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Reading List General Insurance

2008-2011

Institute and Faculty of Actuaries

September 2011

INSTITUTE AND FACULTY OF ACTUARIES LIBRARY SERVICES


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THE LIBRARIES The Actuarial Professions libraries offer a wide selection of resources, covering actuarial science, mathematics, statistics, finance, investment, pensions, insurance, healthcare, social policy, demography, business and risk management. Our extensive range of online resources are available to you wherever you are. The Libraries reserve the right to restrict the availability of any service to members of the Faculty and Institute of Actuaries only.

ACCESS The Libraries are open to all members of the Faculty and Institute. Opening hours are 9:00 to 17:00 Monday to Friday. Closed on public holidays. If you are planning a visit, please let us know so we can ensure someone is available to welcome you. Online access to electronic resources is available through Athens: www.openathens.net LENDING We can post books to members and other approved borrowers in the UK and overseas. We hold multiple copies of popular titles. If an item is not in stock we will usually buy it or obtain it from another library. PHOTOCOPYING We can post, fax or email single copies of periodical articles and extracts from books, subject to copyright regulations. ENQUIRIES We can search for information, statistics and hard-to-trace references. We aim to respond within 24 hours. ONLINE CATALOGUE The online catalogue is available at: http://actuaries.soutron.net

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READING LISTS We produce topical lists of recent publications which you can download from the libraries area of the website. We can compile customized lists on request (contact libraries@actuaries.org.uk) or you can do so yourself by searching the library catalogue. THE HISTORICAL COLLECTION The Institute's collection of historical material is housed at Staple Inn. This collection comprises all books published before 1870, those of historical interest published 1870 - 1959 and historical studies published subsequently. It also includes full sets of the Journal of the Institute of Actuaries, Journal of the Staple Inn Actuarial Society, Transactions of the Faculty of Actuaries, Transactions of the International Congress of Actuaries, the journals of many overseas actuarial bodies, copies of tuition material and a reference collection. Opening hours are 9.00am to 5.00pm. Prospective visitors are advised to telephone in advance. PUBLICATIONS SHOP We stock all publications issued by the Profession, including Core Reading, Formulae and tables and titles from the list of suggested further reading for the CT and SA exams. We offer discounts on a range of books and calculators approved for the professions exams. You can place orders and find news of the latest discounts at http://www.actuaries.org.uk/research-and-resources/eshop FEES FOR SERVICES There may be a fee for some services. Please check the libraries pages on the website at: www.actuaries.org.uk/research-and-resources/pages/borrowing

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TableofContents
Accidentprevention.......................................................................................................................................1 Accidents........................................................................................................................................................1 Accountingandauditing................................................................................................................................2 Accountingstandards ....................................................................................................................................2 . Actuarialmanagement...................................................................................................................................3 Actuarialprofession.......................................................................................................................................3 Actuarialscience............................................................................................................................................5 Adverseselection...........................................................................................................................................6 Advisers..........................................................................................................................................................6 Africa..............................................................................................................................................................6 Age.................................................................................................................................................................7 Agestructure .................................................................................................................................................7 . Algorithms......................................................................................................................................................7 Analysis..........................................................................................................................................................8 Annuities........................................................................................................................................................8 Asbestosrelateddiseases............................................................................................................................10 Asia...............................................................................................................................................................12 Assetallocation............................................................................................................................................12 Assetmanagement......................................................................................................................................14 Assetvaluation.............................................................................................................................................14 Assets...........................................................................................................................................................14 Attitudes ......................................................................................................................................................15 . Australia.......................................................................................................................................................15 Automobileindustry....................................................................................................................................16 Automobileinsurance..................................................................................................................................16 Aviationinsurance .......................................................................................................................................18 . Balancesheets.............................................................................................................................................18 Bancassurance..............................................................................................................................................18 Bankruptcy...................................................................................................................................................19 Banksandbanking.......................................................................................................................................19 Bayestheorem.............................................................................................................................................19 Behaviouralsciences....................................................................................................................................20 Belgium........................................................................................................................................................20 Bonds...........................................................................................................................................................21 Bonus...........................................................................................................................................................22 Bonusmalus.................................................................................................................................................22 Bonuses........................................................................................................................................................22 Bootstrap......................................................................................................................................................23 Brazil ............................................................................................................................................................25 . Brownianmotion.........................................................................................................................................25 Business .......................................................................................................................................................25 . Calibrations..................................................................................................................................................26 Canada.........................................................................................................................................................26 Cancer..........................................................................................................................................................28 Capital..........................................................................................................................................................28 Capitaladequacy..........................................................................................................................................30 Capitalassetpricingmodel..........................................................................................................................31 Capitalmanagement....................................................................................................................................32 Capitalmarkets............................................................................................................................................32

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Capitalprojects............................................................................................................................................33 Captives........................................................................................................................................................34 Casualtybusiness.........................................................................................................................................34 Catastrophe..................................................................................................................................................35 Catastropheinsurance.................................................................................................................................38 Catastrophereinsurance..............................................................................................................................40 Chainladdermethods..................................................................................................................................41 Change.........................................................................................................................................................45 Channelsofdistribution...............................................................................................................................45 China............................................................................................................................................................45 Citationanalysis...........................................................................................................................................46 Claimfrequency...........................................................................................................................................46 Claimfrequencymodels ..............................................................................................................................47 . Claims...........................................................................................................................................................49 Claimsreserves............................................................................................................................................59 Climatechange.............................................................................................................................................63 Codesofpractice .........................................................................................................................................67 . Communications..........................................................................................................................................67 Comparativestudies....................................................................................................................................67 Competition.................................................................................................................................................68 Compounddistributions..............................................................................................................................68 Computerscience........................................................................................................................................69 Computersecurity .......................................................................................................................................69 . Computersystems.......................................................................................................................................69 Computers....................................................................................................................................................70 Confidencelimits .........................................................................................................................................70 . Consultancy..................................................................................................................................................70 Consumerattitudes .....................................................................................................................................71 . Consumerbehaviour....................................................................................................................................71 Continuingeducation...................................................................................................................................72 Control.........................................................................................................................................................72 Copulas.........................................................................................................................................................73 Correlation...................................................................................................................................................74 Costaccounting............................................................................................................................................75 Costcontrol..................................................................................................................................................75 Costs.............................................................................................................................................................76 Credibility.....................................................................................................................................................76 Crime............................................................................................................................................................77 Criticalillnessinsurance...............................................................................................................................78 Customerrelationshipmanagement...........................................................................................................78 Damages.......................................................................................................................................................78 Data..............................................................................................................................................................79 Datacollectionandrecording......................................................................................................................79 Datamining..................................................................................................................................................79 Dataprotection............................................................................................................................................80 Death............................................................................................................................................................80 Deathbenefit...............................................................................................................................................80 Definedcontributionschemes.....................................................................................................................81 Demandanalysis..........................................................................................................................................81 Demography.................................................................................................................................................82 Demutualisation...........................................................................................................................................82 Denmark.......................................................................................................................................................83 Derivatives...................................................................................................................................................84 Developedeconomies..................................................................................................................................84

Developingeconomies.................................................................................................................................85 Development ...............................................................................................................................................87 . Directors.......................................................................................................................................................87 Directors'andofficers'insurance ................................................................................................................88 . Disabilityinsurance......................................................................................................................................88 Disablement.................................................................................................................................................89 Diseasesanddisorders.................................................................................................................................89 Distributiontheory.......................................................................................................................................89 Diversification..............................................................................................................................................91 Dividends .....................................................................................................................................................92 . Durationandimmunisation.........................................................................................................................93 Earthquakes.................................................................................................................................................93 EasternEurope.............................................................................................................................................94 Economicconditions....................................................................................................................................94 Economicmodels.........................................................................................................................................95 Economicprojections...................................................................................................................................96 Economicstatistics.......................................................................................................................................96 Economics....................................................................................................................................................96 Embeddedvalue..........................................................................................................................................97 Emergingmarkets........................................................................................................................................97 Employeebenefits.......................................................................................................................................98 Employees....................................................................................................................................................98 Endowments................................................................................................................................................98 Energyresources..........................................................................................................................................99 Enterpriseriskmanagement........................................................................................................................99 Environment ..............................................................................................................................................101 . Environmentalliability...............................................................................................................................102 Epidemiology .............................................................................................................................................102 . Equalopportunities....................................................................................................................................102 Equaltreatment.........................................................................................................................................103 Equityreleaseschemes..............................................................................................................................103 Estimation..................................................................................................................................................103 Europe........................................................................................................................................................104 EuropeanUnion.........................................................................................................................................106 Excessofloss..............................................................................................................................................107 Excessoflossreinsurance..........................................................................................................................107 Exposuretorisk..........................................................................................................................................107 Extremevaluetheory.................................................................................................................................108 Finance.......................................................................................................................................................108 Financialanalysis........................................................................................................................................109 Financialcrises...........................................................................................................................................109 Financialinstitutions..................................................................................................................................113 Financialinstruments.................................................................................................................................114 Financialmarkets.......................................................................................................................................114 Financialreports ........................................................................................................................................115 . Financialriskanalysis.................................................................................................................................115 Financialservices........................................................................................................................................116 Financialstatements..................................................................................................................................117 Fireinsurance.............................................................................................................................................117 Floods.........................................................................................................................................................118 Forecasting.................................................................................................................................................119 Formulae....................................................................................................................................................120 France ........................................................................................................................................................120 . Fraud..........................................................................................................................................................120

