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Articles 241 - 270 of 274

Full-Text Articles in Insurance

A Statistical Approach To Ibnr Reserves, Bradford S. Gile Jan 1994

A Statistical Approach To Ibnr Reserves, Bradford S. Gile

Journal of Actuarial Practice 1993-2006

This paper develops a three dimensional statistical approach to the estimation of the mean and the standard deviation of pure incurred but not reported (IBNR) reserves. This means that the time of occurrence, the reporting lag, and the claim severity are separately modeled. It is assumed that, beyond any fixed time t, the claim number development process is Poisson and that the severity of loss depends on the length of the reporting lag. Two key assumptions are made to simplify the estimation of model parameters: for a given reporting lag, (i) the conditional mean of the claim size is a ...


Cost Containment In Workers' Compensation: Evaluating Medical Fee Schedules, David L. Durbin, Barry I. Llewellyn Jan 1994

Cost Containment In Workers' Compensation: Evaluating Medical Fee Schedules, David L. Durbin, Barry I. Llewellyn

Journal of Actuarial Practice 1993-2006

Medical expenditures in workers' compensation programs have been subjected to few cost containment strategies. As workers' compensation costs have escalated, however, increasing attention is being given to the role of medical fee schedules in containing the prices of medical services. To this end, we develop a model for estimating the potential cost savings from implementing medical fee schedules. A market basket of medical services received by injured workers is constructed. This basket is used to estimate the parameters of the model. In addition, the basket is used to determine the impact of imposing a fee schedule linked to usual and ...


The Markov Chain Interest Rate Scenario Generator Revisited, Sarah L.M. Christiansen Jan 1994

The Markov Chain Interest Rate Scenario Generator Revisited, Sarah L.M. Christiansen

Journal of Actuarial Practice 1993-2006

This paper furthers the development of the Markov chain interest rate generator. Though the basic technique remains essentially unchanged, there are still many significant changes to the model. For example: (i) the long (key) rates are now are generated by a mean reversionary process; (ii) the number of shapes is increased from seven to 11; (iii) the limitation of changing by only two shape codes per year is removed; and (iv) the random walk matrix that determines the shapes is revised to be more realistic. An algorithm is developed to determine the shape code of the original yield curve, thus ...


An Introduction To Individual Disability Income Insurance, Mark J. Chartier Jan 1994

An Introduction To Individual Disability Income Insurance, Mark J. Chartier

Journal of Actuarial Practice 1993-2006

There are several actuarial software packages purporting to calculate expected benefit cash flows on disability income insurance policies. To the author's knowledge, however, there is no published text that explains how to perform these calculations. This paper is intended to fill this gap in the literature. It describes some of the more common techniques for pricing disability income insurance. Those techniques for which claim costs can be used and those for which the pricing actuary must project cash flows are identified.


Discussion Of Robert L. Brown's "Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver"*, Mark W. Campbell Jan 1994

Discussion Of Robert L. Brown's "Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver"*, Mark W. Campbell

Journal of Actuarial Practice 1993-2006

In the paper entitled "Tax Assistance to Qualified Retirement Savings Plans: Deferral or Waiver," Robert L. Brown concludes that "the nontaxation of investment income on qualified funds until taken is a tax waiver or tax subsidy from the government to participants of qualified plans". I believe, however, that this conclusion is based on flawed assumptions pertaining to:

• The behavioral responses of taxpayers to the withdrawal of such tax assistance;

• The definition of an appropriate benchmark tax system against which to measure the cost of such tax assistance; and

• The appropriate basis of comparison of alternative government tax revenue streams.

Using ...


Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver?, Robert L. Brown Jan 1994

Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver?, Robert L. Brown

Journal of Actuarial Practice 1993-2006

There exist significant tax incentives for retirement savings plans in Canada and the United States. Qualified employer and employee contributions, within limits, are tax deductible to the employer and nontaxable to the employee. Also, investment income is not taxed until taken. On the other hand, monies received from funds having such tax incentives are taxable in full as income to the recipient when taken. This paper analyzes the two tax advantages of qualified retirement savings plans: the tax deductibility of contributions and the nontaxation of investment income until it has been distributed. The algebraic analysis shows that the deductibility of ...


"Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver": Author's Reply To Previous The Discussion*, Robert L. Brown Jan 1994

"Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver": Author's Reply To Previous The Discussion*, Robert L. Brown

Journal of Actuarial Practice 1993-2006

No abstract provided.


