Management Sciences and Quantitative Methods Commons^™

A Comparative Study Of The Performance Of Loss Reserving Methods Through Simulation, Prakash Narayan, Thomas Warthen

Journal of Actuarial Practice (1993–2006)

Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve, and actuaries use various ad hoc methods to derive a range for the indicated reserve. We use a Monte Carlo simulation method to compare various loss reserve estimation methods, including traditional methods and regression-based methods of loss reserving.

Safe-Side Requirements In Life Insurance: A Corporate Perspective, Annamaria Olivieri, Ermanno Pitacco

Journal of Actuarial Practice (1993–2006)

Safe-side requirements concern the assumptions used to calculate premiums in relation to a set of more realistic assumptions. Roughly, safe-side requirements express the capability of premiums to generate positive margins. In a strictly actuarial framework, safe-side requirements are given in terms of some notion of expected profit, calling for assumptions that let such profit be non-negative. An expected profit of zero, however, is not a realistic aim for the insurer. We investigate the notion of conservative assumptions by adopting a unconventional approach. Our focus is the management of the financial resources coming both from premiums and from shareholders' capital. This …

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.

Productivity And Quality Relationship In Manufacturing, Weng Hon Low

Student Works (2000-2009)

Over the past decade, quality and productivity has played a pivotal role in hastening industrialization prosperity in Malaysia. Improving quality is one important way to maintain a competitive position in today's markets. Productivity is in the news these days as an effective means of counteracting the downward effects of various other important economic forces. There is a clear positive relationship between quality and productivity. Generally, when quality increases, waste is eliminated, so will productivity increase as well. However, some researchers view quality and productivity move in opposite directions. There is a trade-off between quality and productivity. It is thus the …

A Leadership Model And Supervisory Skills Perceived By Production Employees, Supervisors, And Managers As Important To The Improvement Of Employee Performance In Manufacturing, Douglas R. Hotek

Dissertations and Theses @ UNI

The purpose of this research was to provide to industry and education a better understanding of what makes a supervisor a good supervisor of today's educated and technically skilled work force. Manufacturing firms that depend on advanced technologies and employee-technology relationships have made an impact on the role of supervision. The modern supervisor has a new role in managing production operations. The role has changed from that of directing and controlling employees to that of effectively leading the improvement of employee performance. This study builds upon previous research in an effort to further identify and authenticate a leadership model with …

Environmental And Psychological Challenges Facing Entrepreneurial Development In Transitional Economies, Fred Luthans, Alexander D. Stajkovic, Elina Stajkovic

Department of Management: Faculty Publications

In the former planned economies, a major result of the economic reform programs has been the resurgence of private entrepreneurship. As these countries have struggled to make the transition to a market-based economy over the past decade, the environment has played an important structural role in entrepreneurial development. However, from a psychological perspective, the environmental structural context affects human action through cognitive processes such as self-regulation. Thus, we first identify and analyze the effect of the political, economic, legal, and cultural environment on the development of entrepreneurship in transitional economies, mainly using the former Soviet Union and particularly the Republic …

Reward Contingency, Unemployment, And Functional Turnover, Chuck R. Williams

Scholarship and Professional Work - Business

Based on the valence model of expectancy theory and the Cornell model of job satisfaction, this field study investigated the relationship between reward contingency, unemployment, pay satisfaction, job satisfaction, and functional turnover. The latter of which separates turnover into four categories: poor performing leavers, good performing leavers, poor performing stayers, and good performing stayers. It was conducted with a geographically dispersed sample of sales representatives (i.e., from 25 states and 66 cities), resulting in unemployment rates that ranged from 2 percent to 12 percent. The sales representatives were employed by four companies that paid different combinations of salary and commissions, …

Environmental Ethical Decision Making In The U.S. Metal-Finishing Industry, Brenda L. Flannery, Douglas R. May

Department of Management: Faculty Publications

We investigated the individual and contextual influences shaping the environmental ethical decision intentions of a sample of managers in the U.S. metal-finishing industry in this study. Ajzen's (1991) theory of planned behavior and Jones's (1991) moral intensity construct grounded our theoretical framework. Findings revealed that the magnitude of consequences, a dimension of moral intensity, moderated the relation- ships between each of five antecedents-attitudes, subjective norms, and three perceived behavioral control factors (self-efficacy, financial cost, and ethical climate)- and managers' environmental ethical decision intentions. We then developed implications for theory and practice in environmental ethical decision making.

