Browse Research
Viewing 2251 to 2275 of 7690 results
2006
In this paper we consider the important circumstances involved when risk managers are concerned with risks that exceed a certain threshold. Such conditions are well-known to insurance professionals, for instance in the context of policies involving deductibles and reinsurance contracts. We propose a new premium called tail variance premium (TVP) which answers the demands of these circumstances.
2006
We consider a classical surplus process where the insurer can choose a different level of reinsurance at the start of each year. We assume the insurer’s objective is to minimise the probability of ruin up to some given time horizon, either in discrete or continuous time.We develop formulae for ruin probabilities under the optimal reinsurance strategy, i.e.
2006
The tail behavior of sums of dependent risks was considered by Wüthrich (2003) and by Alink et al. (2004, 2005) in the case where the variables are exchangeable and connected through an Archimedean copula model. It is shown here how their result can be extended to a broader class of dependence structures using multivariate extreme-value theory.
2006
In a simple stationary setting with constant interest rate, we derive pricing formulas for defaultable bonds with stochastic recovery rate using a replication argument. Replication is done by using an insurance contract (i.e. a kind of credit default swap), the price of which is determined by a dynamic premium calculation principle.
2006
The UK Biobank project is a proposed large-scale investigation of the combined effects of genotype and environmental exposures on the risk of common diseases. It is intended to recruit 500,000 subjects aged 40-69, to obtain medical histories and blood samples at outset, and to follow them up for at least 10 years.
2006
Entry ratio tables are often a convenient mechanism for capturing information that is subject only to scale transforms. For example, the National Council on Compensation Insurance, Inc. (NCCI) stores excess loss factors (ELFs) in entry ratio tables. To determine an ELF at an attachment point, you simply divide the attachment point by the mean loss, and use that "entry ratio" value to look up the ELF in the table.
2006
An in-depth review of the NCCI excess loss factors (ELFs) was recently completed and changes were implemented in the 2004 filing season. The most significant change was to incorporate the latest data, but the methodology was thoroughly reviewed and a number of methodological changes were made as well.
2006
This paper presents an additional method for calculation "adjusting & other" claim handling expenses. The method is contrasted with other methods present in actuarial literature.
2006
This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann's equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.
2006
It is now widely accepted that stochastic mortality - the risk that aggregate mortality might differ from that anticipated - is an important risk factor in both life insurance and pensions. As such it affects how fair values, premium rates, and risk reserves are calculated.
2006
This paper examines the validity of some stylized statements that can be found in the actuarial literature about random effects models. Specifically, the actual meaning of the estimated parameters and the nature of the residual heterogeneity are discussed. A numerical illustration performed on a Belgian motor third party liability portfolio supports this discussion.
2006
Quadratic optimization is the classical approach to optimal control of pension funds. Usually the payment stream is approximated by a diffusion process. Here we obtain semiexplicit solutions for quadratic optimization in the case where the payment process is driven by a finite state Markov chain model commonly used in life insurance mathematics. The optimal payments are affine in the surplus with state dependent coefficients.
2006
An exchange economy is considered, where agents (insurers/banks) trade risks. Decision making takes place under distorted probabilities, which are used to represent either rank-dependence of preferences or ambiguity with respect to real-world probabilities.
2006
Consider a portfolio containing heterogeneous risks, where the policyholders' premiums to the insurance company might not cover the claim payments. This risk has to be taken into consideration in the premium pricing. On the other hand, the premium that the insureds pay has to be fair. This fairness is measured by the distance between the risk and the premium paid.
2006
Estimation risk is known to have a huge impact on mean/variance optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. This issue has attracted new interest in the last years, and several approaches to incorporate estimation risk into portfolio selection have been developed only recently.
2006
Consider the classical compound Poisson model of risk theory, in which dividends are paid to the shareholders according to a barrier strategy. Let b* be the level of the barrier that maximizes the expectation of the discounted dividends until ruin. This paper is inspired by Dickson and Waters (2004). They point out that the shareholders should be liable to cover the deficit at ruin.
2006
We are proposing a parametric model to rate insurance for vehicles belonging to a fleet. The tables of premiums presented take into account past vehicle accidents, observable characteristics of the vehicles and fleets, and violations of the road-safety code committed by drivers and carriers. The premiums are also adjusted according to accidents accumulated by the fleets over time.
2006
This chapter will apply continuous Fourier transforms to compute the bivariate aggregate claims distribution arising from a bivariate severity distribution and a univariate claim count distribution.
2006
This chapter discusses an approach to model the value of an outstanding, discounted liability under the impact of uncertain interest and inflation rates. Interest and inflation rates are modeled separately as time series to take into account autocorrelation. Subsequently, the dependence between interest and inflation is modeled using copulas.
2006
The paper proposes a measure for risk transfer, the portion or percentage of risk transferred ("PRT") that varies between 0% and 100%. Such measure would provide a superior basis for a binary decision between reinsurance accounting and deposit accounting (with a likely critical value of 50%). A preferred approach would be to use PRT as the basis for continuous accounting.
2006
The RMK pricing algorithm provides a method for pricing insurance contracts or reinsurance deals. This paper discusses the incorporation of systematic, or non-diversifiable, risk into the RMK framework.
2006
There are several methods in use today for estimating tail factors. However, most of them are discussed as adjuncts to papers that primarily deal with other subjects. This paper will present a wide variety of method in an understandable format, and includes copious examples.
2006
In insurance pricing, it is convenient to split the total risk load for a policy into the market risk load and the insurer specific risk load, and calculate each separately. The market risk load represents an equilibrium price on a competitive insurance market.
2006
We present a rich, yet tractable, multivariate Bayesian model of claim count development. The model combines two conjugate families: the gamma-Poisson distribution for ultimate claim counts and the Dirichlet-multinomial distribution for emergence.