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Fundmanagement.....................................................................................................................................122 Funds..........................................................................................................................................................122 Futurestudies............................................................................................................................................123 Fuzzylogic..................................................................................................................................................123 GAAP..........................................................................................................................................................123 Gender.......................................................................................................................................................123 Generalinsurance......................................................................................................................................124 Generalisedlinearmodels.........................................................................................................................154 Geneticscreening ......................................................................................................................................155 . Genetics.....................................................................................................................................................156 Geographicaldivisions...............................................................................................................................156 GerberShiufunction..................................................................................................................................157 Germany.....................................................................................................................................................157 Globalwarming..........................................................................................................................................158 Governance................................................................................................................................................159 Government...............................................................................................................................................159 Governmentfundraisingmethods............................................................................................................160 GreatBritain...............................................................................................................................................160 Greece........................................................................................................................................................161 Growththeory............................................................................................................................................161 Guarantees.................................................................................................................................................161 Healthandsafety.......................................................................................................................................162 Healthinsurance........................................................................................................................................163 Healthservices...........................................................................................................................................165 Heartdisease .............................................................................................................................................166 . Hedging......................................................................................................................................................166 History........................................................................................................................................................167 Hospitalservices........................................................................................................................................167 Householdinsurance .................................................................................................................................168 . Housingmarket..........................................................................................................................................168 Hurricanes..................................................................................................................................................169 IBNR ...........................................................................................................................................................169 . Impairedlives.............................................................................................................................................169 Indexes.......................................................................................................................................................170 India...........................................................................................................................................................170 Industrialawareness..................................................................................................................................171 Inflation......................................................................................................................................................171 Information................................................................................................................................................172 Informationtechnology.............................................................................................................................172 Insolvency..................................................................................................................................................172 Insurance....................................................................................................................................................173 Insurancebroking ......................................................................................................................................201 . Insurancecompanies.................................................................................................................................202 Insurancecompany....................................................................................................................................207 Insurancecontracts....................................................................................................................................207 Insurancehistory........................................................................................................................................209 Insuranceindustry .....................................................................................................................................209 . Insurancelaw.............................................................................................................................................212 Interestrates..............................................................................................................................................212 International..............................................................................................................................................213 Internationaleconomicrelations...............................................................................................................214 Internationaltrade.....................................................................................................................................215 Internet......................................................................................................................................................215 Investment.................................................................................................................................................216

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Investmentmanagement...........................................................................................................................217 Investmentperformance...........................................................................................................................218 Investmentpolicy.......................................................................................................................................218 Ireland........................................................................................................................................................218 Islam...........................................................................................................................................................219 Italy.............................................................................................................................................................221 Japan..........................................................................................................................................................221 Jumpdiffusion............................................................................................................................................222 Korea..........................................................................................................................................................223 Law.............................................................................................................................................................223 LawandlegalsystemsofAmerica.............................................................................................................224 Legislation..................................................................................................................................................224 Liabilities....................................................................................................................................................224 Liability.......................................................................................................................................................228 Liabilityinsurance......................................................................................................................................229 Lifeassurance.............................................................................................................................................232 Lifeexpectation..........................................................................................................................................234 Lifeinsurance.............................................................................................................................................234 Lifeproducts..............................................................................................................................................239 Lifetables...................................................................................................................................................239 Linearequations ........................................................................................................................................239 . Liquidations................................................................................................................................................240 Lloyd's........................................................................................................................................................240 Local...........................................................................................................................................................241 Localgovernment ......................................................................................................................................241 . Lognormaldistribution ..............................................................................................................................242 . Londonmarket...........................................................................................................................................242 Longtermcareinsurance ..........................................................................................................................242 . Longevityrisk.............................................................................................................................................244 Loss ............................................................................................................................................................244 . Lossratios...................................................................................................................................................247 Lossreserving.............................................................................................................................................248 Losses.........................................................................................................................................................250 Management..............................................................................................................................................253 Marineinsurance.......................................................................................................................................254 Maritalstatus.............................................................................................................................................255 Markettrends............................................................................................................................................256 Marketing...................................................................................................................................................256 Markovprocesses......................................................................................................................................256 Mathematicalmodels................................................................................................................................257 Mathematics..............................................................................................................................................261 Mathematicsoffinance.............................................................................................................................261 Maturityguarantees..................................................................................................................................262 Medicalinsurance......................................................................................................................................262 Microinsurance..........................................................................................................................................262 MiddleEast................................................................................................................................................263 Modelling...................................................................................................................................................263 Monopoly...................................................................................................................................................287 MonteCarlotechniques ............................................................................................................................287 . Morbidity...................................................................................................................................................288 Mortality....................................................................................................................................................288 Mortalityprojections.................................................................................................................................289 Mortalityrates...........................................................................................................................................289 Mortgageindemnityinsurance..................................................................................................................290

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Mortgages..................................................................................................................................................290 Motivation .................................................................................................................................................291 . Motorinsurance ........................................................................................................................................292 . Multivariateanalysis..................................................................................................................................295 Mutualinsurance.......................................................................................................................................296 Netherlands ...............................................................................................................................................296 . Networks....................................................................................................................................................297 Noclaimsbonus.........................................................................................................................................297 Nonlinearprogramming.............................................................................................................................297 NorthAmerica............................................................................................................................................298 Obesity.......................................................................................................................................................298 Occupationalpensions...............................................................................................................................298 Olderpeople..............................................................................................................................................299 Onlineoperating.......................................................................................................................................299 Operationalrisk..........................................................................................................................................299 Optimisation ..............................................................................................................................................301 . Organisations.............................................................................................................................................302 Outliers.......................................................................................................................................................302 Pakistan......................................................................................................................................................302 Paretodistribution.....................................................................................................................................302 PartVII/PartVIIItransfers........................................................................................................................303 Paymentsystems.......................................................................................................................................304 Pensionplans.............................................................................................................................................304 Pensions.....................................................................................................................................................305 Performance ..............................................................................................................................................307 . Performancemeasurement.......................................................................................................................308 Personalinjurycompensation ...................................................................................................................308 . Piracy..........................................................................................................................................................309 Poissondistribution...................................................................................................................................310 Poissonprocess..........................................................................................................................................310 Policies.......................................................................................................................................................312 Politicalscience..........................................................................................................................................312 Pooling.......................................................................................................................................................313 Pools...........................................................................................................................................................313 PortfolioInsurance.....................................................................................................................................314 Portfoliomanagement...............................................................................................................................315 Poverty.......................................................................................................................................................316 Prediction...................................................................................................................................................316 Premiumcalculation..................................................................................................................................316 Premiums...................................................................................................................................................318 Pricemechanism........................................................................................................................................320 Pricing ........................................................................................................................................................321 . Privatemedicalinsurance..........................................................................................................................331 Probability..................................................................................................................................................332 Probabilitydistribution..............................................................................................................................332 Productdevelopment................................................................................................................................333 Professionalconduct..................................................................................................................................334 Professionalnegligence..............................................................................................................................334 Professionalism..........................................................................................................................................334 Profit..........................................................................................................................................................334 Projectmanagement..................................................................................................................................335 Propertyinsurance.....................................................................................................................................335 Propertyinvestment..................................................................................................................................340 Proportionalreinsurance...........................................................................................................................340

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Publicfinance.............................................................................................................................................341 PublicPolicy&Administration...................................................................................................................341 Qualitysystems..........................................................................................................................................342 Randomprocesses.....................................................................................................................................342 Rateofreturn.............................................................................................................................................343 Ratemaking................................................................................................................................................343 Rating.........................................................................................................................................................344 Realestate .................................................................................................................................................345 . Recruitment...............................................................................................................................................345 Reform.......................................................................................................................................................345 Regression..................................................................................................................................................346 Regulation..................................................................................................................................................346 Reinsurance................................................................................................................................................351 Reinsurancecontracts................................................................................................................................358 Reputationrisk...........................................................................................................................................359 Research.....................................................................................................................................................359 Reserves.....................................................................................................................................................360 Reserving....................................................................................................................................................364 Retirement.................................................................................................................................................368 Returns.......................................................................................................................................................368 Reversions..................................................................................................................................................368 Risk.............................................................................................................................................................369 Riskanalysis................................................................................................................................................387 Riskassessment.........................................................................................................................................388 Riskaversion..............................................................................................................................................389 Riskcharacteristics.....................................................................................................................................391 Riskclassification........................................................................................................................................391 Riskmanagement.......................................................................................................................................392 Riskmeasurement .....................................................................................................................................401 . Risktheory.................................................................................................................................................402 Ruinprobability..........................................................................................................................................406 Ruintheory.................................................................................................................................................408 SaudiArabia...............................................................................................................................................410 Scenariogeneration...................................................................................................................................410 Scotland .....................................................................................................................................................411 . Securities....................................................................................................................................................411 Securitisation.............................................................................................................................................412 Selfinsurance.............................................................................................................................................414 Sexdiscrimination......................................................................................................................................414 Shareholders..............................................................................................................................................415 Shortterm..................................................................................................................................................415 Simulation..................................................................................................................................................415 Singapore...................................................................................................................................................416 Socialinsurance .........................................................................................................................................416 . Socialresearch...........................................................................................................................................416 Sociallyresponsibleinvestments...............................................................................................................417 Software.....................................................................................................................................................417 Solvency.....................................................................................................................................................417 SolvencyII..................................................................................................................................................421 Solvencytests.............................................................................................................................................426 SouthAfrica................................................................................................................................................427 Spain...........................................................................................................................................................427 SparreAndersenmodel.............................................................................................................................427 Standardsandspecifications .....................................................................................................................429 .

