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Full-Text Articles in Insurance
Modeling Clusters Of Extreme Losses, Beatriz Vaz De Melo Mendes, Juliana Sa Freire De Lima
Modeling Clusters Of Extreme Losses, Beatriz Vaz De Melo Mendes, Juliana Sa Freire De Lima
Journal of Actuarial Practice (1993-2006)
We model extreme losses from an excess of loss reinsurance contract under the assumption of the existence of a subordinated process generating sequences of large claims. We characterize clusters of extreme losses and aggregate the excess losses within clusters. The number of clusters is modeled using the usual discrete probability models, and the severity of the sum of excesses within clusters is modeled using a flexible extension of the generalized Pareto distribution. We illustrate the methodology using a Danish fire insurance claims data set. Maximum likelihood point estimates and bootstrap confidence intervals are obtained for the parameters and statistical premium. …
A Study Note On The Actuarial Evaluation Of Premium Liabilities, Claudette Cantin, Philippe Trahan
A Study Note On The Actuarial Evaluation Of Premium Liabilities, Claudette Cantin, Philippe Trahan
Journal of Actuarial Practice (1993-2006)
Several approaches have been used to estimate premium liabilities. The emphasis of these approaches has been on unearned premium and deferred policy acquisition expenses (DPAE), as such items represent the largest components of premium liabilities. The purpose of this paper is to provide a framework for the evaluation of premium liabilities and to augment the actuarial literature. We define and review the individual components of premium liabilities as well as the regulatory requirements and Canadian Institute of Actuaries recommendations and standards of practices related to premium liabilities. We also present an actuarial approach for estimating equity in the unearned premium, …
Pricing Earthquake Exposure Using Modeling, Debra L. Werland, Joseph W. Pitts
Pricing Earthquake Exposure Using Modeling, Debra L. Werland, Joseph W. Pitts
Journal of Actuarial Practice (1993-2006)
This paper demonstrates a practical methodology for determining a statewide rate level indication for the earthquake insurance and for determining more equitable territorial relativities within a state. The methodology is based on the output from a certain commercially available earthquake modeling software package. The methodology addresses some of the complex issues involved in pricing earthquake insurance exposure and potential regulatory acceptance. The paper also features a section dealing with the net cost of reinsurance in the proposed direct rates. A final consideration is the treatment of a model's output when it is believed the modeled results art' less than fully …
Measuring And Managing Catastrophe Risk, Ronald T. Kozlowski, Stuart B. Mathewson
Measuring And Managing Catastrophe Risk, Ronald T. Kozlowski, Stuart B. Mathewson
Journal of Actuarial Practice (1993-2006)
We introduce some of the basic principles behind property catastrophe modeling via simulations. The output of such simulations can be explored via modernized pin maps and loss likelihood curves. We also briefly discuss some of the uses of catastrophe modeling in addition to traditional probable maximum loss estimation. Comments are made on the use of modeling by reinsurers. We hope that this article stimulates discussions on new approaches to catastrophe modeling.