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Full-Text Articles in Insurance
Controlling The Solvency Interaction Among A Group Of Insurance Companies, Alexandros Zimbidis, Steven Haberman
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 …
Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang
Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang
Journal of Actuarial Practice (1993-2006)
The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.