Statisticaldistributions...............................................................................................................................429 Statisticalinformation................................................................................................................................430 Statisticalmodelling...................................................................................................................................430 Statisticalmodels.......................................................................................................................................431 Statistics.....................................................................................................................................................431 Stochasticprocesses..................................................................................................................................436 StockExchange ..........................................................................................................................................437 . Stockmarket..............................................................................................................................................438 Stoploss.....................................................................................................................................................438 Storms........................................................................................................................................................439 Stresstests.................................................................................................................................................439 Structuredsettlements..............................................................................................................................439 Supervision.................................................................................................................................................439 Supplyanddemand...................................................................................................................................439 Surety.........................................................................................................................................................440 Surrendervalues........................................................................................................................................440 Surveys.......................................................................................................................................................440 Survivalanalysis.........................................................................................................................................441 Switzerland.................................................................................................................................................441 Systemicrisk...............................................................................................................................................442 Systems......................................................................................................................................................443 Tabulatedstatistics....................................................................................................................................443 Tailriskmeasures.......................................................................................................................................444 Taiwan........................................................................................................................................................444 Takafulinsurance.......................................................................................................................................446 Tax..............................................................................................................................................................447 Taxlaw.......................................................................................................................................................448 Taxation .....................................................................................................................................................448 . Technologicalchange.................................................................................................................................448 Terrorism....................................................................................................................................................449 Thailand......................................................................................................................................................449 Thirdpartytariff.........................................................................................................................................449 Time...........................................................................................................................................................449 Timeseries.................................................................................................................................................450 Transfers....................................................................................................................................................451 Transforms.................................................................................................................................................451 Trends........................................................................................................................................................451 Uncertainty................................................................................................................................................452 Underwriting..............................................................................................................................................454 Unemploymentinsurance..........................................................................................................................456 UnitedKingdom.........................................................................................................................................456 UnitedStates..............................................................................................................................................458 Utilitytheory..............................................................................................................................................464 Valuation....................................................................................................................................................464 Valuations..................................................................................................................................................465 ValueatRisk(VaR).....................................................................................................................................466 Variableannuities......................................................................................................................................468 Varianceanalysis........................................................................................................................................468 Volatility.....................................................................................................................................................468 Wealth........................................................................................................................................................469 Weather.....................................................................................................................................................470 Withprofitspolicies...................................................................................................................................471 Workers'compensationinsurance............................................................................................................471

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Accidentprevention

Can accident rates be reduced? : A study of the plastics and rubber industry. Mander, Dean. Shelved at: Per: IRP 38280 Insurance Research and Practice (2008) 4 : i-viii. URL: http://www.cii.co.uk/knowledge/irp/irp_2008_04.pdf Abstract: Can accident rates be reduced? To consider this I have reviewed employers' liability claims for one trade sector, comparing them to external statistics to highlight trends and find areas that could bring further improvements. If a company only experiences one claim, is it natural to think it is a 'one off'? The study produces a profile for an accident: mainly occurring in the first 2.5 years of employment, regardless of age, with inadequate risk assessment and only brief, undocumented training or instruction for a task. A further rise in accidents is seen where employment period exceeds 10 years. Both findings highlight training needs. This should be adequately documented for successful defence of a claim. In light of this, it is recommended that length of service is recorded within accident book entries and be a formal part of reporting under the Reporting of Injuries, Diseases and Dangerous Occurrences Regulations 1995 (RIDDOR). Trends could be highlighted before claims are received and this would enable individual companies to review work practices and training methods as an aid to prevention. Discussing and sharing the results could help prevent future accidents occurring. Although the study relates to the plastics and rubber sector, the issues could equally relate to other industries. The winding road to industrial safety: evidence on the effects of environmental liability on accident prevention in Germany. Schwarze, Reimund; Hoffmeister, Onno. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45324 Geneva Papers on Risk and Insurance (2010) 35 (3) : 416-434. Abstract: The German Environmental Liability Law (ELL) of 1991 has introduced far-reaching civil liability for environmental damages with the aim of increasing firms efforts to prevent accidents. Previous studies find poor evidence that this goal has actually been achieved. One and a half decades after the introduction of that law, we undertake a new attempt to investigate the impact of the ELL on accident prevention. Our analysis is based on annual data on the number of environmental accidents per year, reported to the monitoring agency ZEMA, and the risk premium imposed by a large German insurer on environmental liability insurance (ELI). Examining the relationship between the ELI premium and accident prevention, we are able to model the dynamics of the adjustment process induced by the ELL. According to our results, the average number of environmental accidents per year has decreased from 35 before to 22 after the reform.

Accidents

Can accident rates be reduced? : A study of the plastics and rubber industry. Mander, Dean. Shelved at: Per: IRP 38280 Insurance Research and Practice (2008) 4 : i-viii. URL: http://www.cii.co.uk/knowledge/irp/irp_2008_04.pdf Abstract: Can accident rates be reduced? To consider this I have reviewed employers' liability claims for one trade sector, comparing them to external statistics to highlight trends and find areas that could bring further improvements. If a company only experiences one claim, is it natural to think it is a 'one off'? The study produces a profile for an accident: mainly occurring in the first 2.5 years of employment, regardless of age, with inadequate risk assessment and only brief, undocumented training or instruction for a task. A further rise in accidents is seen where employment period exceeds 10 years. Both findings highlight training needs. This should be adequately documented for successful defence of a claim. In light of this, it is recommended that length of service is recorded within accident book entries and be a formal part of reporting under the Reporting of Injuries, Diseases and Dangerous Occurrences Regulations 1995 (RIDDOR). Trends could be highlighted before claims are received and this would enable individual companies to review work practices and training methods as an aid to prevention. Discussing and sharing the results could help prevent future accidents occurring. Although the study relates to the plastics and rubber sector, the issues could equally relate to other industries.

Valoracin actuarial del perjuicio econmico futuro derivado de los accidentes de trfico. Ayuso Gutirrez, Mercedes; Bermdez Morata, Llus; Santolino Prieto, Miguel. 44547 Anales del Instituto de Actuarios Espaoles (Epoca 3a) (2010) 16 URL: http://www.actuarios.org/espa/anales.htm

Accountingandauditing

IFRS - all clear now? The future of insurance accounting - IFRS 4 Phase II [copies of slides only] Shah, Shreyas; Brien, Mike. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45044 URL: http://www.actuaries.org.uk/research-and-resources/documents/e08-ifrs-all-clear-now-future-insuranceaccounting-ifrs-4-phase-ii-

Accountingstandards

Going Global : The IFRS Journey Continues [copies of slides only] Nagari, Francesco; Shah, Shreyas. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72940 IFRS v Solvency II [copies of slides only] - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72971 IFRS v Solvency II GIRO WP [copies of slides only] Klumpes, Paul. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 73002 International Diversity in Measuring the Fair Value of General Insurance Contracts. Klumpes, Paul J M; Reibel, Andres; White, Martin; Newman, Andrew; Charles, John; Cook, Paul; Shah, Shreyas; Malde, Shailesh; Grami, Sarwar; Simmons, David. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 General Insurance Convention, 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). - No. pages: 51. 73003 URL: http://www.actuaries.org.uk/research-and-resources/documents/international-diversity-measuring-fairvalue-general-insurance-cont Abstract: This paper discusses international diversity in accounting for insurance contracts as reported under SII and IFRS. Relative to SII, IFRS allow considerable diversity in practice and insurance firms to match income to expenses over the term of an insurance contract in order to provide a more realistic basis for reporting to shareholders. However those GAAPs do not employ a coherent and consistent view of how to measure the fair value of a life insurance firms business. The International Accounting Standards Board (IASB) has tentatively concluded that fair value should be used in accounting for insurance contracts. This paper discusses how existing GAAPs differ from fair values, simulates their impact on the profits emerging on a simple endowment policy, and proposes we also consider Solvency II as providing a broader conceptual fair value based framework within which additional risk-related disclosures can address currently unresolved conceptual and practical problems in implementing fair value for insurance contracts and related financial instruments.

Insurance accounting : A new era. Foroughi, Kamran. - - London: - Institute and Faculty of Actuaries, 2011. No. pages: 65. [Faculty: JOU] 73664 URL: http://www.actuaries.org.uk/research-and-resources/documents/insurance-accounting-new-era Abstract: Insurance accounting has for many years proved a challenging topic for standard setters, perparers and users, often described as a "black box". Will recent developments, in particular the July 2010 Insurance Contracts Exposure Draft, herald a new era? This paper reviews these developments, settting out key issues and implications. It concentrates on issues relevant to life insurers, although much of the content is also relevant to non-life insurers. This paper compares certain IFRS and Solvency II developments, recognising that UK insurers face challenges in implementing new financial and regulatory reporting requirements in similar timeframes. The paper considers resulting external disclosure requirements and a possible future role for supplementary information. Risk margin estimation through the cost of capital approach: some conceptual issues. Floreani, Alberto. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45332 Geneva Papers on Risk and Insurance (2011) 36 (2) : 226-253. Abstract: The Solvency II directive requires that insurance liabilities are valued using a best estimate plus a risk margin. The risk margin should be estimated using the cost of capital approach, that is the cost of the solvency capital requirementwhich is computed through a value at risk measure needed to support the insurance obligation until settlement. The unitary cost of capital applied to the future capital requirement should be fixed. This paper deals with conceptual issues relating to the risk margin estimate through the cost of capital approach. It shows that the Solvency II specification of the methodology is consistent with financial economics. However, the theoretical framework required (a frictionless and normally distributed world) is too far-fetched to be acceptable. Even if these conditions were satisfied, a variable unitary cost of capital must be used.

Actuarialmanagement

Understanding actuarial management: the actuarial control cycle. Bellis, Clare S (ed); Shepherd, John A (ed); Klugman, Stuart A; Lyon, Richard H S (ed). - - 2nd ed. - Sydney: - Institute of Actuaries of Australia, 2010. No. pages: 630. Shelved at: EM (Oxf) [Faculty: 368.01 BEL] 39617 Contents: Risk management frameworks -- Being professional -- The need for financial products -The context of actuarial work -- Applying risk management -- Regulation -- Product design -Modeling -- Data and assumptions -- The need for capital -- Valuing liabilities -- Pricing -- Assets -Solvency -- Profit -- Monitoring experience -- Responding to experience -- Applying the actuarial control cycle

