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2006

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Full-Text Articles in Insurance

The Effect Of Defined Contribution Plans On The Retirement Decision, Wonku Hong Dec 2006

The Effect Of Defined Contribution Plans On The Retirement Decision, Wonku Hong

Risk Management and Insurance Dissertations

This study examines the effect of pensions on the timing of retirement, focusing on the differences between defined benefit (DB) plans and defined contribution (DC) plans. I find that DC plans have different effects on the accumulation of retirement wealth, the incentives for retirement and the risk of retirement benefits than DB plans. Thereby, DC plans have different effects from DB plans on the decision to retire. This paper is the first empirical study to investigate the effect of longevity risk in pension plans on retirement. It is an important addition to the literature on retirement behavior since longevity risk ...


Insurance: Indian And Foreign Firms Test Positive For Growth Steroid, Knowledge@Smu Nov 2006

Insurance: Indian And Foreign Firms Test Positive For Growth Steroid, Knowledge@Smu

Knowledge@SMU

The new crop of private and foreign players in India's de-nationalized insurance industry is achieving growth rates in market shares that are bigger than its ambitious estimates. Insurance penetration -- both life and non-life -- has taken off vertically with a proliferation of products, and the former state-owned monopolies are pulling out the best in their armory. India Knowledge@Wharton spoke to some of the key players, industry regulators and consulting houses to capture a ringside view of one of the biggest slugfests these days in the emerging economies.


Long-Run Risk-Adjusted Performance Of Ipos In The Life Insurance Industry, Lal Chugh, Joseph W. Meador Nov 2006

Long-Run Risk-Adjusted Performance Of Ipos In The Life Insurance Industry, Lal Chugh, Joseph W. Meador

Financial Services Forum Publications

The pace of demutualization among major U.S. life insurance companies increased sharply after the mid-1990s. Five of the fifteen largest U.S. life insurers demutualized between 1997 and 2001, and the largest, Metropolitan Life Insurance Company, demutualized in 2000. Ten other major life insurance companies, with total assets in 2003 of $775 billion, demutualized over the same time period. The regulatory and competitive environment in the life insurance industry has changed dramatically in recent years. These changes include: (1) the fact that consumers have shown declining interest in the traditional life insurance products of risk bearing and transfer, while ...


Ley Federal Del Procedimiento Contencioso Administrativo., Bruno L. Costantini García Oct 2006

Ley Federal Del Procedimiento Contencioso Administrativo., Bruno L. Costantini García

Bruno L. Costantini García

Ponencia sobre la Ley Federal del Procedimiento Contencioso Administrativo, impartida por Bruno L. Costantini García.


Modeling The "Pseudodeductible" In Insurance Claims Decisions, Michael Braun, Peter S. Fader, Eric T. Bradlow, Howard Kunreuther Aug 2006

Modeling The "Pseudodeductible" In Insurance Claims Decisions, Michael Braun, Peter S. Fader, Eric T. Bradlow, Howard Kunreuther

Marketing Papers

In many different managerial contexts, consumers “leave money on the table” by, for example, their failure to claim rebates, use available coupons, and so on. This project focuses on a related problem faced by homeowners who may be reluctant to file insurance claims despite the fact their losses are covered. We model this consumer decision by introducing the concept of the “pseudodeductible,” a latent threshold above the policy deductible that governs the homeowner’s claim behavior. In addition, we show how the observed number of claims can be modeled as the output of three stochastic processes that are separately, and ...


Evidence On The Relationship Between Takaful Insurance And Fundamental Perception Of Islamic Principles, Ramin Cooper Maysami, John Joseph Williams Aug 2006

Evidence On The Relationship Between Takaful Insurance And Fundamental Perception Of Islamic Principles, Ramin Cooper Maysami, John Joseph Williams

Research Collection School Of Accountancy

One of the complexities overarching the concept of Islamic insurance is anchored in the belief system pertaining to fundamental Islamic Law, while another is embedded in the role of profit within the takaful contract. The purpose of this study is to empirically explore the association between the awareness of the existence of Islamic insurance (takaful) and religious perceptions of this financial service.


