Browse Research
Viewing 2451 to 2475 of 7690 results
2005
The classical evaluation of pure premiums for excess of loss reinsurance with reinstatements requires the knowledge of the claim size distribution of the insurance risk.
2005
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For an institution faced with a random loss, the tail conditional expectation represents the conditional average amount of loss that can be incurred in a fixed period, given that the loss exceeds a specified value. This value is typically based on the quantile of the loss distribution, the so-called value-at-risk.
2005
Phase-type distributions, defined as the distributions of absorption times of certain Markov jump processes, constitute a class of distributions on the positive real axis which seems to strike a balance between generality and tractability.
2005
The present paper extends the "Erlangization" idea introduced by Asmussen, Avram, and Usabel (2002) to the Sparre-Andersen and stationary renewal risk models. Erlangization yields an asymptotically-exact method for calculating finite time ruin probabilities with phase-type claim amounts. The method is based on finding the probability of ruin prior to a phase-type random horizon, independent of the risk process.
2005
The purpose of this paper is to show that, for the classical risk model, explicit expressions for survival probabilities in a finite time horizon can be obtained through the inversion of the double Laplace transform of the distribution of time to ruin. To do this, we consider Gerber and Shiu (1998) and a particular value for their "penalty function".
2005
In this paper we present an approach to market based valuation of life insurance policies, in the spirit of the NUMAT proposed by Hans Buhlmann (2002) in an editorial in the ASTIN Bulletin.
2005
We consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, Poisson and Sparre Andersen processes with generalized Erlang(2) claim inter-arrival times. The Laplace transform of the on-ruin probability is derived from a system of integro-differential equations.
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 individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.
2005
One of the central topics in modern insurance mathematics and finance is the search for new methods to calculate risk-adjusted solvency requirements for companies. Such methods should in particular be able to cope with different sorts of risks. Treating a particular kind of risk is still feasible using analytical tools. The main issue is to model and compute the aggregation effects of different, usually dependent risks.
2005
Mixed Poisson distributions are widely used in various disciplines including actuarial applications. The family of mixed Poisson distributions contains several members according to the choice of the mixing distribution for the parameter of the Poisson distribution. Very few of them have been studied in depth, mainly because of algebraic intractability.
2005
The expert group "Insurance and Pensions" discussed the state-of-the-art of the (EU) insurance market with members of the European Commission and carried out a controlled review of the single market regulation that has been achieved or is being strived for in the future. The article now stresses the gaps between the intended and the actual situation in a critical but constructive way and points out what still needs to be done.
2005
The article makes a case for the evolving system of liability regimes being driven by fundamental changes in our socio-economic fabric. The evolution of increasing liability costs, especially prominent in the U.S., can easily spread to other countries as the same preconditions are found there and systemic contagion takes place.
2005
The newest EU member countries in Central and Eastern Europe went through a rapid transition from state to market direction of economic and financial affairs as well as of enterprises and social arrangements, including insurance. As incentive structures, property rights, rules of competition, and the assignment of liabilities changed, so did the risks associated with private operations and investments.
2005
We consider a class of compound renewal (Sparre Andersen) risk process with claim waiting times having a discrete Km distribution, i.e., the probability generating function (p.g.f.) of the distribution function is a ratio of two polynomials of order . The classical compound binomial risk model is a special case when m=1.
2005
In the U.K., home contents insurance is widely available, with a reduction in the number of "traditional" insurance companies offering cover being offset by a growth in the availability through "non-traditional" providers such as supermarkets, motoring organizations and even energy providers.
2005
The purpose of this paper is to show that for the classical risk model, explicit expressions for survival probabilities in a finite time horizon can be obtained through the inversion of the double Laplace transform of the distribution of time to ruin. To do this, we reconsider Gerber and Shiu (1998) and a particular value for their penalty function.
2005
This paper estimates changes in total productivity, breaking this down into technically efficient change and technological change by means of data envelopment analysis applied to a representative sample of insurance companies operating in the Portuguese market. The aim of this procedure is to seek out those best practices that will lead to improved performance in the market.
2005
In this paper, we study alliances between banks and insurance companies. Our perspective is that of the top management of a financial enterprise, and we constrain ourselves to the retail market. We define six different structure models for financial alliances. The parameters of the models are the closeness of the alliance in terms of mutual ownership, and the question of whether alliance partners have overlapping service channels.
2005
2005 Winter Forum Including the 2005 Ratemaking Discussion Papers and Data Management, Quality, and Technology 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
2005
This paper extends the continuous credibility weighting introduced to hazard estimation in Hardy and Panjer (1998) and Nielsen and Sandqvist (2000) to the more general case, where the common basis is a proportional hazard model.
2005
Due to the growth in the international nature of the reinsurance market, there has been increasing pressure in the United States (U.S.) for a system that would permit alien reinsurers, those assuming business from U.S. domiciled ceding companies, a reduced level of collateral, provided certain conditions were met.
2005
Differences in the portfolios of depositories and insurance and reinsurance firms are important for the design of efficient capital regulations. Using a simple contingent claims model which focuses on credit risk and in which intermediaries issue liabilities under conditions of moral hazard, we illustrate three effects of risk-based capital regulations on institutional solvency risk, liquidity and economic efficiency.
2005
The present paper extends the 'Erlangization' idea introduced by Asmussen, Avram and Usabel (2002) to the Sparre-Andersen and stationary renewal risk models. Erangization yields an asymptotically-exact method for calculating finite time ruin probabilities with phase-type claim amounts. The method is based on finding the probability of ruin prior to a phase-type random horizon, independent of the risk process.