Actuarialprofession

Reserving and uncertainty : A meta-study of the General Insurance Reserving Issues Task Force and Reserving Oversight Committee research in this area between 2004 and 2009 : A discussion paper. Gibson, E R; Barlow, C; Bruce, N A; Felisky, K M; Fisher, S; Hilary, N G J; Hilder, I M; Kam, H; Matthews, P N; Winter, R. - - Institute of Actuaries and Faculty of Actuaries, 2009. - No. pages: 21. [Faculty: JOU/INS] 71762 URL: http://www.actuaries.org.uk/research-and-resources/documents/reserving-and-uncertainty Abstract: The General Insurance Board of the Faculty and Institute of Actuaries responded to some of the criticisms raised in the Morris Review (2005) and in the press by rating agencies and others, regarding the Actuarial Profession's approach to actuarial reserving in general insurance by setting up a task force known as the General Insurance Reserving Issues Task Force (GRIT). The task

force worked from 2004 to 2006 and produced a significant report, including some new professional content and recommendations for further areas of development and research. Since then, through the GRIT successor body: the Reserving Oversight Committee (ROC), many working parties have formed and many General Insurance Research Organisation (GIRO) presentations and papers have been forthcoming. One area which has been a recurring theme through the last five years is how the Profession models and communicates the uncertainty in the claims reserving process. In the context of recent events in global financial markets, the forthcoming new regulatory framework of Solvency II, and the developments in other professions globally through IFRS and other drivers, it is timely that we take stock of the many changes in our practices over the last five years and consider which direction we should take for the challenges that lie ahead. This paper is a meta-study of the output of GRIT and ROC on reserving and uncertainty, with the intention of meeting these objectives. Keywords: Best Estimates; Reserving Uncertainty; Quantification of Uncertainty; Communication of Uncertainty; Underwriting and Reserving Cycle The opportunities and hazards of being a lone actuary [copies of slides only] Winter, Richard; Gardner, Steve. - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72751 URL: http://www.actuaries.org.uk/research-and-resources/documents/opportunities-and-hazards-being-loneactuary-report-working-party-g The opportunities and hazards of being a lone actuary : Report of the Working Party to GIRO 2008. Winter, Richard; Gardner, Steve; Marron, Dermot; White, Graham. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72752 Abstract: This paper has been written by a group of lone actuaries with a view to helping others who may be taking on a Lone actuary job. This has resulted to date in a bias towards a discussion of the hazards rather than the opportunities. The paper covers the main opportunities of working as a lone actuary, what we believe is necessary to work competently; a discussion of the issues surrounding compliance with professional standards and conflicts of interest that may arise at work. There are recurrent themes of the need for peer review of work and the necessity for good communication. It is also the experience of the members of the working party that even if you start on your own, the value gained by the business is such that the team may well expand, and so we thought it was appropriate to include some observations of issues encountered when establishing and managing small teams. Current issues in actuarial standards [copies of slides only] Pryor, Louise. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72766 Talent Management within the Actuarial Sector : After the storm... [copies of slides only] Coutts, Chaim. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72977 Is Actuarial Demand Cyclical? [copies of slides only] McPherson, James. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72992 The actuarys role in the ORSA [copies of slides only] Gosrani, Visesh; Shah, Niraj; Badal, Veekash; Smerald, Chris. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45002 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a06-dean-swallow.pdf

A Comparison of Actuarial Financial Scenario Generators. Ahlgrim, Kevin C; D'Arcy, Stephen P; Gorvett, Richard W. Shelved at: Per: Variance 45059 Variance (2008) 2 (1) : 111-134. URL: http://www.variancejournal.org/issues Abstract: Significant work on the modeling of asset returns and other economic and financial processes is occurring within the actuarial profession, in support of risk-based capital analysis, dynamic financial analysis, pricing embedded options, solvency testing, and other financial applications. Although the results of most modeling efforts remain proprietary, two models are in the public domain. One is the CAS-SOA research project, Modeling of Economic Series Coordinated with Interest Rate Scenarios. The other was developed as the result of American Academy of Actuaries study in support of the C-3 Phase 2 RBC for Variable Annuities. Both data sets provide practitioners with a large number of iterations for key financial values, including short- and longterm interest rates and equity returns. This paper examines the role of stochastic modeling in actuarial work, focusing on a comparison of the underlying models and their outputs, to determine the impact of the use of different assumptions and parameter selection on the modeling process.

Actuarialscience

A Citation Analysis of Risk, Insurance, and Actuarial Research: 2001 Through 2005. Colquitt, L Lee; Sommer, David W; Ferguson, William L. - - No. pages: 21. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71781 Journal of Risk and Insurance (2009) 76 (4) : 933-953. Abstract: The bibliographies of 17 risk journals were evaluated to determine the relative influence of these risk journals on risk, insurance, and actuarial research published during the years 2001 through 2005. Tables are provided that show the frequency with which each of these journals cites itself and the other sample journals. The journals are ranked, within two groups (risk and insurance group and actuarial group), based on their total influence (total citations including and excluding selfcitations) and their per article influence (per article citations including and excluding self-citations). Finally, the most frequently cited articles from each risk journal are reported. Understanding actuarial management: the actuarial control cycle. Bellis, Clare S (ed); Shepherd, John A (ed); Klugman, Stuart A; Lyon, Richard H S (ed). - - 2nd ed. - Sydney: - Institute of Actuaries of Australia, 2010. No. pages: 630. Shelved at: EM (Oxf) [Faculty: 368.01 BEL] 39617 Contents: Risk management frameworks -- Being professional -- The need for financial products -The context of actuarial work -- Applying risk management -- Regulation -- Product design -Modeling -- Data and assumptions -- The need for capital -- Valuing liabilities -- Pricing -- Assets -Solvency -- Profit -- Monitoring experience -- Responding to experience -- Applying the actuarial control cycle Implementing Audit Safe Actuarial Practices : Examples from Reserving [copies of slides only] Stricker, Markus. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72937 A Comparison of Actuarial Financial Scenario Generators. Ahlgrim, Kevin C; D'Arcy, Stephen P; Gorvett, Richard W. Shelved at: Per: Variance 45059 Variance (2008) 2 (1) : 111-134. URL: http://www.variancejournal.org/issues Abstract: Significant work on the modeling of asset returns and other economic and financial processes is occurring within the actuarial profession, in support of risk-based capital analysis, dynamic financial analysis, pricing embedded options, solvency testing, and other financial

applications. Although the results of most modeling efforts remain proprietary, two models are in the public domain. One is the CAS-SOA research project, Modeling of Economic Series Coordinated with Interest Rate Scenarios. The other was developed as the result of American Academy of Actuaries study in support of the C-3 Phase 2 RBC for Variable Annuities. Both data sets provide practitioners with a large number of iterations for key financial values, including short- and longterm interest rates and equity returns. This paper examines the role of stochastic modeling in actuarial work, focusing on a comparison of the underlying models and their outputs, to determine the impact of the use of different assumptions and parameter selection on the modeling process.

Adverseselection

Adverse selection and the opaqueness of insurers. Zhang, Tao; Cox, Larry A; van Ness, Robert A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39158 Journal of Risk and Insurance (2009) 76 (2) : 295-321. Abstract: While adverse selection problems between insureds and insurers are well known to insurance researchers, few explore adverse selection in the insurance industry from a capital markets perspective. This study examines adverse selection in the quoted prices of insurers' common stocks with a particular focus on the opacity of both asset portfolios and underwriting liabilities. We find that more opaque underwriting lines result in greater adverse selection costs for property-casualty (P-C) insurers. A similar effect is not apparent for life-health (L-H) insurers and we find no effect of asset opaqueness on adverse selection for either L-H or P-C insurers. On the role of patience in an insurance market with asymmetric information. Sonnenholzner, Michael; Wambach, Achim. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39159 Journal of Risk and Insurance (2009) 76 (2) : 323-341. Abstract: We analyze a two-period competitive insurance market that is characterized by the simultaneous presence of moral hazard and adverse selection with regard to consumer time preferences. It is shown that there exists an equilibrium in which patient consumers use high effort and buy an insurance contract with high coverage, whereas impatient consumers use low effort and buy a contract with low coverage or even remain uninsured. This finding may help to explain why the opposite of adverse selection with regard to risk types can sometimes be observed empirically.

Advisers

Reinsurance brokers and advice quality : Is there a need for regulation? Sonnenholzner, Michael; Friese, Sebastian; Graf von der Schulenburg, J.-Matthias. Shelved at: Per: Geneva (Oxf) 39292 Geneva Risk and Insurance Review (2009) 34 (1) : 20-46. Abstract: Brokers play an increasing role in the distribution of reinsurance. In order to analyse reinsurance brokers' advice quality, we employ a model in which a monopoly broker advises cedents to buy a particular one out of similar reinsurance policies that cost the same but differ in details. The broker decides on how much to invest in his advice quality and on the price to charge for his service. We find that the broker's advice quality is generally lower and the price for his service higher than in the social optimum, even in the presence of a potential new entrant.

Africa

Current insurance opportunities and issues in the Middle East and North Africa (MENA) region [copies of slides only] Khan, Mohammad. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72722

Age

Age and Gender Effects on Auto Liability Insurance Payouts. Doerpinghaus, Helen I; Schmit, Joan T; Jia-Hsing Ye, Jason. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38588 Journal of Risk and Insurance (2008) 75 (3) : 527-550. Abstract: We examine the relationship between claimant demographic characteristics (specifically, gender, age, and marital status) and the relative size of automobile third-party settlements. We present three possible theories to explain differences in payouts associated with gender and age: variations in risk attitudes, variations in negotiating costs, and discrimination. Results of empirical testing are consistent with differences in settlement amounts, particularly with respect to gender. These differences are examined and discussed along with suggestions for future research. Case against age restrictions : Letters to the editor. Thomas, Guy. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39095 The Actuary (2009) May : 6. URL: http://www.the-actuary.org.uk Abstract: Letter referring to the ABI claim regarding age discrimination in insurance.

