Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Risk (6)
- Simulation (6)
- Exposure (4)
- Monte Carlo simulation (4)
- Mortality (4)
-
- Reinsurance (4)
- Risk classification (4)
- Coefficient of variation (3)
- Contributions (3)
- Duration (3)
- Inflation (3)
- Insurance (3)
- Investment risk (3)
- Loss ratio (3)
- Ratemaking (3)
- Solvency (3)
- Time series (3)
- Yield curve (3)
- Actuarial assumptions (2)
- Adjustment coefficient (2)
- Annuity (2)
- Asset allocation (2)
- Assets (2)
- Cash flow (2)
- Cash flows (2)
- Control theory (2)
- Credibility theory (2)
- Dependence (2)
- Dynamic programming (2)
- ERISA (2)
Articles 121 - 150 of 176
Full-Text Articles in Accounting
Surveillance Of Life Insurer Solvency: A Comparison Of Stock And The Multiple Scenario Cash Flow Financial Stress Tests, Ronald W. Spahr, Paul L. Gronewoller
Surveillance Of Life Insurer Solvency: A Comparison Of Stock And The Multiple Scenario Cash Flow Financial Stress Tests, Ronald W. Spahr, Paul L. Gronewoller
Journal of Actuarial Practice (1993-2006)
The solvency of life insurance companies may be threatened by interest rate risk when the maturities of assets and liabilities are mismatched. The National Association of Insurance Commissioners' (NAIC) multiple scenario cashflow test (MSCFT) and the Office of Thrift Supervision (OTS) net portfolio value model (stock) approaches to financial stress tests are illustrated and analyzed with respect to their capacity to estimate the impact of potential changes in interest rates on life insurance company capital and surplus. Each approach is illustrated with the assets and liabilities of three hypothetical life insurance company capital levels (high, average, and below average) and …
Expected Loss Development In Workers' Compensation Pricing: A Shift In Credibility, Christopher J. Poteet
Expected Loss Development In Workers' Compensation Pricing: A Shift In Credibility, Christopher J. Poteet
Journal of Actuarial Practice (1993-2006)
This paper shows that expected loss development is equivalent to adjusting the full credibility standard and applying credibility by policy period. Expected loss development should not be used in workers' compensation ratemaking. The credibility is correct before being adjusted.
Decision Making Under Conflicting Criteria In Pension Valuations: An Expected Utility Model, Lisa Lipowski Posey, Arnold F. Shapiro
Decision Making Under Conflicting Criteria In Pension Valuations: An Expected Utility Model, Lisa Lipowski Posey, Arnold F. Shapiro
Journal of Actuarial Practice (1993-2006)
Many of the criteria used by actuaries when selecting assumptions for pension plan valuations often conflict. As a result, actuaries must weigh the various costs and benefits associated with a particular set of assumptions. We use expected utility theory to model the process of chOOSing actuarial assumptions when faced with potentially conflicting criteria. The three criteria considered are prudence, best estimate, and conservatism. The actual contribution chosen by the actuary is found to depend on the contribution level that triggers a red flag with respect to tax deductibility. If this level is relatively low, the actuary chooses a high contribution …
Cross-Tested Defined Contribution Plans, Ho Kuen Ng
Cross-Tested Defined Contribution Plans, Ho Kuen Ng
Journal of Actuarial Practice (1993-2006)
Cross-tested plans are defined contribution plans that test allocations for nondiscrimination. The test is based on a plan's actuarial equivalent annuity benefits. Cross-tested plans have become popular among small plan sponsors after the release of the nondiscrimination regulations. This paper investigates the pros and cons of cross-testing.
Discussion Of Ronald T. Kozlowski And Stuart B. Mathewson's "Measuring And Managing Catastrophe Risk", Rade T. Musulin
Discussion Of Ronald T. Kozlowski And Stuart B. Mathewson's "Measuring And Managing Catastrophe Risk", Rade T. Musulin
Journal of Actuarial Practice (1993-2006)
Mr. Kozlowski and Mr. Mathewson's paper provides a good introduction to the development and use of models in the property insurance industry. It will be a valuable addition to the regrettably sparse actuarialliterature in this area. This discussion will offer several comments on the ideas raised in the paper, focusing on how models can be used to enhance an actuary's work. The use of models has sparked major controversies between regulators and insurers in several jurisdictions, notably Florida. Controversy is not limited to the regulatory arena, however. Because models are being used by reinsurers to rate contracts and by A.M. …
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.
