Browse Research
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2006
Three-dimensional geometry and calculus are useful conceptual and analytical tools for working with valuations of insurance statistics. Geometry can be used to provide a pictorial representation of a database and illustrate differences between calendar, exposure/accident and policy year concepts. Calculus can be used to estimate on-level, trended and developed statistics used in ratemaking and reserving.
2006
The Bornhuetter/Ferguson loss reserving method consists of selecting a development pattern and, for each accident year, an initial ultimate loss ratio. From these, the reserve estimate is derived.
2006
In the present paper we review and extend two stochastic models for loss reserving and study their impact on extensions of the additive method and of the chain-ladder method. The first of these models is a particular linear model while the second one is a sequential model which is composed of a finite number of conditional linear models.
2006
Merton and Perold (1993) offered a framework for determining risk capital in a financial firm based on the cost of the implicit guarantee the firm provides to tis subsidiaries to make up any operating shortfall. Merton and Perold assume the price of such guarantees is observable from the market at large. For an insurer, this may not be a realistic assumption.
2006
Actuaries have relied on the Bornhuetter-Ferguson methodology in loss reserving since the "The Actuary and IBNR"[2] was published in 1972. The methodology is an intuitively appealing, credibility-weighted compromise between link ratio and expected loss ratio methods, where 'credibility' is inversely proportional to the remainder of the loss development tail.
2006
The process of loss development has been studied by casualty actuaries for many years. When an accident period is closed, the ultimate claim liabilities are unknown because many of the claims are still unreported and some that are reported remain unsettled. The difference between ultimate losses and reported losses is known as "Incurred But Not Reported" loss or IBNR.
2006
In his 2005 ASTIN paper (reprinted in the CAS 2006 Fall Forum), Donald Mango's ground-breaking work [1] in developing the concepts of insurance capital as a shared asset and Economic Value Added (EVA) are discussed with special emphasis on the purpose and calculation of the important Capital Call Costs.
2006
The accounting standards boards have adopted fair value measures for financial assets and liabilities, subject to reasonable constraints from established practice and uncertainties in the new procedures. FASB and IASB standards since 1992 have espoused a consistent fair value perspective for long-term bonds, common stocks, and derivative securities.
2006
2006 Winter Forum Including the Data Management Call Papers and Reports of CAS Research Working Parties Correlations and Dependencies Among All Risk Sources, and Risk Transfer Testing 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
2006
Fall 2006 Forum featuring the Reserves 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
2006
This paper is concerned with the situation that occurs in claims reserving when there are negative values in the development triangle of incremental claim amounts.
2006
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns.
2006
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets. However, they have not succeeded yet as the testing frameworks of the proposals developed, have not been widely accepted.
2006
This thesis has researched the application of economic capital for insurance firms. Whilst pension funds are basically similar to life insurance firms, their practical operation differs. For instance, pension funds are much more dependent on public policy choices and political developments. Also, pension funds have possibilities to limit indexing when developments turn out badly. This is an important steering parameter.
2006
The Monetary Control Act of 1980 requires the Federal Reserve System to provide payment services to depository institutions through the 12 Federal Reserve Banks at prices that fully reflect the costs a private-sector provider would incur, including a cost of equity capital (COE). Although Fama and French [Fama, E.F., French, K.R., 1997. Industry costs of equity.
2006
The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of business growth on aggregate loss distributions. This paper explains why an actuarial analog of the asset volume/return model should be based on a Lévy process.