Agestructure

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf

Algorithms

Chain Ladder Forecast Efficiency. Taylor, Greg. - - Victoria: - University of Melbourne, 2009. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 183). - No. pages: 22. Shelved at: online only [Faculty: online only] 69974 URL: http://econ.unimelb.edu.au/SITE/actwww/ActHome.shtml Abstract: The paper considers two models of a claim triangle, for both of which the chain ladder algorithm for loss reserving is maximum likelihood. Section 4 examines the relation between them in terms of fitted values and forecasts. Later sections consider the prediction efficiency of the CL algorithm. For one model, the algorithm is found to be minimum variance unbiased; for the other, it is biased but, if corrected for bias, is also minimum variance unbiased (Section 5). The minimum variance unbiased estimators are also minimum prediction error unbiased forecasts (Section 6). Keywords: Chain ladder, maximum likelihood, minimum prediction error, minimum variance unbiased estimator, over-dispersed Poisson. Insurance claims modulated by a hidden Brownian marked point process. Elliott, Robert J; Chen, Zhiping; Duan, Qihong. - - No. pages: 10. Shelved at: Per: IME (Oxf) 72386 Insurance: Mathematics & Economics (2009) 45 (2) : 163-172. Abstract: Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from

existing ones in the following ways: the new hidden process can model more efficiently the cyclic state of the economic environment; our theory is based on a variation of the law of large numbers and is easy to understand; the Fourier expansion-based parameter estimation algorithm is flexible and can be more easily implemented than other algorithms. Simulation results not only demonstrate the practicality of our model and algorithm, but also show the efficiency and robustness of the estimation algorithm. Keywords: Insurance risk models; Markov-modulated Poisson processes; Brownian motion; Reference probability Opening the black box: how actuarial algorithms work and why they sometimes fail [copies of slides only] Tanser, James; Bland, Richard. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45006 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b1-james-tanser-richard-bland.pdf

Analysis

Analysing insurer rating transitions with different economic and industry cycles. Wang, Yuling. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45325 Geneva Papers on Risk and Insurance (2010) 35 (3) : 435-451. Abstract: Changes in insurer ratings reflect changes in their financial strength. For the first time, unconditional and conditional matrices for U.S. property-liability insurer ratings during the period 1995-2006 are estimated and compared across different economic and industry cycles. Findings indicate that the distribution of insurer rating changes varies across different economic and industry cycles and insurers usually perform better when economic and industry conditions are favourable. Regression analyses generally confirm this relationship. Our results give a new perspective for regulators, consumers and investors to measure and manage insurer financial risks across time.

Annuities

Explaining low annuity demand: : An optimal portfolio application to Japan. Purcal, Sachi; Piggott, John. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38296 Journal of Risk and Insurance (2008) 75 (2) : 493-516. Abstract: Using an optimizing financial planning model in the tradition of Merton and Richard we explore how individuals should determine their life insurance and annuity choices, given uncertainty about investment returns and mortality. Both consumption and bequests appear as arguments in the individual's preference function. The model explicitly recognizes the existence of social security in retirement, and of loadings on insurance premiums, due to administration costs in the life insurance and annuities markets. The model sheds light on the reasons for the thinness of voluntary life annuity markets worldwide. The relative importance of pre-existing annuitization through social security, the role of bequests, and premium loadings are quantitatively assessed within a single optimizing framework. Results are presented for a model specification calibrated to Japan. Income Drawdown Schemes for a Defined-Contribution Pension Plan. Emms, Paul; Haberman, Steven. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38597 Journal of Risk and Insurance (2008) 75 (3) : 739-761. Abstract: In retirement a pensioner must often decide how much money to withdraw from a pension fund, how to invest the remaining funds, and whether to purchase an annuity. These decisions are addressed here by introducing a number of income drawdown schemes, which are relevant to a defined-contribution personal pension plan. The optimal asset allocation is defined so that it minimizes the expected loss of the pensioner as measured by the performance of the pension fund against a benchmark. Two benchmarks are considered: a risk-free investment and the price of an annuity. The fair-value income drawdown rate is defined so that the fund performance is a martingale

under the objective measure. Annuitization is recommended if the expected fair-value drawdown rate falls below the annuity rate available at retirement. As an illustration, the annuitization age is calculated for a Gompertz mortality distribution function and a power law loss function. Mortality heterogeneity and the distributional consequences of mandatory annuitization. Gong, Guan; Webb, Anthony. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38781 Journal of Risk and Insurance (2008) 75 (4) : 1055-1079. Abstract: This article investigates the distributional consequences of mandatory annuitization. Using Health and Retirement Study (HRS) data and accounting for longevity risk pooling within marriage and preannuitized wealth, we find substantial redistribution away from disadvantaged groups in expected utility terms. Using HRS data on subjective survival probabilities, we construct a subjective life table for each individual in the HRS. We calculate the value each household would place on annuitization, based on the husband and wife's subjective life tables, and the household's degree of risk aversion and proportion of preannuitized wealth. A significant minority would perceive themselves as suffering a loss from mandatory annuitization. Housing, health and annuities. Davidoff, Thomas. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38939 Journal of Risk and Insurance (2009) 76 (1) : 31-52. Abstract: Annuities, long-term care insurance (LTCI), and reverse mortgages appear to offer important consumption smoothing benefits to the elderly, yet private markets for these products are small. A prominent idea is to combine LTCI and annuities to alleviate both supply (selection) and demand (liquidity) problems in these markets. This article shows that if consumers typically liquidate home equity only in the event of illness or very old age, then LTCI and annuities become less attractive and may become substitutes rather than complements. The reason is that the marginal utility of wealth drops when an otherwise illiquid home is sold, an event correlated with the payouts of both annuities and LTCI. Simulations confirm that demand for LTCI and annuities is highly sensitive to the liquidity and magnitude of home equity. Asymmetric information, long-term care insurance, and annuities : the case for bundled contracts. Webb, David C. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38940 Journal of Risk and Insurance (2009) 76 (1) : 53-85. Abstract: This article examines the markets for long-term care insurance and annuities when there is asymmetric information and there are costs of administering contracts. Individuals differ in terms of their risk aversion. Risk-averse individuals take more care of their health and are relatively high risk in the annuities market and relatively low risk in the long-term care insurance market. In the longterm care insurance market, both separating and partial-pooling equilibria are possible. However, in the stand-alone annuity market, only separating equilibria are possible. We show, consistent with the extant empirical research, that in the presence of administration costs the more risk-averse individuals may buy relatively more long-term care insurance and more annuity coverage. Under the same assumptions, we show that equilibria exist with bundled contracts that Pareto dominate the outcomes with stand-alone contracts and are robust to competition from stand-alone contracts. The remaining empirical puzzle is to explain why bundled contracts are such a small share of the voluntary annuity market. Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables. Darkiewicz, Grzegorz; Deelstra, Griselda; Dhaene, Jan; Hoek, John van der; Vanmaele, Michle. - - No. pages: 20. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71777 Journal of Risk and Insurance (2009) 76 (4) : 847-866. Abstract: We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is investigated numerically for individual life annuity contracts as well as for life annuity portfolios, where mortality is modeled by Makeham's law, whereas investment returns are modeled by a Brownian motion process.

Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas. Gaillardetz, Patrice. - - No. pages: 29. 72570 Journal of Probability and Statistics (2010) URL: http://www.hindawi.com/journals/jps/2010/726389.html Abstract: We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index. These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process. A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market. Individual annuity demand under aggregate mortality risk. Post, Thomas; Schulze, Roman N. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39629 Journal of Risk and Insurance (2010) 77 (2) : 423-449. Abstract: Aggregate mortality riskthe risk that the mortality trend in a population changes in a nondeterministic wayand its implications for corporate decisions has recently been the subject of lively scientific discussion. We show that aggregate mortality risk is also a key determinant for individual annuitization decisions. Aggregate mortality risk appears to be a risk very difficult to transfer for individuals. Whether its existence leads to a higher or lower annuity demand depends on objective factors (e.g., insurers' vulnerability to aggregate mortality changes). Subjective factors (i.e., individuals' preferences) determine only the intensity of the annuity demand reaction to aggregate mortality risk. Our results are of significant importance not only for financial planning approaches of individual annuity buyers but also for strategic decisions in insurance companies and for solvency regulators. Furthermore, consideration of aggregate mortality risk may alleviate, but also intensify, the annuity puzzle. What is it that makes the Swiss annuitise? A description of the Swiss retirement system. Avanzi, Benjamin. 43249 Australian Actuarial Journal (2010) 16(2) : 135-162. URL: http://www.actuaries.asn.au/library/50230_Journ_v16i2_combo.pdf Abstract: The Swiss model of retirement savings and benefits distinguishes itself in several aspects. The system is successful in encouraging substantial savings, which are exonerated from tax and guaranteed. The associated market risk is not transferred to the individuals. From an international perspective it is extraordinary that more than half of the Swiss who retire choose to annuities their capital at retirement. In addition, not only does the retirement scheme offer annuity benefits at retirement, but it also offers annuity benefits on disability and death. In this paper, the Swiss old age security system is described with an emphasis on retirement benefits, giving some insights as to what in Switzerland could explain why the so-called 'annuity puzzle' is not observed. This question is of relevance to countries that wish to encourage annuitisation as a powerful tool to deal with the longevity risk of their elder population. Keywords: annuity puzzle; pensions; Switzerland

Asbestosrelateddiseases

Current topics : General insurance. Edler, Clare; Lakhani, Tanvi. - - Edinburgh: - Faculty of Actuaries Students' Society, 2008. - No. pages: 46. 72657 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2008-fass-generalinsurance Contents: UK floods 07C and 07E -- Sub prime lending and the credit crunch -- Personal injury update -- Asbestos update -- Reserving through the softening market - how can actuaries do better? -- Reserving uncertainty -- Capital and Solvency II -- Part VII transfers

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Abstract: This paper aims to provide the reader with an overview of the current issues and trends seen in recent times in the general insurance industry. We start by giving an overview of the UK insurance market and how it has evolved since 1996. The remainder is split into four main themes: Market developments, Claims, Modelling techniques, Regulation UK Asbestos Working Party [copies of slides only] UK Asbestos Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72754 UK Asbestos Working Party Update 2008. - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72756 Abstract: The paper provides a detailed discussion of the main issues that have an immediate impact on future liabilities in relation to UK asbestos claims. This should help those responsible for estimating liabilities in relation to UK asbestos claims to understand the main issues and assist them in making the related judgements. It will also help the reader to understand the uncertainties that underlie the projected number of UK population deaths due to mesothelioma. Keywords: asbestos; asbestosis; mesothelioma Current topics : General insurance. Jenkins, Tim; Rakow, James. - - Edinburgh: - Faculty of Actuaries Students' Society, 2010. 72874 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2010-fass-generalinsurance Contents: Personal injury update -- UK asbestos update -- Solvency II -- Recessionary issues -Market cycles A clearer view on claims. Gravelsons, Brian. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39676 The Actuary (2010) August : 28-30. URL: http://www.the-actuary.org.uk Abstract: Brian Gravelsons presents the findings of the Asbestos Working Party's recently published claims projections. UK Asbestos Working Party update 2009. UK Asbestos Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). - No. pages: 256. 72947 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/B12AsbestosWP.pdf Contents: Experience since 2004 -- Mesothelioma Population Projections -- Mesothelioma Claimants -- Mesothelioma Claimant Average Cost Per Claim -- Mesothelioma Insurance Market Costs -- Non Mesothelioma Insurance Cost -- Total Insurance Market Estimates -- Suggestions for future monitoring Abstract: This paper presents the results of a survey of aggregated asbestos-related claims numbers and costs for a large proportion (estimated to be around 80%) of the UK Insurance Market. As well as giving an insight into trends in claim development, this survey has facilitated the estimation of future costs for non-mesothelioma claims. Keywords: asbestos, asbestosis, mesothelioma

