Description: This is the abstract of a paper that builds on previous work concerned with measuring equity, and considers the problem of using observed claim data or other information to arrive at premiums which maximize equity. When these optimal premiums are used, it is shown that gathering more information or refining the risk classification must always increase equity.

Description: From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia, May 24-25, 1999 Year 2000 and Beyond: Society of Actuaries New Course: Applied Modeling Demonstration Charts 5 & 6 from that presentation

Description: In this paper, the authors take an axiomatic approach to characterize insurance prices in a competitive market setting. Four axioms are presented to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability.

Description: In this paper, fuzzy sets - collections of objects whose boundaries are not precisely defined - are used to model the selection process in group health insurance. Both single and multiple options plans are discussed. Discussions of this paper are included.

Description: This is the abstract for the paper on optimal reversible annuities to minimize the probability of lifetime ruin.

Description: This abstract introduces the paper which uses credibility theory to analyze policyholder persistency. It is assumed that persistency depends on the difference between the premium charge and anticipated claims.

Description: We apply decision theory to develop a credibility formula that minimizes a loss function that is a linear combination of a squared-error term and a second-derivative term. The squared-error term measures the accuracy of the estimator, while the second-derivative term constrains the estimator to be close to linear.

Description: Under Yaari's dual theory of risk, this paper determines the equilibrium separating contracts for high and low risks in a competitive insurance market, in which risks are defined only by their expected losses, that is, a high risk is a risk that has a greater expected loss than a low risk. The authors also determine the pooling equilibrium contract when insurers are assumed non-myopic. Utility theory generally predicts that optimal insurance indemnity payments are nonlinear functions of the underlying loss due to the nonlinearity of agents' utility functions. Under Yaari's dual theory, the authors show that under mild technical conditions the indemnity payment is a piecewise linear function of the loss, a common property of insurance coverages.

Description: A presentation on the principle of equivalent utility from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility.

Description: From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia, May 24-25, 1999 Presenters offer a preview of an actual Course 7 dealing with applied modeling.