Safety First And Ambiguity, Lawrence A. Berger, Howard Kunreuther Jan 1994

Safety First And Ambiguity, Lawrence A. Berger, Howard Kunreuther

Journal of Actuarial Practice 1993-2006

There is considerable empirical evidence suggesting that ambiguity (i.e., parameter risk) impacts pricing decisions by actuaries and underwriters and their desire to provide coverage. Stone proposed a safety first model of choice that provides a possible explanation for this behavior. This paper analyzes Stone's proposed stability and survival constraints and compares the results with those predicted by expected utility theory. The analysis is motivated by insurers' increasing reluctance to provide coverage for certain specific risks such as earthquake damage insurance where the probability of loss is ambiguous. We show that such behavior is consistent with safety first but ...


Managing The Costs And Risks Of Housing Finance: A New Role For Actuaries, Anthony Asher Jan 1994

Managing The Costs And Risks Of Housing Finance: A New Role For Actuaries, Anthony Asher

Journal of Actuarial Practice 1993-2006

Housing finance is a nontraditional field where actuarial expertise could be applied fruitfully. The development of mortgage instruments requires the application of financial mathematics, while the evaluation and management of the financial risks to which borrowers and lenders are exposed require a knowledge of insurance principles. This paper splits the financial costs of home ownership into several components: those that arise from inflation, risk, administration, and the residual real interest charge. The risk component further is partitioned into life contingencies, economic contingencies, and various moral hazards. This analysis provides a basis for future financial innovation, highlights where government intervention may ...


Reconciling Two Rate Level Indications: A Chain Rule Approach, Cheng-Sheng Peter Wu Jan 1994

Reconciling Two Rate Level Indications: A Chain Rule Approach, Cheng-Sheng Peter Wu

Journal of Actuarial Practice 1993-2006

The problem considered is that of reconciling two rate level indications that are based on several common factors, but have been made at different review periods. A popular approach to this problem is the so-called sequential replacement method, which calculates the impact of each individual factor. Unfortunately, this method has a serious deficiency: the estimated impact of a factor depends upon the order of the replacement. To counteract this defect, a new approach, called the chain rule approach, is developed. Using this approach, an explicit formula is given for calculating the impact and the marginal impact of each factor.


Modal Premium Factors In Ordinary Life Insurance, James B. Ross, Criss G. Woodruff Jan 1994

Modal Premium Factors In Ordinary Life Insurance, James B. Ross, Criss G. Woodruff

Journal of Actuarial Practice 1993-2006

For ordinary life policyholders who want to pay more frequently than annually, insurers construct schedules of modal premium factors that reflect additional charges for the costs of collection, forgone interest, and premiums uncollected or refunded in the year of death. Competition within the industry forces convergence of such schedules. On the other hand, if such factors for a given company reflect its own experience (in expense, interest, mortality, and persistency), the differences between companies will force schedules apart. Analysis of a large group of life insurers over the 1972-1982-1992 period shows that modal premium factors are dustered closely, that they ...


Predicting Automobile Insurance Multi-Regional Base Pure Premiums, Edward Nissan, Iskandar S. Hamwi Jan 1994

Predicting Automobile Insurance Multi-Regional Base Pure Premiums, Edward Nissan, Iskandar S. Hamwi

Journal of Actuarial Practice 1993-2006

Multi-regional insurance base premiums are customarily computed by a top-down method where national or state projections are adjusted to reflect regional differences. This paper proposes a methodology for a bottom-up projection. A weighing scheme that minimizes the variance of the estimator is suggested as a criterion to establish an overall multi-regional rate.


Journal Of Actuarial Practice, Volume 1, No. 2, 1993, Colin Ramsay , Editor Jan 1993

Journal Of Actuarial Practice, Volume 1, No. 2, 1993, Colin Ramsay , Editor

Journal of Actuarial Practice 1993-2006

ARTICLES

Ethical Issues, Helps, and Challenges: Perceptions of U.S. Actuaries • Therese M. Vaughan, Robert W. Cooper, and Garry L. Frank

Managing the Relative Volumes of Participating and Nonparticipating Business in a Mutual Life Company • Robert G. Chadburn

A Critique of Defined Contribution Plans Using a Simulation Approach • David M. Knox

Discussion • Michael Sze & David M. Knox's Reply

The Definition of Insurance: Implications for a Health Insurance Demand Model • Mark J. Browne

Discussion • Charles S. Fuhrer & Mark J. Browne's Reply

On the Equivalence of the Loss Ratio and Pure Premium Methods of Determining Property and Casualty Rating Relativities ...