Update from the UK asbestos working party [copies of slides only] Brooks, Robert; Michaels, Darren; Whiting, Andy; Robertson-Dunn, Stephen. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45016 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b11-robert-brooks-darren-michaels.pdf

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Asia

Natural catastrophes and man-made disasters in 2008: North America and Asia suffer heavy losses. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 41. [Faculty: SIG/SWI] 69494 Sigma (2009) 2 URL: http://www.swissre.com/resources/dd6346004d4e9669ac76eecedd316cf3-sigma2_2009_e.pdf Contents: Executive summary -- Overview of catastrophes in 2008 -- Natural catastrophe insurance in Asia set to grow -- How do reinsurers protect insurers from catastrophe losses? -- Table for reporting year 2008 -- Tables showing the major losses 1970-2008 -- Terms and selection criteria Is the design of bonus-malus systems influenced by insurance maturity or national culture? Evidence from Asia. Park, Sojung C; Lemaire, Jean; Chua, Choong Tze. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39968 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S7-S27. Abstract: Most Asian countries have adopted bonus-malus systems (BMS) in automobile insurance. We evaluate the toughness towards consumers of 16 Asian BMS and its correlation with cultural and economic variables. We use principal components analysis to define a Maturity Index of insurance markets and find supporting evidence for a conjecture that, as markets become more mature and policy-holders more sophisticated, countries adopt tougher BMS. In addition, we find, using regression analysis, that using a Common Law legal system is a crucial factor in BMS design. Cultural variables, such as uncertainty avoidance, also influence BMS. Contributing to the global debate on climate change - a view from Asia: a retrospective report on the 37th General assembly in Zurich (June 2010) Ishihara, Kunio. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39973 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S92-S99. Contents: Special issue on insurance in Asia. Abstract: Retrospective report on the 37th General assembly in Zurich (June 2010).

Assetallocation

Evaluating liquidation strategies for insurance companies. Berry-Stlzle, Thomas R. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38307 Journal of Risk and Insurance (2008) 75 (1) : 207-230. Abstract: In this article, we examine liquidation strategies and asset allocation decisions for property and casualty insurance companies for different insurance product lines. We propose a cash-flowbased liquidation model of an insurance company and analyze selling strategies for a portfolio with liquid and illiquid assets. Within this framework, we study the influence of different bid-ask spread models on the minimum capital requirement and determine a solution set consisting of an optimal initial asset allocation and an optimal liquidation strategy. We show that the initial asset allocation, in conjunction with the appropriate liquidation strategy, is an important tool in minimizing the capital committed to cover claims for a predetermined ruin probability. This interdependence is of importance to insurance companies, stakeholders, and regulators. The Changing Role of Nominal Government Bonds in Asset Allocation. Campbell, John Y. - - No. pages: 16. Shelved at: Per: Geneva (Oxf) 72016 Geneva Risk and Insurance Review (2009) 34 (2) : 89-104. Abstract: The covariance between nominal bonds and stocks has varied considerably over recent decades and has even switched sign. It has been predominantly positive in periods such as the late

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1970s and early 1980s when the economy has experienced supply shocks and the central bank has lacked credibility. It has been predominantly negative in periods such as the 2000s when investors have feared weak aggregate demand and deflation. Nominal bonds are attractive to short-term equity investors when these bonds are negatively correlated with stocks, as has been the case during the 2000s and especially during the downturn of 20072008. They are attractive to conservative long-term investors when long-term inflationary expectations are stable, for then these bonds are close substitutes for inflation-indexed bonds that are riskless in the long term. Keywords: Mean-variance analysis, long-term investing, time-varying risk Minimum standards for investment performance: A new perspective on non-life insurer solvency. Eling, Martin; Gatzert, Nadine; Schmeiser, Hato. - - No. pages: 10. Shelved at: Per: IME (Oxf) 72378 Insurance: Mathematics & Economics (2009) 45 (1) : 113-122. Abstract: The aim of this paper is to develop an alternative approach for assessing an insurers solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirementsas is done in solvency regulationour model provides company-specific minimum standards for risk and return of investment performance, given the distribution structure of liabilities and a predefined safety level. The idea behind this approach is that in a situation of weak solvency, an insurers asset allocation can be adjusted much more easily in the short term than can, for example, claims cost distributions, operating expenses, or equity capital. Hence, instead of using separate models for capital regulation and solvency regulationas is typically done in most insurance marketsour single model will reduce the complexity and costs for insurers as well as for regulators. In this paper, we first develop the model framework and second test its applicability using data from a German non-life insurer. Keywords: Solvency; Regulation; Investment performance; Non-life insurance; Normal power approximation Optimal multiperiod asset allocation : Matching assets to liabilities in a discrete model. Huang, Hong-Chih. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39630 Journal of Risk and Insurance (2010) 77 (2) : 451-472. Abstract: Investment and risk control are becoming increasingly important for financial institutions. Asset allocation provides a fundamental investing principle to manage the risk and return trade-off in financial markets. This article proposes a general formulation of a first approximation of multiperiod asset allocation modeling for institutions that invest to meet the target payment structures of a longterm liability. By addressing the shortcomings of both single-period models and the single-point forecast of the mean variance approach, this article derives explicit formulae for optimal asset allocations, taking into account possible future realizations in a multiperiod discrete time model. Pension fund design under long-term fairness constraints. Kryger, Esben Masotti. Shelved at: Per: Geneva (Oxf) 39926 Geneva Risk and Insurance Review (2010) 35 (2) : 130-159. Abstract: We consider optimal portfolio insurance for a mutually owned with-profits pension fund. First, intergenerational fairness is imposed by requiring that the pension fund is driven towards a steady state. Subject to this condition the optimal asset allocation is identified among the class of constant proportion portfolio insurance strategies by maximising expected power utility of the benefit. For a simple contract approximate analytical results are available and accurate, whereas for a more involved contract Monte Carlo methods must be applied to pick out the best design. The main insights are (i) aggressive investment strategies are disastrous for the clients; (ii) in most cases it is optimal to gear the bonus reserve; and (iii) the results are far less sensitive to the agent's risk aversion than in the classical case of Merton (1969), and as opposed to Merton horizon matters even with constant investment opportunities (because of the serial dependence between bonuses). Strategic asset allocation and Solvency II [copies of slides only] Andr, Axel. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45030 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-d04-axel-andre.pdf

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Assetmanagement

Performance management in insurance firms by using transfer pricing. Doff, Ren; Bilderbeek, Jan; Bruggink, Bert; Emmen, Pieter. - - No. pages: 14. [Faculty: RIS/MAN] 71567 Risk Management and Insurance Review (2009) 12 (2) : 213-226. Abstract: In this article, we analyze the asset and liability management and market risk systems of insurance companies. We discuss that the current system is not goal congruent and does not satisfy necessary conditions for effective control. It follows that managers are unable to run their business effectively. We develop a transfer pricing system that allows the clear separation of underwriting and investment activities, both on the risk and return aspects. It creates the appropriate incentive schemes. We illustrate this system with an example indicating the differences in incentives between the traditional embedded value measures and the proposed funds transfer pricing system. Insurance investment in a challenging global environment. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2010. [Faculty: SIG/SWI] 73591 Sigma (2010) 5 URL: http://www.swissre.com Contents: The practice of insurance asset management -- Insurance investing in a changing regulatory environment -- Some Q&As for insurance CEOs

Assetvaluation

Valuation of asset for the purpose of Insurance. Qaiser, R. Shelved at: Per: Bimaquest (Oxf) 38465 Bimaquest (2008) 8 (2) : 38-47. Abstract: Discussion of asset valuation methods in general and its application to general insurance industry in arriving at an adequate sum insured in the fire and engineering classes of business.

Assets

Skewness preference, risk taking and expected utility maximisation. Chiu, W Henry. Shelved at: Per: Geneva (Oxf) 39925 Geneva Risk and Insurance Review (2010) 35 (2) : 108-129. Abstract: Available empirical evidence suggests that skewness preference plays an important role in understanding asset pricing and gambling. This paper establishes a skewness-comparability condition on probability distributions that is necessary and sufficient for any decision-maker's preferences over the distributions to depend on their means, variances, and third moments only. Under the condition, an Expected Utility maximizer's preferences for a larger mean, a smaller variance, and a larger third moment are shown to parallel, respectively, his preferences for a firstdegree stochastic dominant improvement, a mean-preserving contraction, and a downside risk decrease and are characterized in terms of the von Neumann-Morgenstern utility function in exactly the same way. By showing that all Bernoulli distributions are mutually skewness comparable, we further show that in the wide range of economic models where these distributions are used individuals decisions under risk can be understood as trade-offs between mean, variance, and skewness. Our results on skewness-inducing transformations of random variables can also be applied to analyze the effects of progressive tax reforms on the incentive to make risky investments.

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Attitudes

Closing the gap. Bale, Stephen. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39470 The Actuary (2010) April : 39-41. URL: http://www.the-actuary.org.uk Abstract: Stephen Bale looks at consumers' attitude to insurance products with reference to the Retail Distribution Review and suggests some approaches to closing the protection gap.