Primer Congreso Nacional De Organismos Públicos Autónomos, Bruno L. Costantini García Jul 2006

Primer Congreso Nacional De Organismos Públicos Autónomos, Bruno L. Costantini García

Bruno L. Costantini García

Memorias del Primer Congreso Nacional de Organismos Públicos Autonomos


Is Health Insurance Affordable For The Uninsured?, M Kate Bundorf, Mark V. Pauly Phd Jul 2006

Is Health Insurance Affordable For The Uninsured?, M Kate Bundorf, Mark V. Pauly Phd

Health Care Management Papers

In this paper, we investigate the meaning of “affordability” in the context of health insurance. Assessing the relationship between the affordability of coverage and the large number of uninsured in the U.S. is important for understanding the barriers to purchasing coverage and evaluating the role of policy in reducing the number of uninsured. We propose several definitions of affordability and examine the implications of alternative definitions for estimates of the proportion of uninsured who are unable to afford coverage. We find that, depending on the definition, health insurance was affordable to between one-quarter and three-quarters of the uninsured in ...


Operational Risk Capital Provisions For Banks And Insurance Companies, Edoh Fofo Afambo May 2006

Operational Risk Capital Provisions For Banks And Insurance Companies, Edoh Fofo Afambo

Risk Management and Insurance Dissertations

This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a major risk class because of huge operational losses experienced by many financial firms over the last past decade. Unlike market risk, credit risk, and insurance risk, for which firms and scholars have designed efficient methodologies, there are few tools to help analyze and quantify operational risk. The new Basel Revised Framework for International Convergence of Capital ...


The Distortionary Effects Of Government Procurement: Evidance From Medicaid Prescription Drug Purchasing, Mark Duggan, Fiona M Scott Morton Feb 2006

The Distortionary Effects Of Government Procurement: Evidance From Medicaid Prescription Drug Purchasing, Mark Duggan, Fiona M Scott Morton

Health Care Management Papers

In 2003 the federal-state Medicaid program provided prescription drug coverage to more than 50 million people. To determine the price that it will pay for each drug, Medicaid uses the average private sector price. When Medicaid is a large part of the demand for a drug, this creates an incentive for its maker to increase prices for other health care consumers. Using drug utilization and expenditure data for the top 200 drugs in 1997 and in 2002, we investigate the relationship between the Medicaid market share (MMS) and the average price of a prescription. Our estimates imply that a 10-percentage-point ...


February 2006 Blue Cross And Blue Shield Executive Directory, Blue Cross And Blue Shield Of Florida, Inc. Feb 2006

February 2006 Blue Cross And Blue Shield Executive Directory, Blue Cross And Blue Shield Of Florida, Inc.

Florida Blue Archives Printed Materials

February 2006 executive directory printed by the BlueCross and BlueShield Association. Box: 12 Folder: 132


Looking Beyond Tria: A Clinical Examination Of Potential Terrorism Loss Sharing, Howard Kunreuther, Erwann Michel-Kerjan Jan 2006

Looking Beyond Tria: A Clinical Examination Of Potential Terrorism Loss Sharing, Howard Kunreuther, Erwann Michel-Kerjan

Operations, Information and Decisions Papers

The Terrorism Risk Insurance Act of 2002 (TRIA) established a public-private program to cover commercial enterprises against foreign terrorism on US soil. It was a temporary measure to increase the availability of risk coverage for terrorist acts by requiring insurers to provide coverage. Initially established to sunset on December 31, 2005, a two-year extension has been voted by Congress and signed by the President in December. This paper provides an extensive series of empirical analyses of loss sharing under this program in 2005, and a prospective analysis for 2006. Using data collected on the top 451 insurers operating in the ...


The Growth In The Social Security Disability Rolls: A Fiscal Crisis Unfolding, David H. Autor, Mark Duggan Jan 2006

The Growth In The Social Security Disability Rolls: A Fiscal Crisis Unfolding, David H. Autor, Mark Duggan

Health Care Management Papers

The U.S. Social Security Disability Insurance (DI) program has grown dramatically over the last 20 years in size and expense. This growth poses significant risks to the finances of the DI program and the broader Social Security system, and raises troubling questions as to whether the program is being misused by claimants. This article first provides an overview of the Disability Insurance program, describing who qualifies for the program, how an individual applies for benefits and how the level of benefits is determined. Next, we summarize the factors responsible for the growth in the DI rolls and discuss how ...


