Browse Research
Viewing 2051 to 2075 of 7690 results
2007
The paper is devoted to the local moment matching method and its links with the discrete version of the s-convex extremal distributions. It is well-known that the local moment matching method can produce some negative masses. Connecting the local moment matching method to the discrete s-convex extrema gives an explicit criterion that explains why (and says when) the local moment matching method gives some negative mass.
2007
In this paper we explore the bias in the estimation of the Value at Risk and Conditional Tail Expectation risk measures using Monte Carlo simulation. We assess the use of bootstrap techniques to correct the bias for a number of different examples.
2007
A generalized estimating equations (GEE) approach is developed to estimate structural parameters of a regression credibility model with independent or moving average errors. A comprehensive account is given to illustrate how GEE estimators are worked out within an extended Hachemeister (1975) framework.
2007
In the present paper we give a short proof of a result of Zaks, Frostig and Levikson [2006] on the solution of an optimization problem which is related to the problem of optimal pricing of a heterogeneous portfolio.
2007
In this paper, we show that the delayed Sparre Andersen insurance risk model in discrete time can be analyzed as a doubly infinite Markov chain. We then describe how matrix analytic methods can be used to establish a computational procedure for calculating the probability distributions associated with fundamental ruin-related quantities of interest, such as the time of ruin, the surplus immediately prior to ruin, and the deficit at ruin.
2007
Operational risk has become an important risk component in the banking and insurance world. The availability of (few) reasonable data sets has given some authors the opportunity to analyze operational risk data and to propose different models for quantification. As proposed in Dutta and Perry [12], the parametric g-and-h distribution has recently emerged as an interesting candidate.
2007
In this paper we propose a discrete-time model with fixed maximum time to maturity of traded bonds. At each trading time, a bond matures and a new bond is introduced in the market, such that the number of traded bonds is constant. The entry price of the newly issued bond depends on the prices of the bonds already traded and a stochastic term independent of the existing bond prices.
2007
For the classical Cramér-Lundberg risk model, a dividend strategy of threshold type has recently been suggested in the literature. This strategy consists of paying out part of the premium income as dividends to shareholders whenever the free surplus is above a given threshold level.
2007
In November 1953 a circular letter was sent to a selected circle of interested persons informing them that a new actuarial Association called ASTIN was going to be created to promote the scientific development and the theory of non-life insurance. A preparatory committee Ammeter, de Finetti, Franckx, de Jong, Monic Sousselier, Vajda had been formed.
2007
The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula.
2007
Cordeiro (2002a) has presented a multiple state model for Income Protection (formerly known as Permanent Health Insurance) which enables us to analyse claims by cause of disability.
2007
A model for general insurance pricing is developed which represents a stochastic generalisation of the discrete model proposed by Taylor (1986). This model determines the insurance premium based both on the breakeven premium and the competing premiums offered by the rest of the insurance market.
2007
The aim of the paper is twofold. Firstly, to analyze the historical data of the earthquakes in the boarder area of Greece and then to produce a reliable model for the risk dynamics of the magnitude of the earthquakes, using advanced techniques from the Extreme Value Theory.
2007
A new method for analysing and projecting mortality is proposed and examined. The method takes observed time series of survival probabilities, finds the corresponding z-scores in the standard normal distribution and forecasts the z-scores. The z-scores appear to follow a common simple linear progression in time and hence forecasting is straightforward. Analysis on the z-score scale offers useful insights into the way mortality evolves over time.
2007
Traditional Chain Ladder models are based on a few cells in an upper triangle and often give inaccurate projections of the reserve. Traditional stochastic models are based on the same few summaries and in addition are based on the often unrealistic assumption of independence between the aggregate incremental values. In this paper a set of stochastic models with weaker assumptions based on the individual claims development are described.
2007
We propose practical solutions for the determination of optimal retentions in a stop-loss reinsurance. We develop two new optimization criteria for deriving the optimal retentions by, respectively, minimizing the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risks of an insurer.
2007
For the martingale case Föllmer and Sondermann (1986) introduced a unique admissible risk-minimizing hedging strategy for any square-integrable contingent claim H. Schweizer (1991) developed their theory further to the semimartingale case introducing the notion of local risk-minimization. Møller (2001) extended the theory of Föllmer and Sondermann (1986) to hedge general payment processes occurring mainly in insurance.
2007
2007 Winter Forum including the Ratemaking Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume 2007 CAS Ratemaking Call Papers Catastrophe and Workers Compensation Ratemaking by Tom Daley, ACAS, MAAA
2007
Accounting rules specify that extended warranty contracts with terms of thirteen months or longer use loss payment patterns to determine the unearned premium reserve. These payment patterns should incorporate cancellations. Ignoring cancellations overstates earned premium and understates the unearned premium reserve.
2007
Mack (1993) [2] and Murphy (1994) [4] derived analytic formulas for the reserve risk of the chain ladder method. In 1999, Mack [3] gave a recursive version of his formula for total risk. This paper provides the recursive versions of Mack’s formulas for process risk and parameter risk and shows that they agree with the formulas in Murphy [4] except for a parameter risk cross-product term. MSE is decomposed into variance and bias components.
2007
Reserve runoff ranges are often wider than they need to be. This paper applies some practical tools used by regression modelers to find ways to reduce the ranges. Four approaches are explored: finding better-fitting models; getting rid of insignificant parameters; using exposure information; and considering whether some part of the triangle should be ignored.
