Description: This paper examines claim transaction data as experienced in the Canadian pet insurance industry. The current practice is to use an exposure unit approach to estimate the pure premium cost. This approach is applied in this paper in order to reveal certain cost patterns in accident, illness and death benefit costs.

Description: Part one of a two-part article, to be contined in Feb 2014. Provides useful rules of thumb for breaking out investment return into components of periodic arithmetic return, geometric return, the volatility of returns and the correlation of returns by asset class. Develops and relates these axiomatic concepts into rules of thumb for estimating quantiles of a range of stochastic returns.

Description: This session at the 1998 Valuation Actuary Symposium gives an overview of risk management. Two example company programs are described. The use of value at risk as a measure is discussed.

Description: Discusses bond-default history in the United States, implications for insurance-company asset determination, regulatory concerns about recent investing by insurance companies in low-grade bonds, valuation-actuary needs to consider in these cases, and another suggested method for modeling the C-1 Risk in the context of the valuation actuary's cash flow review. From the 1987 Record of Society of Actuaries, Vol. 13, No. 3.

Description: This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of an insurer. Some conditions under which it is optimal to have no reinsurance are derived. Based on these results, a new concept, capital threshold of proportional reinsurance, is introduced. In the case of two periods, a lower bound of the capital threshold of proportional reinsurance is provided. Some economic implications and properties of this new concept are also discussed.

Description: Studies default risk through the two-sided exit problem of a time-homogeneous di§usion process with tax payments of loss-carry-forward type and obtains explicit formulas for the exit probabilities. If the lower boundary is understood as the default threshold, then the nondefault probability is solved as a special case. A sufficient and necessary condition for the tax identity is discovered.

Description: Discusses the influence of market-consistent pricing proponents.

Description: From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia, May 24-25, 1999 Panelists discussed a comprehensive risk management approach to quantify the risk exposure from various sources.

Description: Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random component. Several special models of interest rate fluctuation are examined in detail. It is hoped that such theory will be useful in developing fluctuation reserves and premium margins. Presented at the 13th Annual Actuarial Research Conference, Ball State University, August 31st. September lst, 2nd. 1978.

Description: Analysis of consequences of investment risk taking by public pension plans.