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Full-Text Articles in Insurance
Bayesian Analysis Of Insurance Losses Using The Buhlmann-Straub Credibility Model, Abraham J. Van Der Merwe, Kobus N. Bekker
Bayesian Analysis Of Insurance Losses Using The Buhlmann-Straub Credibility Model, Abraham J. Van Der Merwe, Kobus N. Bekker
Journal of Actuarial Practice (1993-2006)
We propose a Bayesian analysis to develop credibility estimates of the well known Biihlmann-Straub model. We describe simple numerical methods to obtain exact posterior distributions and predictive densities under this model. These distributions are obtained through Monte Carlo simulations that generate independent samples from the joint posterior distribution. Our methods are therefore preferable to methods such as Gibbs sampling, which generates dependent samples from the joint distribution. The methods discussed also can be extended to more complicated credibility models.
Rapid Calculation Of The Price Of Guaranteed Minimum Death Benefit Ratchet Options Embedded In Annuities, Eric R. Ulm
Rapid Calculation Of The Price Of Guaranteed Minimum Death Benefit Ratchet Options Embedded In Annuities, Eric R. Ulm
Journal of Actuarial Practice (1993-2006)
This paper presents a new method of obtaining quick and accurate values and deltas for discrete look back options using Taylor series expansions. This method is applied to the case of ratchet guaranteed minimum death benefits attached to annuity contracts, and the method is extended to include annuities where a fixed fund is attached to the variable account. Finally, both the speed and the accuracy of the method are compared to Monte Carlo simulation and the exact analytic solution. The Taylor expansion method is shown to be faster and, in most cases, more accurate than the alternative methods.
Seeking The Profitability-Risk-Competitiveness Frontier Using A Genetic Algorithm, Ronnie Tan
Seeking The Profitability-Risk-Competitiveness Frontier Using A Genetic Algorithm, Ronnie Tan
Journal of Actuarial Practice (1993-2006)
Monte Carlo simulation is used to develop a flexible framework to measure the profitability, risk, and competitiveness of any insurance product. A genetic algorithm is then used to seek the optimum asset allocations that form the profitability-risk-competitiveness frontier and to examine the profitability, risk, and competitiveness trade-off's. We also show how to select the appropriate asset allocation and crediting strategy in order to position the product at the DeSired location on the profitability-risk-competitiveness spectrum.
Asset Allocation In Investing To Meet Liabilities, Anthony Dardis, Vinh Loi Huynh
Asset Allocation In Investing To Meet Liabilities, Anthony Dardis, Vinh Loi Huynh
Journal of Actuarial Practice (1993-2006)
We present some rudimentary concepts on asset/liability management and describe an approach to asset allocation modeling for institutions that invest to meet liabilities. The traditional risk/reward framework of financial economics is used as a starting pOint. The definitions of risk and reward are then refined with regard to the institution under consideration. A simple model of a U.S. life office is examined. We assume that the only investments available are domestic stocks and long-dated government bonds. Stochastic simulation is used to create a large number of future investment scenarios using historical total return data for these asset classes. The ability …