Journal Of Actuarial Practice, Volume 1, No.1, 1993, Colin Ramsay , Editor Jan 1993

Journal Of Actuarial Practice, Volume 1, No.1, 1993, Colin Ramsay , Editor

Journal of Actuarial Practice 1993-2006

ARTICLES

Global Social Security: How the Rules are Changing in Certain Countries • Robert J. Myers

On Becoming a Cost Effective Company • Robert D. Shapiro and Barton H. Clennon

The Process of Pension Forecasting • Michael Sze

Cost-Based Pricing of Individual Automobile Risk Transfer: Car-Mile Exposure Unit Analysis • Patrick Butler

Discussion • Ruy A. Cardoso & Richard G. WolI & Patrick Butler's Reply

A New Approach to Modeling Excess Mortality • Peter D. England and Steven Haberman

The Small Plan Audit Program: The Opinions of the Court • Arnold F. Shapiro

BOOK REVIEWS

A. Hoque Sharif reviews "Options and the Management of Financial Risk" by Phelim ...


Ethical Issues, Helps, And Challenges: Perceptions Of U.S. Actuaries, Therese M. Vaughan, Robert W. Cooper, Garry L. Frank Jan 1993

Ethical Issues, Helps, And Challenges: Perceptions Of U.S. Actuaries, Therese M. Vaughan, Robert W. Cooper, Garry L. Frank

Journal of Actuarial Practice 1993-2006

This paper reports the findings of a survey of Fellows of the Casualty Actuarial Society (FCAS) to determine their perceptions of the key ethical issues and dilemmas facing the industry today and the factors they view as most helpful and challenging in resolving these dilemmas. The responses are compared to a previous survey of Fellows of the Society of Actuaries (FSA). The study finds that FSAs and FCASs tend to rank key ethical issues similarly and that both groups of actuaries tend to look first to their own personal values, second to certain factors in their business environment, and last ...


Discussion Of David Knox's "A Critique Of Defined Contribution Plans Using A Simulation Approach", Michael Sze Jan 1993

Discussion Of David Knox's "A Critique Of Defined Contribution Plans Using A Simulation Approach", Michael Sze

Journal of Actuarial Practice 1993-2006

No abstract provided.


The Process Of Pension Forecasting, Michael Sze Jan 1993

The Process Of Pension Forecasting, Michael Sze

Journal of Actuarial Practice 1993-2006

This paper explains the process of pension forecasting. It discusses the common purposes and uses of pension forecasts, the major steps involved, and the principal limitations of these forecasts. Some insights into each stage of the forecasting process are provided. Among the stages discussed are: the background research to be performed; the selection of scenario assumptions; shortcuts used in the actual performance of the forecast; review of the forecast results; and communication of the forecast findings.


Funding Methods And Pension Plan Amendments, Keith P. Sharp Jan 1993

Funding Methods And Pension Plan Amendments, Keith P. Sharp

Journal of Actuarial Practice 1993-2006

This paper considers the treatment of plan amendments under the individual entry age normal and projected unit credit methods. Alternative treatments are considered, and comments are made about their acceptability.


Book Reviews, Hoque A. Sharif Jan 1993

Book Reviews, Hoque A. Sharif

Journal of Actuarial Practice 1993-2006

No abstract provided.


On Becoming A Cost Effective Company, Robert D. Shapiro, Barton H. Clennon Jan 1993

On Becoming A Cost Effective Company, Robert D. Shapiro, Barton H. Clennon

Journal of Actuarial Practice 1993-2006

The 1990s financial services environment requires each life company to identify its distinct capabilities and competitive strengths and to build its future direction from these features. This demands a fundamental rethinking of traditional approaches to planning, organization, and financial management.


The Small Plan Audit Program: The Opinions Of The Court, Arnold F. Shapiro Jan 1993

The Small Plan Audit Program: The Opinions Of The Court, Arnold F. Shapiro

Journal of Actuarial Practice 1993-2006

One of the most important issues of recent years from the perspective of many pension actuaries is the IRS's small plan audit program. The program initially was expected to raise two-thirds of a billion dollars by targeting well-funded defined benefit plans with five or fewer participants. The focus of the audit was the assumed interest rate and the normal retirement age, both of which the IRS generally regarded as too low. While the focus of the audit was relatively narrow, the issue it raised was a funda mental one. The basic question was the extent to which the IRS ...


Global Social Security: How The Rules Are Changing In Certain Countries, Robert J. Myers Jan 1993

Global Social Security: How The Rules Are Changing In Certain Countries, Robert J. Myers

Journal of Actuarial Practice 1993-2006

Social security programs (i.e., national pension systems) differ widely between countries. This is only natural, and desirable, because of varying social and economic conditions and philosophies. This paper discusses some of the general worldwide trends, such as the equal treatment of men and women, increases in the normal retirement age, projection of future costs, and the different philosophies of social security. Some of the interesting and unique changes recently made in selected countries-Canada, Chile, Eastern European countries, Germany, Japan, People's Republic of China, Saudi Arabia, Union of Soviet Socialist Republics, United Kingdom, and United States-are described.