A Pension Plan Incorporating Both Defined Benefit And Defined Contribution Principles, Zaki M. Khorasanee
A Pension Plan Incorporating Both Defined Benefit And Defined Contribution Principles, Zaki M. Khorasanee
Journal of Actuarial Practice (1993-2006)
We propose a defined contribution pension plan with an explicitly defined benefit formula. Such a plan is expected to pay more stable and predictable benefits over time than one based on the money purchase principle. The properties of the plan are investigated through simulation. Methods for distributing surpluses and eliminating deficiencies that involve adjusting the rate of benefit accrual (rather than varying the rate of contribution) are discussed. The behavior of the plan under a scenario of persistently unfavorable investment experience is Simulated, and methods for satisfactorily dealing with such a scenario are considered. The plan actuary is expected to …
Simulation Of Investment Returns For A Money Purchase Fund, Zaki M. Khorasanee
Simulation Of Investment Returns For A Money Purchase Fund, Zaki M. Khorasanee
Journal of Actuarial Practice (1993-2006)
This paper examines the problem of investment risk in money purchase pension plans. The disadvantages of modeling equity returns as independent, identically distributed random variables are conSidered, and a modified stochastic model of equity returns is proposed. This modified stochastic model is used to estimate the variability in a plan member's retirement fund and to compare various alternatives to investing 100 percent of the assets in ordinary shares. Varying conclusions are drawn about the likely success of these alternative investment strategies in reducing investment risk.
Hiv, Aids, Markov Processes, And Health And Disability Insurance, Steven Haberman
Hiv, Aids, Markov Processes, And Health And Disability Insurance, Steven Haberman
Journal of Actuarial Practice (1993-2006)
This paper presents a Markov model of the transmission and development of HIV and AIDS. The Markov model is used to derive functions needed in the calculation of disability insurance premiums, reserves, and cash flows. An application to health insurance and disability insurance is provided.
Discussion Of Brian Jones' "Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans", Richard Daskais
Discussion Of Brian Jones' "Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans", Richard Daskais
Journal of Actuarial Practice (1993-2006)
No abstract provided.
Discussion Of Robert L. Brown's "Recent Canadian Human Rights Decisions Having An Impact On Gender-Based Risk Classification Systems", Patrick Butler
Discussion Of Robert L. Brown's "Recent Canadian Human Rights Decisions Having An Impact On Gender-Based Risk Classification Systems", Patrick Butler
Journal of Actuarial Practice (1993-2006)
This commentary examines the political and economic influence of demographic groups on rationales for granting exemption from laws prohibiting classification by age or sex, as evidenced in the cases discussed by Robert L. Brown. Age is less subject than sex to manipulation for group advantage. In Professor Brown's discussion of auto insurance cases, only the influence of group dominance can explain:
• Selective focus on young drivers;
• Indifference to ongoing overcharging of adult women signaled by undisputed 2:1 ratios of cost-related averages; and
• Avoidance of effective ways to evaluate miles of exposure to risk.
Contrary to Professor Brown's …
Obtaining A Life Table For Spinal Cord Injury Patients Using Information Theory, Patrick L. Brockett, Yun Song
Obtaining A Life Table For Spinal Cord Injury Patients Using Information Theory, Patrick L. Brockett, Yun Song
Journal of Actuarial Practice (1993-2006)
We present a mortality table adjustment method based on a constrained information theoretic methodology. The objective is to adjust a standard mortality table to reflect a particular known characteristic of the population while remaining as close as possible to a given standard table. To illustrate these techniques, the medical results concerning survival of spinal cord injury patients are incorporated into a standard table to obtain a mortality table pertinent for paraplegic and quadriplegic individuals. The desired adjusted mortality table can be used by actuaries for special purposes such as wrongful injury damage award compensation calculations and determining life insurance premium …
Journal Of Actuarial Practice, Volume 3, No.1, 1995, Colin Ramsay , Editor
Journal Of Actuarial Practice, Volume 3, No.1, 1995, Colin Ramsay , Editor
Journal of Actuarial Practice (1993-2006)
ARTICLES
Life Insurer Risk-Based Capital: An Option Pricing Approach • Samuel H. Cox and Arthur M.s. Hogan
Surveillance of Life Insurer Solvency: A Comparison of Stock and The Multiple Scenario Cash Flow Financial Stress Tests • Ronald W. Spahr and Paul L. Gronewolier
HIV, AIDS, Markov Processes, and Health and Disability Insurance • Steven Haberman
Obtaining a Life Table for Spinal Cord Injury Patients Using Information Theory • Patrick L. Brockett and Yun Song
Simulation of Investment Returns for a Money Purchase Fund • M. Zaki Khorasanee
Decision Making Under Conflicting Criteria In Pension Valuations: An Expected Utility Model • …
Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans, Brian A. Jones
Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans, Brian A. Jones
Journal of Actuarial Practice (1993-2006)
Most actuaries tend to be conservative, and most, including this writer, probably would be happy to be so categorized. But actuarial conservatism may not be the best rule in defined benefit public sector pension plans. This paper argues that it is not appropriate for actuaries to employ conservatism assumptions in such public sector plans.
Discussion Of Leonard T. Guarini And Edward P. Lotkowski's "Model Year Rating For Automobile Liability And Injury Coverages", Mohammed Q. Ashab
Discussion Of Leonard T. Guarini And Edward P. Lotkowski's "Model Year Rating For Automobile Liability And Injury Coverages", Mohammed Q. Ashab
Journal of Actuarial Practice (1993-2006)
No abstract provided.
