Browse Research
Viewing 2401 to 2425 of 7690 results
2005
Motivation: Individual claim development is important for creating the average severity distributions that underlie most increased limits, and reinsurance pricing analyses, but most current methods do not adequately represent the true process.
Method: Transition Matrix Theory is applied to a large database of reinsurance data.
2005
Motivation: Casualty Actuaries have long been interested in the estimation of ultimate losses and ALAE. The potential variability of the ultimate outcome is critical to understanding the extent of the risks faced by the risk-bearing entity that either has adopted or is contemplating the adoption of loss and ALAE estimates.
2005
Motivation: Recent developments have created an increased interest among companies in developing formalized enterprise risk management (ERM) policies. Implicit in such an ERM policy is some statement of acceptable and unacceptable tradeoffs, or risk preferences. Since risk preferences will be a central part of the ERM policy, they should be explicitly determined.
2005
Motivation: Much of the data that actuaries work with is dirty. That is, the data contain errors, miscodings, missing values and other flaws that affect the validity of analyses performed with such data.
Methods: This paper will give an overview of methods that can be used to detect errors and remediate data problems.
2005
Motivation: To provide the ratemaking actuary with a description of typical medical malpractice tort reforms and issues involved in pricing these reforms.
Method: The paper draws primarily on the author’s own experience with reform legislation.
Results: Ten pitfalls in evaluating reforms are described.
2005
This paper presents new evidence on estimates of the cost of equity capital by line of insurance for the property-liability insurance industry. To do so we obtain firm beta methodology to decompose the cost of capital by line. We obtain beta estimates using both the standard one-factor CAPM model as well as the Fama-French three-factor cost of capital model.
2005
Proportional reinsurance is often thought to be a very simple method of covering the portfolio of an insurer. Theoreticians have not been particularly interested in analysing the optimality properties of these types of reinsurance covers.
2005
Within the last couple of decades natural and man-made catastrophes have become a source of increasing concern for the insurance industry. Industry Loss Warranties (ILWs) are reinsurance products whose payout is triggered by catastrophic insured loss.
2005
The purpose of this paper is to develop a theoretical framework within which the optimal reinsurance arrangement for catastrophic risks is explored and derived. In the model, it is assumed that the insurer values the stability of its underwriting results in purchasing reinsurance protection.
2005
In this research, we propose a flexible and comprehensive approach for minimum bias models -- "Generalized Minimum Bias Models"(GMBM). Unlike the Generalized Linear Models (GLMs) that require the exponential family distribution assumption of response variables, the GMBM approach relaxes the distribution assumption.
2005
Although captives represent a significant part of the insurance market, there is relatively little information on the subject in the actuarial literature. This paper describes ratemaking techniques and approaches that can be used for captives and other alternative market vehicles. To put the discussion in context, the paper begins with a description of various captive structures.
2005
The enterprise in a rating bureau risk model is the insurance industry. This paper describes how statewide or national loss exceedance curve output from a catastrophe model for workers compensation losses from terrorist attacks can be combined with insurance industry financial data in a basic model to estimate the financial impact on the United States workers compensation insurance industry.
2005
Risk measurement provides fundamental support to decision making within the insurance industry. In spite of this, the limitations of the common measures are not well appreciated and there is little non-specialist awareness of the more powerful techniques.
The published material on risk measurement is strong and has developed significantly in recent years.
2005
Rodney Kreps has written a paper that is a major contribution to the CAS literature on the central topics of risk load and capital allocation for profitability measurement, which is a core component of an enterprise
risk management system.
2005
Trent Vaughn and Phoebe Tinney have presented a valuable methodology for allocating IBNR to allocation units that do not always warrant separate IBNR analyses.
Vaughn and Tinney properly warn that:
Actuaries should be aware, however, of the possible pitfalls of allocating IBNR down to an extremely fine level of detail. For instance, such allocations may incorrectly imply a degree of precision that does not exist.
2005
In his 2000 discussion of my 1997 paper, Stephen Mildenhall chided me for overstating the similarity between options and insurance. He accepted the main point of the paper; namely, that the close resemblance between call option and excess of loss concepts can lead to insights about insurance and reinsurance risk management and product development.
2005
This paper argues that obsolete rating architecture is a cause of decades of documented poor financial performance of residential property insurance products. Improving rating efficiency and equity through modernization of rating and statistical plans is critical to the continued viability of the products.
2005
This paper explores the concepts underlying the valuation of an insurance company in the context of how other (noninsurance) companies are valued. Among actuaries, the value of an insurance company is often calculated as (i) adjusted net worth, plus (ii) the present value of future earnings, less (iii) the cost of capital.
2005
The chain ladder (volume-weighted average development factor) is perhaps the most widely used of the link ratio (age-to-age development factor) techniques, being popular among actuaries in many countries. The chain ladder technique has a number of interesting properties. We present one such property, which indicates that the chain ladder doesn’t distinguish between accident years and development years.
2005
The Conditional Tail Expectation (CTE), also called Expected Shortfall or Tail-VaR, is a robust, convenient,
practical, and coherent measure for quantifying financial risk exposure. The CTE is quickly becoming the preferred measure for statutory balance sheet valuation whenever real-world stochastic methods are used to set liability provisions.
2005
This paper considers a Sparre Andersen collective risk model in which the distribution of the interclaim time is that of a sum of n independent exponential random variables; thus, the Erlang(n) model is a special case. The analysis is focused on the function (u), the expected discounted penalty at ruin, with u being the initial surplus. The penalty may depend on the deficit at ruin
and possibly also on the surplus immediately before ruin.
2005
We describe an approach to the evaluation of the moments of the time of ruin in the classical Poisson risk model. The methodology employed involves the expression of these moments in terms of linear combinations of convolutions involving compound negative binomial distributions. We then adapt the results for use in the practically important case involving phase-type claim size distributions.
2005
We consider the issue of modeling the latent or hidden exposure occurring through either incomplete data or an unobserved underlying risk factor. We use the celebrated expectation-maximization (EM) algorithm as a convenient tool in detecting latent (unobserved) risks in finite mixture models of claim severity and in problems where data imputation is needed.
2005
In this paper we consider the Sparre Andersen insurance risk model. Three cases are discussed: the ordinary renewal risk process, stationary renewal risk process, and s-delayed renewal risk process. In the first part of the paper we study the joint distribution of surplus immediately before and at ruin under the renewal insurance risk model.
2005
This paper explores how a coherent risk measure could be used to determine risk-sensitive capital requirements for reinsurance treaties. The need for a risk-sensitive capital calculation arises in the context of estimating the return on equity (ROE) for several treaties or different options on one treaty.
