Description: The method described in this paper is to allocate surplus to each category of business and reserves in proportion to its estimated effect on an insurer's surplus variation. Risk load for each category of business is then selected so that the return on allocated surplus for each category is equal to the overall return on surplus. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The classical model is generalized by discounting with respect to the time of ruin. The authors show how to calculate an expected discounted penalty, which is due at ruin, and may depend on the deficit at ruin and the surplus immediately before ruin.

Description: The standard deviation of the present value of benefits of portfolios of identical insurance contracts are examined when both the mortality and the force of interest are stochastic. Several models for the force of interest are presented. The impact of the different stochastic models for the force of interest and of different parameters on the mortality risk and the interest risk is investigated. From Actuarial Research Clearing House 1994, VOL. 1.

Description: This is the abstract for the referenced paper on the subject of Lundberg bounds on the tails of compound distributions. From ACTUARIAL RESEARCH CLEARING HOUSE 1980 VOL. 2.

Description: This is the abstract of an article about the classical Lundberg inequality of insurance risk theory. From ACTUARIAL RESEARCH CLEARING HOUSE 1994 VOL. 1.

Description: The objective of this paper is to present and to apply a numerical method in the calculation of the minimal and maximal ultimate ruin probabilities in two risk models given some moment constraints on the individual claimsize distribution. An application of this optimization problem is to find the extremal lower and upper bounds of the ultimate ruin probabilities given those constraints. The paper considers the classical risk models with constant and variable premiums.

Description: This paper presents a proof using the general mean value theorem that under specified conditions, the insurance premium for complete protection against a specified loss will decrease with increasing wealth. From Actuarial Research Clearing House 1994, Vol. 1.

Description: This paper develops a theory for the valuation of some kinds of interest sensitive cash flows. A process is derived which takes as input, assumptions about the capital markets and policy holder behaviour, and produces as output interest and decrement assumptions which can be used for conventional actuarial discounting. The methodology is illustrated using some idealized, but tractable, models of conventional non-par whole life insurance. The method is also applied to a simple Universal Life plan. The paper concludes by considering some of the problems encountered when applying the ideas to more practical problems.

Description: This is the abstract of the paper entitled 'On Simulating the Total Claims Distribution' by Bruce L. Jones. From ACTUARIAL RESEARCH CLEARING HOUSE, 1994 VOL. 1.

Description: Consider a portfolio of insurance policies where the mean frquency of claims for each policy may vary. A reasonable assumption is that the number of claims for a policy is a Poisson random variable. In this paper the author shows how to test this hypothesis under certain conditions. He then presents some nonparametric tests for this and other hypotheses about the risk distribution function. Actuarial Research Clearing House 1992, VOL. 1.