Australia

APRA's Expert Judgment Ratings and Solvency Cover of Australian General Insurers. Sharpe, Ian G; Stadnik, Andrei. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38591 Journal of Risk and Insurance (2008) 75 (3) : 593-616. Abstract: The Australian Prudential Regulation Authority's (APRA's) supervisors use expert judgment to rate the risk of failure of general insurers (GIs). Using statistical data, we model the determinants of GI ratings and solvency cover and find: (1) sufficient predictive power in statistical data to identify GIs for earlier review and assist in quality assurance of APRA's ratings and (2) that profitability, solvency cover, investment, and underwriting risk play different roles in rating foreign branch and Australian-incorporated GIs. We conclude that supervisors generally correctly incorporate our a priori expectations of the effects of risk indicators on GI risk into their ratings. Environment: Going green. Green, Jill; Rowley, Fred. Shelved at: online only [Faculty: online only] 69741 The Actuary (2008) August URL: http://www.the-actuary.org.uk Abstract: Jill Green and Fred Rowley provide an actuarial perspective on climate change from Australia Economic Scenario Generation with Regime Switching Models. Sherris, Michael; Zhang, Boqi. - - Sydney: Australian School of Business, 2009. - (UNSW Australian School of Business Research Paper No. 2009ACTL05). - No. pages: 31. 71625 URL: http://ssrn.com/abstract=1446596 Abstract: Economic scenario generators are the basis for generating simulated asset return and economic variable distributions for a range of actuarial applications in insurance and superannuation. Developing an economic scenario generator model for these practical applications is a challenging task mainly because of the dependence and time varying characteristics of the economic series. There are many model structures that can be adopted and historical data is limited given the large number of parameters to be estimated in multivariate models. The desirable features required for a model differ according to the application. In Australia the ERCH model is one of the few models that has been proposed with details available in the public domain. There are various proprietary and commercial models used by consulting firms. This paper reports an analysis of Australian economic and financial data using VAR models, regime switching models for individual series and a multivariate regime switching model calibrated to Australian data. The need for a multi-level approach to climate change - an Australian insurance perspective. Wilkins, Michael. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39892 Geneva Papers on Risk and Insurance (2010) 35 (2) : 336-348. Abstract: Insurance is all about risk management and risk mitigation. A significant component of this risk equation is an ability to manage the variability of weather events. Climate modelling has shown that it only takes small changes in the mean climate to generate large changes in extreme weather.

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This has profound implications for the insurance industry, because a less-predictable climate impacts the industry's capacity to accurately calculate and price products. The insurance industry's response to climate change will determine the shape of the industry for decades to come. However, insurance companies acting alone, or even collectively, will have only limited impact in achieving success over the long term. This paper outlines a multi-level approach required by the insurance industry to make a real and lasting difference, including engaging governments; assisting and educating communities to be more aware and resilient; incentivising customers through advocacy, product innovation and appropriate product offerings; and leading by example and providing employees with the education and tools to facilitate action both at work and at home.

Automobileindustry

Incentive effects of community rating in insurance markets : evidence from Massachusetts automobile insurance. Tennyson, Sharon. Shelved at: Per: Geneva (Oxf) 39618 Geneva Risk and Insurance Review (2010) 35 (1) : 19-46. Abstract: Rate regulations in insurance markets often impose cross-subsidies in insurance premiums from low-risk consumers to high-risk consumers. This paper develops the hypothesis that premium cross-subsidies affect risk taking by insurance consumers, and tests this hypothesis by examining the marginal impact of premium subsidies and overcharges on future insurance costs. The empirical analysis uses 19902003 rating cell-level data from the Massachusetts automobile insurance market, in which regulation produced large cross-subsidies across cells. Consistent with the hypothesized effects, premium subsidies are found to be significantly related to higher future insurance costs, and the opposite effects are found for premium overcharges.

Automobileinsurance

Litigation Patterns in Automobile Bodily Injury Claims 19771997: Effects of Time and Tort Reforms. Browne, Mark J; Schmit, Joan T. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38133 Journal of Risk and Insurance (2008) 75 (1) : 83-100. Abstract: This study uses data from the Insurance Research Council to investigate changes in the use of attorneys and in the filing of legal claims to resolve automobile third-party bodily injury claims between 1977 and 1997. We find results consistent with the general public perception that the use of attorneys and the filing of legal claims have increased over the study period. In addition, we find evidence that tort reforms enacted by the states have slowed the rates of increase in the use of attorneys and in the filing of legal claims to resolve automobile insurance claim disputes. An Empirical Analysis of the Effects of Increasing Deductibles on Moral Hazard. Wang, Jennifer L; Chung, Chin-Fan; Tzeng, Larry Y. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38589 Journal of Risk and Insurance (2008) 75 (3) : 551-566. Abstract: Using information on timing and number of claims in a unique data set pertaining to comprehensive automobile insurance with the increasing deductible provision in Taiwan, the authors provide new evidence for moral hazard. Time-varying correlations between the choice of the insurance coverage and claim occurrence are significantly positive and exhibit a smirk pattern across policy months. This empirical finding supports the existence of asymmetric information. A subsample estimation depicts insured drivers' significant responses to increasing deductibles, which implies the existence of moral hazard. According to the probit regression results, the increasing deductible makes policyholders who have ever filed claims less likely to file additional claims later in the policy year. The empirical findings strongly support the notion that the increasing deductible provision helps control moral hazard.

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Evidence of asymmetric information in the automobile insurance market : Dichotomous versus multinomial measurement of insurance coverage. Kim, Hyojoung; Kim, Doyoung; Im, Subin; Hardin, James W. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39160 Journal of Risk and Insurance (2009) 76 (2) : 343-366. Abstract: In the empirical analysis of information asymmetry in automobile insurance markets, prior research used a dichotomous measurement approach that induces excessive bundling in coverage measurements and sample selection biases. To improve on the conditional correlation method for testing information asymmetry, we propose a multinomial measurement approach that constructs coverage categories at ordered multinomial levels. With this approach, we find robust evidence of information asymmetry in both coverage area and coverage amount choices, which we could not find with the dichotomous measurement approach. It thus demonstrates the sensitivity of the empirical findings to the method used to measure insurance coverage. Modelling different types of bundled automobile insurance choice behaviour: the case of Taiwan. Wang, MingYyh; Wen, Chieh-Hua; Lan, Lawrence W. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39889 Geneva Papers on Risk and Insurance (2010) 35 (2) : 290-308. Abstract: Automobile insurance policies (AIPs) are typically offered by the insurers in different bundled formats and some of which may be highly similar. This study proposed a two-component modelling system, which consists of choice of physical damage coverage and choice of non-physical damage coverage. Both multinomial logit (MNL) and pairde combinatorial logit (PCL) models are attempted to explain the choice behaviours of AIP alternatives. The proposed models are tested with a large data set drawn from a Taiwanese non-life insurance company. It is found that the PCL model is structurally superior to the MNL model in analysing the choice of physical damage bundled AIP alternatives. In the context of non-physical damage coverage choice, however, the assumptions from the MNL model hold, suggesting that the use of PCL model is not required. Based on our estimation results, the insurance providers can develop marketing strategies to refine their existing AIPs or to develop new AIPs to better serve their customers. Is the design of bonus-malus systems influenced by insurance maturity or national culture? Evidence from Asia. Park, Sojung C; Lemaire, Jean; Chua, Choong Tze. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39968 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S7-S27. Abstract: Most Asian countries have adopted bonus-malus systems (BMS) in automobile insurance. We evaluate the toughness towards consumers of 16 Asian BMS and its correlation with cultural and economic variables. We use principal components analysis to define a Maturity Index of insurance markets and find supporting evidence for a conjecture that, as markets become more mature and policy-holders more sophisticated, countries adopt tougher BMS. In addition, we find, using regression analysis, that using a Common Law legal system is a crucial factor in BMS design. Cultural variables, such as uncertainty avoidance, also influence BMS. Pricing effectiveness and regulation: an examination of premium rating in Taiwan automobile insurance. Li, Chu-Shiu; Lin, Chih Hao; Liu, Chwen-Chi; Venezian, Emilio. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39971 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S68-S81. Contents: Special issue on insurance in Asia. Abstract: This paper examines premium determination of voluntary automobile insurance policies and risk classification under Taiwans heavily regulated rating system. On the basis of a unique data set, we investigate the appropriateness of the official one-size-fits-all rating formula for insurers by calculating an actual premium, a pure premium in terms of incurred loss, and a loading factor to account for different insurance coverage types. Empirical evidence indicates that there are large discrepancies between average actual premiums and average pure premiums, requiring large loading factors. The official formula captures the regular loss pattern but not excess claims, due to biased claims behaviour. In addition, average loss ratios for all coverage types are closely correlated and profitability is high.

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Aviationinsurance

Recent developments in the aviation insurance industry. Flouris, Triant; Hayes, Paul; Pukthuanthong-le, Kuntara; Thiengtham, Dolruedee; Walker, Thomas. - - No. pages: 23. [Faculty: RIS/MAN] 71568 Risk Management and Insurance Review (2009) 12 (2) : 227-249. Abstract: The aviation industry has been hard hit in recent years. While there are numerous factors that have contributed to the industry's dilemma, rising and volatile insurance premiumsparticularly after the events of 9/11have posed a particular problem for many airline managers. Despite a general trend for accident rates involving commercial passenger airplanes to decrease as aviation technology has advanced over the years and airplanes have become safer, the aviation insurance market has been far from stable. This article provides an overview of how the aviation insurance industry works and how it has changed in recent years. We take a look at how the risk is spread between insurers, how insurers treat deliberate acts of violence, and lastly, how insurers price the risk. Our article shows that the aviation insurance market has undergone considerable changes in recent years and that it has adjusted to the post-9/11 aviation insurance realities being reasonably ready to handle events of an even more catastrophic magnitude.

