Browse Research
Viewing 2376 to 2400 of 7690 results
2006
Hurricane Katrina not only devastated a large area of the nation's Gulf coast, it also raised fundamental questions about ways the nation can, and should, deal with the inevitable problems of economic risk and social responsibility. This volume gathers leading experts to examine lessons that Hurricane Katrina teaches us about better assessing, perceiving, and managing risks from future disasters.
2006
We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk of disappointment ex post.
2006
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data driven.
2005
Renshaw and Verrall [11] specified the generalized linear model (GLM) underlying the chain-ladder technique and suggested some other GLMs which might be useful in claims reserving. The purpose of this paper is to construct bounds for the discounted loss reserve within the framework of GLMs.
2005
A multiperiod model is developed to measure the costs posed to the guaranty fund in a setting that incorporates risk-based capital regulations, interest rate risk and the possibility of catastrophic losses. The guaranty contract is modeled as a put option on the asset of the insurance company with a stochastic strike price and an uncertain maturity.
2005
This paper is aimed at the practicing actuary to introduce the theory of extreme values and a financial framework to price excess-of-loss reinsurance treaties. We introduce the reader to extreme value theory via the classical central limit theorem. Two key results in extreme value theory are presented and illustrated with concrete examples.
2005
Reinsurers typically face two problems when they want to use insurer claim severity experience to experience rate their liability excess of loss treaties. First, the claim severity data has insufficient volume to make credible projections of excess layer costs. Second, the data they do receive is not fully developed. Most claims that pierce the excess layers can take at least a few years to settle.
2005
Renshaw and Verrall specified the generalized linear model (GLM) underlying the chain-ladder technique and suggested some other GLMs which might be useful in claims reserving. The purpose of this paper is to construct bounds for the discounted loss reserve within the framework of GLMs.
2005
Motivation: Data Warehouses and Data Marts increase the power and efficiency of an Insurance company’s Business Intelligence capabilities by supporting queries, OLAP and data mining. Web-enabling of these applications makes them more user-friendly. The potential benefits greatly outweigh the costs.
2005
This paper tells of the importance of capital for insurance companies and how, as a result of the crises of 2000-2003, they have learned to better manage their capital and risk.
2005
In a recent paper, Salminen and Yor relate the distribution of the Dufresne's reflected perpetuity where Bµ is Brownian motion with drift µ>0, to the hitting time of a reflected Bessel process. In this contribution, we adapt the results of Salminen and Yor in several ways. First, we use spectral theory to obtain a series expansion for the distribution of I+ that renders this quantity applicable to actuarial purposes.
2005
Capital allocation techniques are of central importance in portfolio management and risk-based performance measurement. In this paper we propose an axiom system for capital allocation and analyze its satisfiability and completeness: it is shown that for a given risk measure 03C1 there exists a capital allocation 039B03C1 that satisfies the main axioms if and only if 03C1 is subadditive and positively homogeneous.
2005
The purpose of this study note is to explain the key accounting concepts and issues in the recording and evaluation of premium information, specifically with regard to financial reports.
2005
A general formulation of risk load for total cash flows is presented. It allows completely additive co-measures at any level of detail for any dependency structure between random variables constituting the total.
2005
When insurance claims are governed by fat-tailed distributions considerable uncertainty about the value of the tail-index is often inescapable. In this paper, using the theory of risk aversion, a new premium principle (the power principle - analogous to the exponential principle for thin-tailed claims) is established and its properties investigated.
2005
The paper discusses the development and operation of terrorism insurance programmes established in France, Germany and the U.S as reaction to 9/11. These three programmes are all based upon a public-private partnership with government backup. However, there are some fundamental differences regarding issues such as exclusions, price differentiation, risk mutualization, current level of terrorism insurance demand and the government exit strategy.
2005
The large number of high severity D&O losses of the past few years has affected the D&O market place creating a serious capacity crunch. The pricing of this line of business has increased dramatically while restricting coverage. This paper will present an objective methodology based on financial market theory to quantify the risk of writing a large D&O reinsurance portfolio.
2005
We consider a class of compound renewal (Sparre Andersen) risk process with claim inter-arrival times having a discrete Km distribution, i.e., the probability generating function (p.g.f.) of its distribution function is a ratio of two polynomials of order . The classical compound binomial risk model is a special case when m=1. Li [16] gives a recursive formula for the Gerber-Shiu function.
2005
Phase-type distributions, defined as the distributions of absorption times of certain Markov jump processes, constitue a class of distributions on the positive real axis which seems sto strike a balance between generality and tractability.
2005
We derive an expression for the density of the time to ruin in the classical risk model by inverting its Laplace transform. We then apply the result when the indivdual claim amount distribution s a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.
2005
Motivation: The author strongly believes that future generations of DFA software should employ cardinally different interfaces in order to reflect growing complexity and provide necessary flexibility for the models.
Method: Work by analogy. Among existing software products the author found one with the interface almost ideally fitting to the future needs of DFA packages.
2005
This purpose of this paper is to illustrate the impact that changing exposure levels have on calendar year loss trends by creating a situation where the calendar year loss trends are inaccurate. The results show that the calendar year loss trends can be distorted significantly by exposure level changes, with the potential to affect rate levels if not accounted for. However, the effect of changing exposure could be accounted for.
2005
The workers compensation tail largely consists of the medical component of permanent disability claims (MPD). Yet the nature of MPD payments is not widely understood and is counter to that presumed in common actuarial methods.
This paper presents an analysis of medical payments based on 160,000 permanently disabled claimants over 77 accident years.
2005
This study note was prepared for use on the CAS Exam Syllabus.
