid claims for property/casualty coverages. Any reference to “unpaid claims” in this standard includes (unless explicitly stated otherwise) the associated unpaid claim adjustment expense even when not accompanied by the estimation of unpaid claims.
2007
Many actuaries like pricing all policies to the same return while letting Surplus requirements vary with risk. But, how do you measure the return on a policy? It is not as easy to define as its loss ratio. At this session, three related return measures will be presented. They are different adaptations of GAAP ROE down to a policy level.
2007
Traditional techniques for analyzing vehicle service contracts rely on loss development techniques. This session will explain why loss development is, in general, a poor method for projection.
An alternative method is developed using the attributes for a particular contract. GLM or minimum bias techniques are applied to develop an individual estimated cost-per-mile for each contract using a wide variety of contract level data.
2007
Estimating trend rates of growth of frequency and severity is crucial to workers compensation ratemaking. Trend growth rates can be estimated using unobserved components models and structural time series models.
2007
For the first time in many years, NCCI has modified the methodology used to determine a state’s overall average loss cost or rate level indication for workers compensation. The aggregate ratemaking methodology was modified specifically to handle two general categories of large events for which workers compensation exposure exists.
2007
People in insurance work all the time with financial processes that are best modeled with skewed distributions. Despite our constant exposure to skewed distributions, I believe when we study sample averages from these skewed distributions we think and work with them as if they were samples from normal symmetrical distributions.
2007
It has been known since Zehnwirth (1977) that a scalar credibility coefficient is closely related to the F-statistic of an analysis of variance between and within risk clauses. The F-statistic may also be viewed as testing a certain regression structure, associated with credibility framework, against the null hypothesis of a simpler structure.
2007
The authors review various facts about copulas linking discrete distributions. They show how the possibility of ties that results from atoms in the probability distribution invalidates various familiar relations that lie at the root of copula theory in the continuous case. They highlight some of the dangers and limitations of an undiscriminating transposition of modeling and inference practices from the continuous setting into the discrete one.
2007
A number of standard market models are studied. For each one, algorithms of computational complexity equal to the number of rates times the number of factors to carry out the computations for each step is introduced. Two new classes of market models are developed and it is shown for them that similar results hold.
2007
A number of standard market models are studied. For each one, algorithms of computational complexity equal to the number of rates times the number of factors to carry out the computations for each step is introduced. Two new classes of market models are developed and it is shown for them that similar results hold.
2007
Estimation of rates of onset of rare, late-onset dominantly inherited genetic disorders is complicated by: (a) probable ascertainment bias resulting from the ‘recruitment’ of strongly affected families into studies; and (b) inability to identify the true ‘at risk’ population of mutation carriers.
2007
Estimation of rates of onset of rare, late-onset dominantly inherited genetic disorders is complicated by: (a) probable ascertainment bias resulting from the ‘recruitment’ of strongly affected families into studies; and (b) inability to identify the true ‘at risk’ population of mutation carriers.
2007
This paper addresses the Bayesian estimation of the shape parameter of Pareto distributions, and its application to premium calculation of large claims excess of loss (XL) reinsurance contracts. It studies the use of the generalized inverse Gaussian (GIG) as a Pareto prior conjugate, a family that contains as a particular case the gamma distribution.
