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Full-Text Articles in Insurance

Livestock Revenue Insurance, Chad E. Hart, Bruce A. Babcock, Dermot J. Hayes Jan 2001

Livestock Revenue Insurance, Chad E. Hart, Bruce A. Babcock, Dermot J. Hayes

CARD Working Papers

This study outlines several possible structures for livestock revenue insurance. The policies take the form of an exotic option—an Asian basket option. The actuarially fair premiums for these policies are equal to the prices of the options they represent. Due to the complexity of pricing Asian basket options, we have combined two techniques for pricing options to reach the actuarially fair premiums. Projected premiums, producer welfare, and program efficiency are evaluated for the insurance products and existing market tools. Using efficiency ratios and certainty equivalent returns, we compare the insurance policies to strategies involving existing futures and options.


Premium Earning Patterns For Multi-Year Policies With Aggregate Deductibles, Thomas Struppeck Jan 2001

Premium Earning Patterns For Multi-Year Policies With Aggregate Deductibles, Thomas Struppeck

Journal of Actuarial Practice 1993-2006

MUlti-year policies with large aggregate deductibles or multiple triggers raise some interesting issues about the correct amount of unearned premium reserve that a company should carry. Examples in this paper illustrate some of the difficulties that arise when trying to establish such reserves. The basic approach taken here is that the pure premium portion of the unearned premium reserve should always be adequate to cover the remaining risk. This approach, however, can lead to some unusual and controversial earning patterns; there are even situations where a negative premium is earned. In addition, the earning pattern for a particular loss scenario ...


Controlling The Solvency Interaction Among A Group Of Insurance Companies, Alexandros Zimbidis, Steven Haberman Jan 2001

Controlling The Solvency Interaction Among A Group Of Insurance Companies, Alexandros Zimbidis, Steven Haberman

Journal of Actuarial Practice 1993-2006

Pooling of risks is an efficient risk management technique used by large employee benefit schemes of multinational companies to self-insure their retirement and other benefit obligations. This technique forms a basis for formulating a general control theoretic model for the interaction between insurance companies within a pooling network. The objective of these insurance companies is to avoid insolvency yet maintain stable premium and surplus processes. A general control system of equations that is used as a model for the interaction of m insurance companies within the network is first analyzed. An analytic solution is provided. Questions concerning the stability and ...


Journal Of Actuarial Practice, Volume 9 (2001), Colin Ramsay , Editor Jan 2001

Journal Of Actuarial Practice, Volume 9 (2001), Colin Ramsay , Editor

Journal of Actuarial Practice 1993-2006

(The complete issue, including) ARTICLES

Analyzing Management Fees of Pension Funds: A Case Study of Mexico • Tapen Sinha 5

Premium Earning Patterns for Multi-Year Policies with Aggregate Deductibles • Thomas Struppeck 45

Exponential Bonus-Malus Systems Integrating A Priori Risk Classification • Lluis Benmidez, Michel Denuit, and Jan Dhaene 67

Fitting Loss Distributions in the Presence of Rating Variables • Farrokh Guiahi 97

Linear Empirical Bayes Estimation of Survival Probabilities with Partial Data • Mostafa Mashayekhi 131

Controlling the Solvency Interaction Among a Group of Insurance Companies • Alexandros Zimbidis and Steven Haberman 151

A Sensitivity Analysis of the Premiums for a Permanent Health Insurance (PHI ...


Exponential Bonus-Malus Systems Integrating A Priori Risk Classification, Llufs Bermudez, Michel Denuit, Jan Dhaene Jan 2001

Exponential Bonus-Malus Systems Integrating A Priori Risk Classification, Llufs Bermudez, Michel Denuit, Jan Dhaene

Journal of Actuarial Practice 1993-2006

This paper examines an integrated ratemaking scheme including a priori risk classification and a posteriori experience rating. In order to avoid the high penalties implied by the quadratic loss function, the symmetry between the overcharges and the undercharges is broken by introducing parametric loss functions of exponential type.


Fitting Loss Distributions In The Presence Of Rating Variables, Farrokh Guiahi Jan 2001

Fitting Loss Distributions In The Presence Of Rating Variables, Farrokh Guiahi

Journal of Actuarial Practice 1993-2006

This paper focuses on issues and methodologies for fitting alternative statistical models-parametric probability distributions-to samples of insurance loss data. The interactions of loss distributions, deductibles, policy limits, and rating variables in the context of fitting distributions to losses are discussed. Fitted loss distributions serve an important function in pricing insurance products. The methodology developed in this paper is applied to a sample of insurance loss data that has the lognormal as the underlying loss distribution.


Linear Empirical Bayes Estimation Of Survival Probabilities With Partial Data, Mostafa Mashayekhi Jan 2001

Linear Empirical Bayes Estimation Of Survival Probabilities With Partial Data, Mostafa Mashayekhi

Journal of Actuarial Practice 1993-2006

In this paper we consider linear empirical Bayes estimation of survival probabilities with partial data from right-censored and possibly left-truncated observations. Such data are produced by studies in which the exact times of death are not recorded and the length of time that each subject may be under observation cannot exceed one unit of time. We obtain asymptotically optimal linear empirical Bayes estimators, with respect to the squared error loss function, under the assumption that the probability of death under observation in a unit time interval is proportional to the length of observation. This assumption is sometimes implied by Balducci ...


A Sensitivity Analysis Of The Premiums For A Permanent Health Insurance (Phi) Model, Ben D. Rickayzen Jan 2001

A Sensitivity Analysis Of The Premiums For A Permanent Health Insurance (Phi) Model, Ben D. Rickayzen

Journal of Actuarial Practice 1993-2006

This paper presents an analysis of the parameters used in a multi-state model for permanent health insurance (PHI). The model is a simplification of that used in the United Kingdom. To avoid using duration dependent probabilities, the model splits the sick state into several sub-states to act as a proxy for duration spent in a particular state. This enables a Markov approach to be adopted. Lapses are incorporated within the model, and the net premium for a particular policy is tested for sensitivity to the various parameters used, including their interaction with the lapse rate. One of our conclusions is ...


Analyzing Management Fees Of Pension Funds: A Case Study Of Mexico, Tapen Sinha Jan 2001

Analyzing Management Fees Of Pension Funds: A Case Study Of Mexico, Tapen Sinha

Journal of Actuarial Practice 1993-2006

Though the rates of return for public pension funds have been high over the past two decades, one critical aspect of the financing of this type of fund is often overlooked: high management fees. As a result, the rates of return for workers who have invested in these funds have not necessarily been high. Management fees charged on pension funds in Mexico result in a leakage of funds in the order of 20-30% of the fund. That is, the amount at retirement would have been 20-30% higher had there been no fees. A model is developed that includes all the ...