Journal Of Actuarial Practice, Volume 13, 2006, Colin Ramsay , Editor Jan 2006

Journal Of Actuarial Practice, Volume 13, 2006, Colin Ramsay , Editor

Journal of Actuarial Practice 1993-2006

ARTICLES

Bivariate Archimedean Copula Models for Censored Data in Non-Life Insurance Michel Denuit, Dana Purcaru, and Ingrid Van Keilegom 5

Bayesian Analysis of Insurance Losses Using the Biihlmann-Straub Credibility Model Abraham J. van der Merwe and Kobus N Bekker . 33

Bayesian Analysis of a Health Insurance Model Helio S. Migon and Edison M. O. Penna 61

Solvency of Life Insurance Companies: Methodological Issues Rosa Cocozza and Emilia Di Lorenzo . 81

Pricing Insurance Policies with a Distribution-Free Financial Pricing Model Min-Ming Wen . 103

A Note on the Instability of the Unprojected Individual Level Premium Cost Method Pierre Devolder and Valerie Goffin ...


Analysis Of An Insurance Risk Model With Thinning Dependence And Common Shock, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li Jan 2006

Analysis Of An Insurance Risk Model With Thinning Dependence And Common Shock, Lai Mei Wan, Kam Chuen Yuen, Wai Keung Li

Journal of Actuarial Practice 1993-2006

We consider a continuous-time insurance risk model with m dependent classes of business with dependent claim number processes due to thinning dependence and a common shock. The impact of the dependence is studied via the adjustment coefficient. The case m = 2 is investigated analytically for exponential claim distributions and via simulation for non-exponential claim distributions.


Pricing Insurance Policies With A Distribution-Free Financial Pricing Model, Min-Ming Wen Jan 2006

Pricing Insurance Policies With A Distribution-Free Financial Pricing Model, Min-Ming Wen

Journal of Actuarial Practice 1993-2006

The highly skewed and heavy tailed distributions used to model insurance losses (claims) raise a concern about the validity of the applications of the capital asset pricing model (CAPM) to insurance pricing when market risks are essential. This paper provides an alternative pricing model, called the Rubinstein-Leland model, which can be used to price insurance contracts. The Rubinstein-Leland model has a distribution-free feature that can fully capture the asymmetry embedded in insurance losses. Thus, this model is better able to derive fair prices for insurance policies than is the CAPM.


Journal Of Actuarial Practice - Volume 13 (2006) - Contents And Masthead Jan 2006

Journal Of Actuarial Practice - Volume 13 (2006) - Contents And Masthead

Journal of Actuarial Practice 1993-2006

Contents

Editorial Policy: Topics suitable for this journal include AIDS, annuity products, asset-liability matching, cash-flow testing, casualty rate making, credibility theory, credit insurance, disability insurance, expense analysis, experience studies, FASB issues, financial reporting, group insurance, health insurance, individual risk taking, insurance regulations, international issues, investments, liability insurance, loss reserves, marketing, pensions, pricing issues, product development, reinsurance, reserving issues, risk-based capital, risk theory, social insurance, solvency issues, taxation, valuation issues, and workers' compensation

Review Process

Editor - Colin Ramsay, University of Nebraska

Associate Editors: Robert Brown, University of Waterloo ○ Cecil Bykerk, Mutual of Omaha ○ Ruy Cardoso, Actuarial Frameworks ○ Samuel Cox, Georgia State ...


Estimation Of Large Insurance Losses: A Case Study, Tine Buch-Kromann Jan 2006

Estimation Of Large Insurance Losses: A Case Study, Tine Buch-Kromann

Journal of Actuarial Practice 1993-2006

This paper demonstrates an approach to analyzing liability data recently developed by a Danish insurance company. The approach is based on a Champernowne distribution, which is corrected with a non-parametric estimator. The correction estimator is obtained by transforming the data set with the estimated modified Champernowne cdf and then estimating the density of the transformed data set by using the classical kernel density estimator. Our approach is illustrated by applying it to an actual data set.


Solvency Of Life Insurance Companies: Methodological Issues, Rosa Cocozza, Emilia Di Lorenzo Jan 2006

Solvency Of Life Insurance Companies: Methodological Issues, Rosa Cocozza, Emilia Di Lorenzo

Journal of Actuarial Practice 1993-2006

The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.


Bivariate Archimedean Copula Models For Censored Data In Non-Life Insurance, Michel Denuit, Oana Purcaru, Ingrid Van Keilegom Jan 2006

Bivariate Archimedean Copula Models For Censored Data In Non-Life Insurance, Michel Denuit, Oana Purcaru, Ingrid Van Keilegom

Journal of Actuarial Practice 1993-2006

We describe a methodology based on Archimedean copulas for analyzing nonlife insurance data with censoring present. Specifically, we propose a graphical selection procedure for the nonparametric estimation of the generator. An actual loss-ALAE data set is used for the numerical illustrations and for comparisons of our approach to a few others.


