Description: It is obvious that the introduction of a deductible has two major effects. The amount paid for every claim will drop, resulting in a lower claim burden for the insurance company. There will also be a drop in claim frequency, leading to a decrease in claim handling expenses. However, it is by no means obvious how the average claim size changes with the introduction of a deductible. In this paper, we will study this question. First, we derive some theoretical results then apply them to concrete distributions.

Description: The selection of the economic capital calculation approach becomes more of a modeling decision. Now let us pause here and think about the arbitrage-free assumption at the beginning. At any time, there can be only one price on any asset. If the company considers the price calculated above as the fair price for its products, then it must hold true that the same price has to be arrived at if the company uses a real-world pricing approach instead of a risk-neutral approach. This gives us a very good basis to calibrate the appro- priate economic capital.

Description: Presents results of 2003-2012 cohorts of insurance company private placement bonds. Finds private bonds show a 15bp annual advantage relative to public bonds, due to lower loss severity.

Description: Investment Fallacies: The Fallacy of the Fed Model

Description: Invest Fallacies: Active management overall performs different than passive management

Description: Calculating the risk adjustment confidence level disclosure required by IFRS 17 if the risk adjustment itself is calculated using a cost of capital approach

Description: In recent years there has been an increasing interest in the practical application of immunization theory to North American Funds. There is a lack of literature on this subject and this article is written to give a clear and concise description of the theory, and of its role in the framing of investment policy.

Description: Article Society Seminars by Adams in The Actuary, February 1979, Volume 13, Number 2

Description: This presentation was session number 31PD at the 2000 Annual Meeting of the Society of Actuaries, held October 15-18 in Chicago. As opposed to reserves, benchmark surplus, and its supporting assets, relatively little attention is paid to free surplus and its supporting assets. The panelists approach these assets “as a portfolio to be managed with its own set of performance goals, risk tolerances, and characteristics, including issues and alternatives for managing unallocated free surplus.” Topics include diversification, setting asset and liability risk tolerances and adjusting risk in the portfolio, performance goals for the portfolio, impact of mergers, acquisitions, and divestitures, and the use of internal capital formulas to drive growth. Discussion from participants is included. From the Record of the Society of Actuaries, Volume 26, No. 3.

Description: Description of new regulatory risk disclosure for private fund advisers.