The Impact Of Culture On Feedback-Seeking Behavior: An Integrated Model And Propositions, Mary Frances Sully De Luque, Steven M. Sommer

Department of Management: Faculty Publications

In recent research scholars have addressed the issue of an individual's behavior in feedback-seeking activity and, except in scant studies, have virtually ignored the role of culture in this area. In this article we explore four cultural syndromes, based on past research, to form a cross-cultural model of feedback-seeking behavior. We advance propositions for the study of culture as a moderator to feedback-seeking behavior.

Independent Claim Report Lags And Bias In Forecasts Using Age-To-Age Factor Methodology, Stewart Gleason

Journal of Actuarial Practice (1993–2006)

This paper finds that when report lags are assumed to be independent, the age-to-age factor method produces biased estimates when applied to claim count development data. Two distributions are considered as models for the ultimate number of claims for an accident period: (0 a Poisson distribution, and (ii) a negative binomial distribution. In the Poisson case, the assumption of independent report lags implies the independence of the total number of claims reported in any two periods. In the negative binomial case, however, assuming that report lags are independent does not imply that increments are independent, and a somewhat different argument …

Actuarial Analysis Of Retirement Income Replacement Ratios, Robert Keng Heong Lian, Emiliano A. Valdez, Chan Kee Low

Journal of Actuarial Practice (1993–2006)

A measure of level of post-retirement standard of living is the replacement ratio, i.e., percentage of final salary received as annual retirement income derived from savings. The replacement ratio depends on many factors including salary, salary increases, investment returns, and post-retirement mortality. Elementary life contingencies techniques are used to develop a replacement ratio formula and analyze its sensitivity to these factors.

Journal Of Actuarial Practice, Volume 8, Nos. 1 And 2 (2000), Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

Complete volume, includes ARTICLES:

Realistic Pension Funding: A Stochastic Approach • Shih-Chieh Chang 5

Risk Sources in a Life Annuity Portfolio: Decomposition and Measurement Tools • Mariarosaria Coppola, Emilia Di Lorenzo, and Mari/ena Sibillo . .43

A Comparative Study of the Performance of Loss Reserving Methods through Simulation • Prakash Narayan and Thomas Warthen 63

Concentration in the Property and Liability Insurance Market by Line of Insurance • Edward Nissan and Regina Caveny 89

Safe-Side Requirements in Life Insurance: A Corporate Perspective • Annamaria Olivieri and Ermanno Pitacco 115

Actuarial Analysis of Retirement Income Replacement Ratios • Robert Keng Heong …

The Mystery Of Linear Programming Explained: Second Edition, Jack Yurkiewicz

Faculty Working Papers and Articles

Sir Arthur Conan Doyle's Sherlock Holmes explains to Watson and the reader how to use Solver, an application of Excel used to solve mathematical programming problems. Holmes walks his audience through modeling the problem in Excel, using Solver to get the optimal solution, a description of variables, a discussion of shadow prices and right-hand sensitivity analysis, and an explanation of reduced costs.

A Comparison Of Public Agency And Casino Employee Turnover Rates In Las Vegas, Timothy A. Clemens

UNLV Theses, Dissertations, Professional Papers, and Capstones

The primary focus of this professional paper is to determine and then compare turnover rates between public agencies and the gaming industry in the Las Vegas area. The paper's intention is to discover what differences and similarities in employee turnover rates exist between public agencies and casinos. A secondary focus is to determine if the public sector can provide any lessons to lower employee turnover to the Las Vegas gaming industry. This secondary focus is based on the assumption that public agencies have higher employee retention (and, therefore, a lower rate of turnover) than those found within the Las Vegas …

Agriculture Western Australia's Centre For Cropping Systems - Northam, Agriculture Western Australia

Grain and other field crops published reports

Agriculture Western Australia's Centre for Cropping Systems in York Road, Northam, was established as a centre of excellence for research, development and extension into cropping systems.

Its role is to stimulate the contribution of ideas from individuals, groups and organisations with an interest in research, development, and extension relating to innovative, profitable and sustainable crop-based farming systems.

