Description: In a product warranty, the renewal function is the expected number of failures in a specific warranty duration. To estimate the renewal function, cross-sectional regression data is assumed to be available and the data is assumed to be semiparametric. In this article, the observations are a11owed to be residuals from a complex regression model. It is observed that estimation can be accomplished using reasonable models for the contracts and data collection. From Actuarial Research Clearing House 1992, VOL. 2.

Description: Automobile insurers classify the risks that they underwrite in order to subdivide the portfolio into classes of risks with similar profiles. While some insurers may have sufficient historical data, several others may not have significant volume of experience data in order to produce reliable claims predictions to help enhance their risk classification systems. A database containing a pooled experience of several insurers thereby helps to produce a more fair, reliable, and equitable premium structure for all risks concerned. This paper uses multilevel models to analyze the data on claim counts provided by the General Insurance Association of Singapore, an organization consisting of most of the general insurers in Singapore. The multilevel nature of the data is due to the following: a certain vehicle is observed over a period of years and is insured by a particular insurance company under a certain 'fleet' policy. The authors show how intercompany data lead to a priori premiums and a posteriori corrections to these initial premiums. Specific focus is made in understanding the intercompany effects using various count distribution models [Poisson, negative binomial, zero–inflated and hurdle Poisson]. The performance of these various models is compared the authors also investigate how to use the historical claims of a company, fleet and/or vehicle in order to correct for the premium initially set.

Description: The projection methods used by the Social Security Administration's Office of the Chief Actuary are important. The resulting projections are cited regularly by policy-makers, academics and others interested in the long-term financial solvency of the OASDI system. However, a complete description of this projection methodology that is vital for serious policy discussions is not available to the general public. This summary was constructed in connection with the Social Security Advisory Board's 1999 Technical Panel on Methods and Assumptions. A goal of the Methods and Modeling working group of the Technical Panel was to 'work to ensure that the projection methods used by the Office of the Chief Actuary become more public.' From Actuarial Research Clearing House 2000, Vol. 1.

Description: This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes towns with a history of insurance claims available for each risk class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression that also encompasses Weibull and Gamma regressions. Copulas are used to model the dependencies over time specifically, this paper is the first to propose using a t-copula in the context of generalized linear models. The t-copula is the copula associated with the multivariate t-distribution like univariate t-distributions, it seems especially suitable for empirical work. Moreover, we show that the t-copula gives rise to easily computable predictive distributions that we use to generate credibility predictors. Like Bayesian methods, our copula credibility prediction methods allow us to provide an entire distribution of predicted claims, not just a point prediction.

Description: Abstract to research paper which introduces estimators of stock price volatility.

Description: This paper provides an overview of deductible ratemaking , and the pros and cons of various approaches under different parametric models are compared

Description: This paper provides an overview of deductible ratemaking , and the pros and cons of various approaches under different parametric models are compared

Description: This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called a copula. Using data from a large insurance company to illustrate our methods, we calculate maximum likelihood estimates to calibrate the rnodel.

Description: This presentation develops a micro–level stochastic model for the run–off of automobile insurance claims. The analysis uses policy exposure, claims and payments experience data from vehicle insurance portfolios obtained from a major general insurance company in Singapore. The data are from the General Insurance Association 'GIA' of Singapore, an organization comprising most of the general insurers in Singapore. Modelling the run–off of individual Reported But Not Settled [RBNS] claims is the very aim of the work. The presenters focus on the following components of the development process: the time to an event, the conditional event type, the conditional payment type if any, and the conditional severity if any. They distinguish three types of events: settlement without any payments made during development, settlement with a payment and a payment without settlement. Given that a payment is to be made, the conditional payment type model describes the probability that it will be one of three claim types, or any possible combination of them. The conditional severity component describes the claim amount structure according to the combination of types paid. The presenters provide appropriate statistical models for each component and calibrate them to the available data. These building blocks are consequently used to predict the future development of open RBNS claims.

Description: Presented at October 1996 Annual Meeting. This session presents a forecasting model of economic assumptions that are inputs to projections of the Social Security system. Social Security projections are made to help policymakers understand the financial stability of the system.