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Full-Text Articles in Insurance
A Primer On Duration, Convexity, And Immunization, Leslaw Gajek, Krzysztof Ostaszewski, Hans-Joachim Zwiesler
A Primer On Duration, Convexity, And Immunization, Leslaw Gajek, Krzysztof Ostaszewski, Hans-Joachim Zwiesler
Journal of Actuarial Practice (1993-2006)
The concepts of duration, convexity, and immunization are fundamental tools of asset-liability management. This paper provides a theoretical and practical overview of the concepts, largely missing in the existing literature on the subject, and fills some holes in the body of research on the subject. We not present new research, but rather we provide a new presentation of the underlying theory, which we believe to be of value in the new North American actuarial education system.
A New Approach For Determining Claim Expense Reserves In Workers Compensation, Kay Rahardjo
A New Approach For Determining Claim Expense Reserves In Workers Compensation, Kay Rahardjo
Journal of Actuarial Practice (1993-2006)
This paper describes a new approach for determining a reserve for claim expenses. While the discussion focuses on workers compensation claims, the methodology is equally applicable to other lines of business. The approach also can be applied to the calculation of the reserve for all claims (including IBNR claims) and the reserve for claims reported to date (excluding IBNR claims). In addition, a methodology for pricing claims-handling services is discussed. The implications of pricing claims-handling services on a handle-to- conclusion basis versus pricing claims-handling services on a limited time handling basis are examined. Finally, the paper discusses a methodology for …
Participating Gics: Performance Attribution Analysis, Alec Stais, John P. Toohey Iii
Participating Gics: Performance Attribution Analysis, Alec Stais, John P. Toohey Iii
Journal of Actuarial Practice (1993-2006)
The increasing popularity of participating GICs has created a need for an objective understanding of their performance. The fixed income attribution techniques are not adequate for measuring participating GIC performance because they typically restrict performance measurement to concepts such as duration management, sector rotation, and issue selection. We develop an attribution technique based on four components or effects that are helpful in explaining the changes in credited rates. They are the constant duration effect, the reinvestment effect, the cash flow effect, and the investment effect. The underlying mathematical approach to calculating these effects is presented along with examples.