Download or read book Analysis of Pricing and Reserving Risks with Applications in Risk based Capital Regulation for Property casualty Insurance Companies written by Chayanin Kerdpholngarm and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of the study for this dissertation is the relationship between pricing and reserving risks for property-casualty insurance companies. Since the risk characteristics of insurers differ based on their structure, objectives and incentives, segmenting the insurers into subgroups would allow for a better understanding of group-specific risks. Based on this approach to analyzing insurer financial risks, we find that, in a given accident year, the pricing and reserving errors are positively correlated, especially in long-tailed lines of business. Large insurers, stock insurers, and multi-state insurers, in general, exhibit a strong correlation between accident-year price and reserve errors. However, only size of insurers appears to be a factor that influences the interaction between price changes and the calendar year loss reserve adjustments. Furthermore, we find that the pricing risk and reserving risk are marginally more homogeneous within a market segment when size, type and number of states are employed as criteria for market segmentation, hence insurance regulators should consider the refined market segments for the RBC formula. The empirical results also indicate that, in general, Chain-Ladder reserving method likely contributes to loss reserve errors when there is a change in the loss development pattern and the magnitude of the errors is worse for large insurers. Finally, we find that our proposed measurement method for the product diversification benefit provides support for the notion that the diversification benefit on the incurred losses increases with the number of lines in the portfolio. Yet, the diminishing returns tend to decrease the diversification benefit on the incurred losses for insurers that write the business in more than six of the selected lines. To the contrary, our proposed measure does not provide clear evidence that writing business in many product lines increases the product diversification benefit with respect to adverse loss development. We do find that the diversification benefit for both incurred losses and loss development is higher for larger insurers. Hence, for risk management and regulatory purposes, a stronger case can be made for considering firm size than product diversification.
Download or read book Risk Based Capital written by Lawrence D. Cluff and published by DIANE Publishing. This book was released on 2000 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings of the Casualty Actuarial Society written by Casualty Actuarial Society and published by . This book was released on 1923 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: List of members for the years 1914-20 are included in v. 1-7, after which they are continued in the Year book of the society, begun in 1922.
Download or read book Pricing Insurance Risk written by Stephen J. Mildenhall and published by John Wiley & Sons. This book was released on 2022-06-15 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt: PRICING INSURANCE RISK A comprehensive framework for measuring, valuing, and managing risk Pricing Insurance Risk: Theory and Practice delivers an accessible and authoritative account of how to determine the premium for a portfolio of non-hedgeable insurance risks and how to allocate it fairly to each portfolio component. The authors synthesize hundreds of academic research papers, bringing to light little-appreciated answers to fundamental questions about the relationships between insurance risk, capital, and premium. They lean on their industry experience throughout to connect the theory to real-world practice, such as assessing the performance of business units, evaluating risk transfer options, and optimizing portfolio mix. Readers will discover: Definitions, classifications, and specifications of risk An in-depth treatment of classical risk measures and premium calculation principles Properties of risk measures and their visualization A logical framework for spectral and coherent risk measures How risk measures for capital and pricing are distinct but interact Why the cost of capital, not capital itself, should be allocated The natural allocation method and how it unifies marginal and risk-adjusted probability approaches Applications to reserve risk, reinsurance, asset risk, franchise value, and portfolio optimization Perfect for actuaries working in the non-life or general insurance and reinsurance sectors, Pricing Insurance Risk: Theory and Practice is also an indispensable resource for banking and finance professionals, as well as risk management professionals seeking insight into measuring the value of their efforts to mitigate, transfer, or bear nonsystematic risk.
Download or read book Risk based Capital Requirements for Property casualty Insurers written by and published by . This book was released on 1992 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Deregulating Property Liability Insurance written by J. David Cummins and published by Rowman & Littlefield. This book was released on 2004-06-23 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past two decades, the United States has successfully deregulated prices and restrictions on most previously-regulated industries, including airlines, trucking, railroads, telecommunications, and banking. Only a few industries remain regulated, the largest being the property-liability insurance business. In light of recent sweeping financial modernization legislation in other sectors of the insurance industry, this timely volume examines the basis for continued regulation of rates and forms of the U.S. property-liability insurance market. The book focuses on private passenger automobile insurance—the most important personal line of property-liability coverage, with annual premiums of about $120 billion. The authors analyze five state case studies: California, Massachusetts, and New Jersey—three of the most heavily regulated states—as well as Illinois, which has been deregulated for about 30 years, and South Carolina, which began to deregulate in 1997. The study also includes an econometric analysis based on all fifty states over a 25-year period that gauges the impact of regulation on insurance price levels, price volatility, and the proportion of automobiles insured in residual markets. The authors conclude that regulation does not significantly reduce long-run prices for consumers, and generally limits availability of coverage, reduces the quality and variety of services available in the market, inhibits productivity growth, and increases price volatility. Contributors include Dwight Jaffee (University of California, Berkeley), Thomas Russell (Santa Clara University ), Laureen Regan (Temple University), Sharon Tennyson (Cornell University), Mary Weiss (Temple University), John Worrall (Rutgers University), Stephen D'Arcy (University of Illinois, Urbana-Champaign), Martin Grace (Georgia State University), Robert Klein (Georgia State University), Richard Phillips (Georgia State University), Georges Dionne (University of Montreal), and Richard Butler (Brigham Young University).