A Critique Of Defined Contribution Plans Using A Simulation Approach, David M. Knox Jan 1993

A Critique Of Defined Contribution Plans Using A Simulation Approach, David M. Knox

Journal of Actuarial Practice 1993-2006

During the 1980s there was a trend in many countries away from defined benefit plans toward defined contribution plans. This development means that the individual member bears the full investment risk in the preretirement period and the annuity rate risk at retirement, as no pension benefit (expressed as a percentage of salary) is provided. This paper, through the use of a stochastic model for both inflation and a range of investment returns, analyses the distribution of retirement incomes that will be produced from a defined contribution plan. The impacts of changing entry and exit ages, different investment strategies, alternative career ...


Life Insurance Applications Of Recursive Formulas, Timothy L. Giles Jan 1993

Life Insurance Applications Of Recursive Formulas, Timothy L. Giles

Journal of Actuarial Practice 1993-2006

This paper discusses several practical applications of recursive formulas:

a) Traditional whole life-As an introduction, the well-known relationship between successive terminal reserves is reviewed. Recursive formulas are developed to calculate the reserves and the premiums;

b) Universal life-Recursive formulas are used both for the calculation of target premiums and reserves. Consideration is given to the TEFRA corridor;

c) Paid-up rider-A participating single premium rider that provides a level death benefit can be devised using an inherent one year term benefit. Recursive functions are used to determine the premium that precisely matures the rider.

Because the APL programming language is particularly ...


Discussion Of Mark J. Browne's "The Definition Of Insurance: Implications For A Health Insurance Demand Model", Charles Fuhrer Jan 1993

Discussion Of Mark J. Browne's "The Definition Of Insurance: Implications For A Health Insurance Demand Model", Charles Fuhrer

Journal of Actuarial Practice 1993-2006

No abstract provided.


Group Insurance, Charles Fuhrer Jan 1993

Group Insurance, Charles Fuhrer

Journal of Actuarial Practice 1993-2006

No abstract provided.


A New Approach To Modeling Excess Mortality, Peter D. England, Steven Haberman Jan 1993

A New Approach To Modeling Excess Mortality, Peter D. England, Steven Haberman

Journal of Actuarial Practice 1993-2006

This paper describes a complete framework for the statistical modeling of excess mortality, with particular reference to the experience of insured, impaired lives. The principal measure of excess mortality considered is the standardized mortality ratio. The modeling approach, based on the theory of generalized linear models, allows us to build models containing several explanatory variables. The statistical significance of these variables can be tested, and the effect of interactions between the variables can be assessed rigorously. The paper uses data drawn from the extensive, continuing investigation into the mortality of insured, impaired lives conducted by the Prudential Assurance Company (UK ...


Managing The Relative Volumes Of Participating And Nonparticipating Business In A Mutual Life Company, Robert G. Chadburn Jan 1993

Managing The Relative Volumes Of Participating And Nonparticipating Business In A Mutual Life Company, Robert G. Chadburn

Journal of Actuarial Practice 1993-2006

Management decisions of a mutual life company involving the amounts and relative proportions of participating (with profits) and nonparticipating (without profits) business and the level of expenses are examined in relation to their effect on participating policyholders' returns. A particular expense ratio is defined that plays a key role in a framework for making such decisions. The sensitivity of participating policy returns to changes in each factor are analyzed. Companies with expense ratios (as defined) of less than 2 are shown to prefer a different strategy from companies with higher ratios. There is an incomplete tendency for the ratio to ...


Estimating The Effect Of Statutory Changes On Insured Casualty Losses Using Generalized Indicator Variables, Ruy A. Cardoso Jan 1993

Estimating The Effect Of Statutory Changes On Insured Casualty Losses Using Generalized Indicator Variables, Ruy A. Cardoso

Journal of Actuarial Practice 1993-2006

Techniques for estimating future insured losses in casualty insurance typically assume consistency in the insurance environment over time. Statutory changes, however, can create sharp discontinuities in the loss-generating process, complicating the estimation of those losses. Using indicator variables and dummy variables allows for quantification of the effect of such discontinuities. Three examples from private passenger automobile insurance are presented to illustrate how these variables can be used.


Discussion Of Patrick Butler's "Cost-Based Pricing Of Individual Automobile Risk Transfer: Car-Mile Exposure Unit Analysis", Ruy A. Cardoso Jan 1993

Discussion Of Patrick Butler's "Cost-Based Pricing Of Individual Automobile Risk Transfer: Car-Mile Exposure Unit Analysis", Ruy A. Cardoso

Journal of Actuarial Practice 1993-2006

No abstract provided.