The Centre for Cropping Systems is part of a regional network with strong links to Agriculture Western Australia's Crop Improvement Institute based at South Perth, the Dryland Research Institute at Merredin and the Avondale Research Fann at Beverley. It also links with universities …

Miscellaneous Publication 37/99 - Codes Of Practice For Vegetable Production On The Swan Coastal Plan, N. Lantzke, A. Galati

Horticulture published reports

Codes of practice contain information on good management practice and set viable limits to inputs such as fertilisers and irrigation, so as to minimise environmental impact. They are written by growers, they need to be regularly updated, and they deal with aspects of horticulture that have environmental and social impact/consequence.

The vegetable industry was worth about $162 million to the State in 1994/95. The Swan Coastal Plain produces over 58 per cent of the State's vegetable production. Western Australia is also the leading State for vegetable exports in Australia. The major crops grown on the coastal plain include potatoes, carrots, …

Export Cauliflower Quality Improvement 1996 - 1998, Vynka Mcveigh, Rachel Lancaster, Dennis Phillips, S. C. Tan

Horticulture research reports

Final report for the project VG 94043 January 1996 to December 1998.

This three year study is the first conducted in Australia which has evaluated and assessed the postharvest chain for export cauliflowers. From harvesting to transportation to the wharf, the project has identified a range of improved practices to ensure optimum quality of cauliflower at the destination market. The project has also examined cauliflower agronomy issues such as the effect of seed weight, seedling weight and phosphorus nutrition and placement on yield and harvest period, as well as variation in potting mix composition within a seedling cell tray.

Producing …

Introduction: Are We Requiring What Our Students Most Need?, Michael Alan Netzley

Research Collection School of Social Sciences

Why devote a special issue to the topic of writing requirements for business students?The answer, I believe, is relatively simple: any such requirement mustreflect what business professionals should know and do in a knowledge economy.Because communication practices are changing radically, our requirements, too,must be reexamined. This issue provides a forum for such reexamination.

When Is Command-And-Control Efficient? Institutions, Technology And The Comparative Efficiency Of Alternative Regulatory Regimes For Environmental Protection, Peter Z. Grossman, Daniel H. Cole

Scholarship and Professional Work - Business

The nominal efficiency of a regulatory regime is determined by comparing its social costs and benefits; the regime is nominally efficient if it produces benefits in excess of its costs. Thus, a regulatory regime can be at once nominally efficient and relatively inefficient. A regulatory regime that is nominally efficient in the early days of pollution-control efforts, when increments of environmental quality are relatively cheap, may (but will not necessarily) grow less efficient over time - producing less return on each dollar invested - as increments of environmental quality grow increasingly expensive. A regulatory regime that is more efficient in …

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, …

Commissioners Annuity Reserve Valuation Method (Carvm), Keith P. Sharp

Journal of Actuarial Practice (1993–2006)

This paper describes the commissioners annuity reserve valuation method (CARVM) and highlights the fundamental contrast with insurance valuation. Numerical examples illustrate methods of applying CARVM to particular annuity designs. The application of NAIC Actuarial Guideline 13 on bailouts is given particular attention.

Determination Of Optimal Premiums As A Constrained Optimization Problem, Farrokh Guiahi

Journal of Actuarial Practice (1993–2006)

A simple stochastic model of an insurer's underwriting and related investment operations is used to determine the optimal amounts of written premiums for one period for the insurer's book of business. The written premium for each class is determined by the solution of a constrained optimization problem. The insurer's objective function is the expected profit on a book of business over the period. The insurer has a safety constraint where a certain portion of capital and surplus can be depleted with a small probability. This paper provides an explicit solution for optimum expected profit and corresponding written premiums by classes. …

A Fuzzy Approach To Grouping By Policyholder Age In General Insurance, Richard J. Verrall, Yakoub H. Yakoubov

Journal of Actuarial Practice (1993–2006)

In general insurance, policyholder age is often treated as a factor with the number of levels requiring that the individual ages of the policyholders be grouped. Although the groups are usually defined by the existing underwriting structure, it should be investigated as part of any premium rating exercise that uses a model to assess past claims experience. It is possible that an incorrect grouping by policyholder age could bias the results of the risk premium estimation. On the other hand, it may not be computationally feasible to use separate ages in the premium model, making some form of grouping necessary. …

Multilife Premium Calculation With Dependent Future Lifetimes, Michel Denuit, Anne Cornet

Journal of Actuarial Practice (1993–2006)

Actuaries traditionally have calculated multi-life (joint life) premiums by assuming the independence of the future lifetimes of insured persons. Recent studies, however, demonstrate dependence of the future lifetimes of couples (such as husbands and wives). This dependence materially affects the values of multi-life annuities and insurances. Using the Frechet-Hoeffding bounds and Norberg's Markov model, we determine the effect of this dependence in lifetimes on the actuarial present values of a widow's pension benefit.