A Note On The Instability Of The Unprojected Individual Level Premium Cost Method, Pierre Devolder, Valerie Goffin Jan 2006

A Note On The Instability Of The Unprojected Individual Level Premium Cost Method, Pierre Devolder, Valerie Goffin

Journal of Actuarial Practice 1993-2006

We compare the unit credit and the unprojected individual level premium cost methods in a continuous time environment and show that the latter may produce unstable contribution rates in a dynamic environment. Specifically, assuming there are no unfunded liabilities, we prove that the unprojected individual premium cost method may produce non-bounded contributions if benefits change too close to the normal retirement age.


On Some Risk-Adjusted Tail-Based Premium Calculation Principles, Edward Furman, Zinoviy Landsman Jan 2006

On Some Risk-Adjusted Tail-Based Premium Calculation Principles, Edward Furman, Zinoviy Landsman

Journal of Actuarial Practice 1993-2006

This paper explores two tail-based premium calculation principles, the tail standard deviation (TSD) premium and the tail conditional expectation (TCE) premium, in their risk-adjusted and unadjusted forms. They are risk-adjusted using so-called distortion functions. We prove that the proportional hazard (PH) risk-adjusted TCE premium is larger than the unadjusted TCE premium. Additionally, given a risk distribution with location and scale parameters, we prove that the PH risk-adjusted TCE premium reduces to the unadjusted TSD premium.


Consistent Assumptions For Modeling Credit Loss Correlations, Jan Dhaene, Marc J. Goovaerts, Robert Koch, Ruben Olieslagers, Olivier Romijn, Steven Vanduffel Jan 2006

Consistent Assumptions For Modeling Credit Loss Correlations, Jan Dhaene, Marc J. Goovaerts, Robert Koch, Ruben Olieslagers, Olivier Romijn, Steven Vanduffel

Journal of Actuarial Practice 1993-2006

We consider a single period portfolio of n dependent credit risks that are subject to default during the period. We show that using stochastic loss given default random variables in conjunction with default correlations can give rise to an inconsistent set of assumptions for estimating the variance of the portfolio loss. Two sets of consistent assumptions are provided, which it turns out, also provide bounds on the variance of the portfolio's loss. An example of an inconsistent set of assumptions is given.


Bayesian Analysis Of A Health Insurance Model, Helio S. Migon, Edison M.O. Penna Jan 2006

Bayesian Analysis Of A Health Insurance Model, Helio S. Migon, Edison M.O. Penna

Journal of Actuarial Practice 1993-2006

We consider the problem of determining health insurance premiums based on past information on size of loss, number of losses, and size of population at risk. The size of loss and the number of losses are treated as mutually independent random variables. The number of losses is assumed to follow a Poisson process, and the loss sizes are independent and identically distributed non-negative random variables, and the population at risk is assumed to follow a non-linear growth model. An expression for the premium is obtained through maximization of the insurer's expected utility under a Bayesian model. The parameter estimation ...


Spatial Distribution Of Frequency And Severity Of Water Claims In California, Gurbhag Singh, Max Tang, Don Mcneill, Lyn Hunstad Jan 2006

Spatial Distribution Of Frequency And Severity Of Water Claims In California, Gurbhag Singh, Max Tang, Don Mcneill, Lyn Hunstad

Journal of Actuarial Practice 1993-2006

We examine the frequency and severity of water loss claims for homeowners insurance across the state of California for the experience years 2000, 2001, and 2002. The spatial distribution patterns of frequencies and severities are mapped and analyzed at the zip code level. The maps reveal the pockets of high frequencies and severities. The information provided in this paper will assist actuaries and policy makers in their quest to set accurate rates for homeowners insurance.


Bayesian Analysis Of Insurance Losses Using The Buhlmann-Straub Credibility Model, Abraham J. Van Der Merwe, Kobus N. Bekker Jan 2006

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.


Offer-Of-Judgment Rules And Civil Litigation: An Empirical Study Of Automobile Insurance Litigation In The East, Tom Baker, Albert H. Yoon Jan 2006

Offer-Of-Judgment Rules And Civil Litigation: An Empirical Study Of Automobile Insurance Litigation In The East, Tom Baker, Albert H. Yoon

Faculty Scholarship at Penn Law

No abstract provided.