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance written by Robert L. Brown and published by ACTEX Publications. This book was released on 2007 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book MIC 2022 written by Faisal Santiago and published by European Alliance for Innovation. This book was released on 2023-02-14 with total page 938 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the 2nd Multidiscipline International Conference (MIC) 2022 will be an annual event hosted by Nusantara Training and Research (NTR). This year (2022), this event was held in collaboration with Nusantara Training and Research (NTR) with Universitas Borobudur Jakarta will be held on the virtual conference on 12 November 2022 at Semarang, Indonesia. We carry the theme "Multidisciplinary Research Synergies in Generating Innovations in The Digitalization Era" trying to continue to synchronize with all aspects in the pandemic era and prepare to face the new normal, as well as outlook of the field of Call for papers fields to be included in MIC. The scope of this event is multidisciplinary. Starting from social science, economics, education, law, engineering, religion, and other sciences. This conference was attended by participants and delegates from various universities from Indonesia, Malaysia, Brunai Darussalam, Philippines, Australia, and Japan. More than 100 participants from academics, practitioners and bureaucrats took part in this event to exchange knowledge according to their research results and competencies.
Download or read book Securitized Insurance Risk written by Michael Himick and published by Routledge. This book was released on 2020-09-29 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: Securitized Insurance Risk is one of the first books to focus exclusively on the convergence of the insurance and financial markets in risk management and the emergence of insurance risk as a non-correlated asset class. Written for insurers and investors alike, this book explores the opportunities available to forward-looking risk and investment managers. Chapters by prominent experts specifically address: the win-win principle behind securitizing insurance risk; current structures, including catastrophe bonds, structured notes, catastrophe options, and swaps; partnering financial market tools with traditional reinsurance programs; holding insurance risk, uncorrelated with stocks and bonds; pricing insurance risk instruments and evaluating basic risk; and regulatory and accounting concerns.
Download or read book Value Oriented Risk Management of Insurance Companies written by Marcus Kriele and published by Springer Science & Business Media. This book was released on 2014-01-14 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value- and risk-oriented management is a holistic method of managing businesses. In this book both actuarial methods and methods pertaining to classical internal control and classical risk management are used. Therefore the approach taken is necessarily interdisciplinary. Indeed, there is a new dynamically developing field for actuaries as a result of the emphasis now on the measurement of risk. This book provides the required basic knowledge for this subject from an actuarial perspective. It enables the reader to implement in practice a risk management system that is based on quantitative methods. With this book, the reader will additionally be able to critically appraise the applicability and the limits of the methods used in modern risk management. Value-oriented Management of Risk in Insurance focuses on risk capital, capital allocation, performance measurement and value-oriented management. It also makes a connection to regulatory developments (for example, Solvency II). The reader should have a basic knowledge of probability and familiarity with mathematical concepts. It is intended for working actuaries and quantitative risk managers as well as actuarial students.
Download or read book Macroprudential Solvency Stress Testing of the Insurance Sector written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2014-07-22 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
Download or read book Property Casualty Risk Based Capital Report Including Overview and Instructions for Companies written by National Association of Insurance Commissioners and published by . This book was released on 1994-10 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Systemic Risk and Insurance written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and published by . This book was released on 2009 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Discretionary Use of Present Value based Measurements by Property casualty Insurers written by Karen K. Nelson and published by . This book was released on 1998 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Managing Investment Portfolios written by John L. Maginn and published by John Wiley & Sons. This book was released on 2007-03-09 with total page 960 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition." —Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University
Download or read book Unnecessary Injury written by Robert J. Shapiro and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the wake of the global financial crisis of 2008-2009, governments in every developed country applied new forms of financial regulation, and now their attention has shifted to international regulation. One of those trans-national efforts involves applying a new layer of global capital requirements to “Global Systemically Important Insurers (G-SIIs), whose failure could trigger a new financial crisis. In addition, talks are underway to also impose new global capital requirements on large insurance companies with significant foreign operations, but which do not present a systemic risk to their own economies or the global financial system (Internationally Active Insurance Groups or IAIGs). This study examines the rationale for this new regulatory approach and the costs associated with applying it to large U.S. property and casualty (P&C) insurers representing about 26 percent of the US P&C market. We find, first, that such additional capital requirements are unnecessary: Even the largest U.S. P&C insurers pose no systemic risk to the U.S. or global financial systems, and current state-based capital requirements are sufficient to ensure that they can handle the claims arising from even the most extraordinary losses, including from events likely to occur once every 100 years, 250 years and 500 years. Second, we find that imposing additional capital requirements on large U.S. P&C insurers with substantial foreign business, all other factors being equal, would likely force them to slow the growth of new P&C coverage, increase the cost of that coverage, and reduce their investments. We estimate that the annual premiums charged by U.S. IAIGs for homeowner's coverage would increase by $45-to-$109; and the average annual cost of auto insurance from an affected company could rise by $34-to-$68. We further estimate that the new global regulation of IAIGs could slow the growth of new premiums by an average of between $2.9 billion and $7.3 billion per-year. Finally, we estimate that the new capital requirements for IAIGs would reduce the growth of investments by those insurers by between $726 million and $1.8 billion over the next five years (2014-2018).