Recognizing Actuarial Assumptions, Victoria Stachowski, Alice Underwood

Journal of Actuarial Practice (1993–2006)

As assumptions underlie every aspect of actuarial calculations, actuaries must be aware of the assumptions they are using and understand their importance and the possible effects of changing assumptions on the results of their calculations. This paper explores the nature of assumptions in: (i) mathematical models, (ii) data selection, (iii) actuarial methods, and (iv) the business environment. We examine reasons for making assumptions such as convenience, tradition, indications in the data, or lack of data. In addition, we discuss (i) how actuaries can judge whether these reasons are sufficient; (ii) methods that can help actuaries quantify the impact of their …

Linking It Applications With Manufacturing Strategy: An Intelligent Decision Support System Approach, Ravi Kathuria, Murugan Anandarajan, Magid Igbaria

Business Faculty Articles and Research

Research has indicated the importance of matching Information Technology (IT) applications or manufacturing systems with the competitive strategy of a company. Selection of the right type of IT application is, however, a challenging task. When a company, with a given dominant process structure, emphasizes two or more competitive priorities, such as quality, product flexibility, etc., an unaided manager faces a complex decision problem in choosing from alternative IT applications available in the areas of product design through distribution. In this paper, we developed an Intelligent Decision Support System (IDSS) that would assist managers with: assessment of the relative importance of …

Journal Of Actuarial Practice, Volume 7, Nos. 1 And 2, 1999, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

A Study Note on the Actuarial Evaluation of Premium Liabilities • Claudette Cantin and Philippe Trahan (First Prize)

Recognizing Actuarial Assumptions • Victoria Stachowski and Alice Underwood (Second Prize)

Commissioners Annuity Reserve Valuation Method (CARVM) • Keith P. Sharp (Third Prize)

CARVM and NAIC Actuarial Guidelines 33 & 34 • Keith P. Sharp

Multilife Premium Calculation with Dependent Future Lifetimes • Michel Denuit and Anne Cornet

A Fuzzy Approach to Grouping by Policyholder Age In General Insurance • Richard J. Verrall and Yakoub H. Yakoubov

Determination of Optimal Premiums as a Constrained Optimization Problem • Farrokh Guiahi

Credibility Calculations …

Bulletin 4384 - New Asian Vegetables From Western Australia - At A Glance, Vynka Mcveigh, Soon Chye Tan Dr, Geraldine Pasqual

Bulletins 4000 -

Western Australia produces a range of horticultural commodities including fruit, vegetables, flowers, nursery products and wine as part of its fast growing $400 million horticultural industry. Natural advantages such as climate and clean environment, soils and water make Western Australia an ideal place to supply a variety of high quality produce to domestic and international markets.

Western Australia is Australia's largest exporter of fresh vegetables, sending a range of products to over 20 countries. A strong export trade has developed with South East Asia and growing opportunities exist in other markets in Asia and in the Northern Hemisphere. Western Australia …

Airline Overbooking In The Multi-Class Case, Joseph Coughlan

Articles

This paper presents an airline overbooking model at a class level for one servcie compartment-cabin. Class level demand data i sused to determine the number of bookings that can be taken for each class. The model is optimised through the use of mulit-dimentsional search routines. The control level model developed is tested with data supplied by Ireland's national airline, Aer Lingus. The model shows a significant improvement over previous methods employed by Aer Lingus and was subsequently adopted by the airline.

Carvm And Naic Actuarial Guidelines 33 & 34, Keith P. Sharp

Journal of Actuarial Practice (1993–2006)

Annuity valuation under the NAIC Standard Valuation Law is determined according to methods different from those methods used for life insurance. The CARVM assumption of efficient policyholder selection is clarified under NAIC Actuarial Guidelines 33 and 34 to allow for non-elective (e.g., death) benefits. In particular, Actuarial Guideline 34 is oriented toward variable annuities and prescribes methods to be used in the presence of a minimum guaranteed death benefit. In this paper these methods are examined and illustrated with examples.