Model Year Rating For Automobile Liability And Injury Coverages, Leonard T. Guarini, Edward P. Lotkowski
Model Year Rating For Automobile Liability And Injury Coverages, Leonard T. Guarini, Edward P. Lotkowski
Journal of Actuarial Practice (1993-2006)
This paper is intended to stimulate further research and discussion on the validity and utility of model year rating for personal automobile coverages other than physical damage. Using data from a single insurer and some elementary statistical techniques, we provide evidence supporting model year as a classification variable for automobile liability and injury coverages.
Life Insurer Risk-Based Capital: An Option Pricing Approach, Samuel H. Cox, Arthur M.B. Hogan
Life Insurer Risk-Based Capital: An Option Pricing Approach, Samuel H. Cox, Arthur M.B. Hogan
Journal of Actuarial Practice (1993-2006)
This paper uses an option pricing framework to estimate life insurer risk-based capital. Stock market data and statutory asset and liability data are used to calculate the implied level of statutory risk-based capital for each of 18 insurers. We calculate the level of risk-based capital required to avoid subsidy from the guaranty fund. Our results suggest that less capital is required than that required under the New York actuarial risk-based capital formula. Firm rankings, however, are similar under both methods, although the methods are not directly comparable. We also determine the level of capital required if the subsidy provided to …
Recent Canadian Human Rights Decisions Having An Impact On Gender-Based Risk Classification Systems, Robert L. Brown
Recent Canadian Human Rights Decisions Having An Impact On Gender-Based Risk Classification Systems, Robert L. Brown
Journal of Actuarial Practice (1993-2006)
With the passage of the Canadian Charter of Rights and Freedoms on April 17, 1982, all previous court precedents using gender in risk classification systems became obsolete. Three cases involving issues of discrimination in the use of age and gender now clarify the position of the Canadian judiciary. Based on the decisions in these three cases, this paper presents arguments that can be used in any jurisdiction to defend successfully the use of gender in a property /casualty risk classification system.
Journal Of Actuarial Practice, Volume 2, No. 1, 1994, Colin Ramsay , Editor
Journal Of Actuarial Practice, Volume 2, No. 1, 1994, Colin Ramsay , Editor
Journal of Actuarial Practice (1993-2006)
ARTICLES
Health Insurance Reform and its Effects on the Small Employer Market: A Review of H.R. 3626 • P. Anthony Hammond
An Introduction to Individual Disability Income Insurance • Mark J. Chartier
Cost Containment in Workers' Compensation: Evaluating Medical Fee Schedules • David L. Durbin and Barry I. Llewellyn
The Markov Chain Interest Rate Scenario Generator Revisited • Sarah L.M. Christiansen
Managing the Costs and Risks of Housing Finance: A New Role For Actuaries • Anthony Asher
Reconciling Two Rate Level Indications: A Chain Rule Approach • Cheng-Sheng Peter Wu
Tax Assistance to Qualified Retirement Savings Plans: Deferral or Waiver? …
Disenrollment Patterns Of Elderly In Managed Care And Fee For Service, Kenneth G. Manton, Dennis H. Tolley, Robert Newcomer, James C. Vertrees, Charlene Harrington
Disenrollment Patterns Of Elderly In Managed Care And Fee For Service, Kenneth G. Manton, Dennis H. Tolley, Robert Newcomer, James C. Vertrees, Charlene Harrington
Journal of Actuarial Practice (1993-2006)
As the trend to provide health care through managed care facilities increases, the need to examine ,vhy insured individuals voluntarily terminate managed care coverage grows. Voluntary termination of coverage, or dis enrollment, has both social and fiscal implications. Particularly among the elderly, patterns of disenrollment likely are related to self assessment of care needs and levels of health. In this paper we examine the patterns of dis enrollment among elderly enrollees as a function of health status and disability. We focus on disenrollment patterns from an experimental prepaid extended care facility, called a social HMO (S/HMO) and compare this pattern …
Modeling Insurance Cash Flows For Universal Life Policies, Robert E. Hoyt
Modeling Insurance Cash Flows For Universal Life Policies, Robert E. Hoyt
Journal of Actuarial Practice (1993-2006)
This paper develops a methodology that can be used by insurers to construct predictive models for their own insurance cash flows. The insurance cash flow components evaluated include premium flows, policy loans, and cash value surrenders. Also, the paper evaluates several hypotheses in the insurance literature that attempt to explain insurance cash flows. Though the results are theoretically consistent, they produce some interesting contrasts to findings of similar studies for whole life policies. For example, these results confirm that: (i) the credited rate strategy is important to policy performance; (ii) the emergency fund hypothesis appears to apply to policy loan …
A Statistical Approach To Ibnr Reserves, Bradford S. Gile
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
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
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
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
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 …
Tax Assistance To Qualified Retirement Savings Plans: Deferral Or Waiver?, Robert L. Brown
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 …
Safety First And Ambiguity, Lawrence A. Berger, Howard Kunreuther
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 is difficult …
Managing The Costs And Risks Of Housing Finance: A New Role For Actuaries, Anthony Asher
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
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.