Balancesheets

Everything you always wanted to know about the Solvency II balance sheet but were afraid to ask [copies of slides only] Sheaf, Simon; Kelly, Stephen. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73588 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a02-simon-sheaf-stephen-kelly.pdf Solvency II balance sheets in simulation-based capital models [copies of slides only] England, Peter; McGuinness, Andrew. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45023 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-c08-peter-england.pdf

Bancassurance

Bancassurance : tapping into the banking strength. Teunissen, Mark. Shelved at: Per: Geneva (Oxf) 39037 Geneva Papers on Risk and Insurance (2008) 33 (3) : 408-417. Abstract: One of the most significant changes in the financial services sector over the past few years has been the appearance and development of bancassurance. Indeed, the distribution of insurance products through banks is gradually becoming widespread in many parts of the world. This article aims to shed more light on this emerging distribution channel. Although bancassurance has not developed at an equal pace throughout the world, it is evident that it provides clear benefits for insurers, banks and customers and is expected to continue to grow. A comparison of Bancassurance and traditional insurer sales channels. Chang, Pang-Ru; Peng, Jin-Lung; Fan, Chiang Ku. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39977 Geneva Papers on Risk and Insurance (2011) 36 (1) : 76-93. Abstract: Although various sales channels exist for insurance products, no existing research compares their sales efficiency. This study offers a comparison of bancassurance and traditional sales channels in Taiwan. Using a data envelopment analysis approach, this study first computes the efficiencies of bancassurance and traditional sales channels separately. The efficiency score of the

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traditional sales channel is significantly higher than that of a comparable bancassurance channel. Furthermore, the efficiency relationship between the bancassurance and the traditional sales channels is independent. These findings have significant implications for the insurance industry and ongoing research in this field.

Bankruptcy

Surety bonds with fair and unfair pricing. Wambach, Achim; Engel, Andreas R.. Shelved at: Per: Geneva (Oxf) 45274 Geneva Risk and Insurance Review (2011) 36 (1) : 36-50. Abstract: Surety bonds are instruments used in public and private procurement to avoid the problem of contractor bankruptcy. A surety company issuing such a bond guarantees to either finish the project itself or pay the bond to the procurement agency in case of contractor's bankruptcy. This situation is analysed under the assumption that the bond is either priced fairly, or a risk loading that is proportional to the money at risk is imposed. If the surety is priced fairly, full insurance (or even overinsurance) is optimal. If the surety is priced unfairly, more solvent contractors are more likely to win, thus the problem of abnormally low tenders is alleviated.

Banksandbanking

Lessons learned from the financial crisis for risk management: contrasting developments in insurance and banking. Lehmann, Axel P; Hofmann, Daniel M. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39862 Geneva Papers on Risk and Insurance (2010) 35 (1) : 63-78. Abstract: The article analyses implications for risk management in insurance arising from the current financial crisis. After a brief comparison of the insurance to the banking world, we discuss the root causes of the current financial crisis with a particular focus on risk management and incentives. Against the backdrop of this discussion, lessons are derived from an insurance risk management point of view. In particular, the article pleads for a pronounced external and forward-looking approach to supplement the traditional methodology, which tends to be more inward-looking and ultimately backward-oriented. Can we help? Banks: reserving for bad debt [copies of slides only] White, Martin. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45046 URL: http://www.actuaries.org.uk/research-and-resources/documents/e10-can-we-help-banks-reserving-baddebt-slides

Bayestheorem

Bayesian multivariate Poisson models for insurance ratemaking. Bermudez, Lluis; Karlis, Dimitris. Shelved at: Per: IME (Oxf) 40017 Insurance: Mathematics & Economics (2011) 48 (2) : 226-236. Abstract: When actuaries face the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or a homeowners insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different multivariate Poisson regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to date, mainly because of their computational difficulties. Bayesian inference based on MCMC helps to resolve this problem (and also allows us to derive, for several

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quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claim. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models together with their zero-inflated versions. Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family. Taylor, Greg; McGuire, Grainne. Shelved at: Per: Variance 45053 Variance (2009) 3 (1) : 105-130. URL: http://www.variancejournal.org/issues Abstract: This paper investigates the practical aspects of applying the second-order Bayesian revision of a generalized linear model (GLM) to form an adaptive filter for claims reserving. It discusses the application of such methods to three typical models used in Australian general insurance circles. Extensions, including the application of bootstrapping to an adaptive filter and the blending of results from the three models, are considered. Interval Estimation of the Credibility Factor. Gangopadhyay, Ashis; Gau, Wu-Chyuan; Han, Zhongxian. Shelved at: Per: Variance 45058 Variance (2008) 2 (1) : 71-84. URL: http://www.variancejournal.org/issues Abstract: In this article, we present a Bayesian approach for calculating the credibility factor. Unlike existing methods, a Bayesian approach provides the decision maker with a useful credible interval based on the posterior distribution and the posterior summary statistics of the credibility factor, while most credibility models only provide a point estimate. A simulated example is used to demonstrate the advantages and disadvantages of the Bayesian credibility factor proposed in this article.

Behaviouralsciences

The effect of pre-commitment and past-experience in insurance choices: an experimental study. Papon, Thomas. Shelved at: Per: Geneva (Oxf) 38397 Geneva Risk and Insurance Review (2008) 33 (1) : 47-73. Abstract: This paper reports results from an experimental study that investigates insurance behaviours in low-probability, high-loss risk situations. The study reveals that insurance behaviours may depend on the length of the commitment period of insurance policies, namely the period during which individuals commit themselves to maintain the same insurance decisions. The results of this study also seem to support the predictions of the Dual Theory concerning the demand for coinsurance policies, that is to say the preference of individuals for extreme (null or full) levels of insurance coverage. This study also suggests that prior risk occurrences influence subsequent insurance choices. The paper provides a new possible explanation about the puzzling fact that people usually fail to obtain insurance against disaster-type risks such as natural disasters, even when premiums are close to actuarially fair levels.

Belgium

Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs. Verlaak, Robert; Hurlimann, Werner; Beirlant, Jan. - - No. pages: 24. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 71959 ASTIN Bulletin (2009) 39 (2) : 429-452. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: In this paper a method for determining benchmark rates for the excess of loss reinsurance of a Motor Third Party Liability insurance portfolio will be developed based on observed market rates. The benchmark rates are expressed as a percentage of the expected premium income that is

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available to cover the whole risk of the portfolio. The rates are assumed to be based on a compound process with a heavy tailed severity, such as Burr or Pareto distributions. In the absence of claim data these assumptions propagate the theoretical benchmark rate component of the regression model. Given the whole set of excess of loss reinsurance rates in a given market, the unknown parameters are estimated within the framework of quasi-likelihood estimation. This framework makes it possible to select a theoretical benchmark rate model and to choose a parsimonious submodel for describing the observed market rates over a 4-years observation period. This method is applied to the Belgian Motor Third Party Liability excess of loss rates observed during the years 2001 till 2004. Keywords: Excess of loss reinsurance; Burr distribution; Pareto distribution; benchmark rate; generalised (non-) linear models; quasi-likelihood; weighted Pearson residuals

Bonds

The Changing Role of Nominal Government Bonds in Asset Allocation. Campbell, John Y. - - No. pages: 16. Shelved at: Per: Geneva (Oxf) 72016 Geneva Risk and Insurance Review (2009) 34 (2) : 89-104. Abstract: The covariance between nominal bonds and stocks has varied considerably over recent decades and has even switched sign. It has been predominantly positive in periods such as the late 1970s and early 1980s when the economy has experienced supply shocks and the central bank has lacked credibility. It has been predominantly negative in periods such as the 2000s when investors have feared weak aggregate demand and deflation. Nominal bonds are attractive to short-term equity investors when these bonds are negatively correlated with stocks, as has been the case during the 2000s and especially during the downturn of 20072008. They are attractive to conservative long-term investors when long-term inflationary expectations are stable, for then these bonds are close substitutes for inflation-indexed bonds that are riskless in the long term. Keywords: Mean-variance analysis, long-term investing, time-varying risk Factors affecting the price of catastrophe bonds. Papachristou, Dimitris. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72767 Modeling Loss Index Triggers for Cat Bonds: A Continuous Approach. Perez-Fructuoso, Maria Jose. Shelved at: Per: Variance 45074 Variance (2008) 2 (2) : 253-265. URL: http://www.variancejournal.org/issues Abstract: This paper proposes a method for the continuous random modeling of loss index triggers for cat bonds. Under the premise that the total incurred loss of the hedged catastrophe consists of the amount of reported losses plus the amount of incurred-but-not-yet-reported losses, our basic hypothesis is that the latter decreases in time proportionally to a real-value function named claim reporting rate. To account for randomness in the reporting process, the claim reporting rate is considered to follow a Wiener process. Within this framework, it is quite straightforward to quantify the amount of reported losses by merely subtracting the amount of incurred-but-not-yet-reported losses from the total catastrophic incurred loss, and accordingly calculating the loss index as the amount of reported losses multiplied by an indicator which varies according to the occurrence of the specified catastrophe. The estimation of parameters and the verification of the goodness-of-fit have been conducted in order to test the validity of the model. Surety bonds with fair and unfair pricing. Wambach, Achim; Engel, Andreas R.. Shelved at: Per: Geneva (Oxf) 45274 Geneva Risk and Insurance Review (2011) 36 (1) : 36-50. Abstract: Surety bonds are instruments used in public and private procurement to avoid the problem of contractor bankruptcy. A surety company issuing such a bond guarantees to either finish the project itself or pay the bond to the procurement agency in case of contractor's bankruptcy. This situation is analysed under the assumption that the bond is either priced fairly, or a risk loading that

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is proportional to the money at risk is imposed. If the surety is priced fairly, full insurance (or even overinsurance) is optimal. If the surety is priced unfairly, more solvent contractors are more likely to win, thus the problem of abnormally low tenders is alleviated.

Bonus

Number of Accidents or Number of Claims? An Approach with Zero-Inflated Poisson Models for Panel Data. Boucher, Jean-Philippe; Denuit, Michel; Guillen, Montserrat. - - No. pages: 26. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71776 Journal of Risk and Insurance (2009) 76 (4) : 821-846. Abstract: The hunger for bonus is a well-known phenomenon in insurance, meaning that the insured does not report all of his accidents to save bonus on his next year's premium. In this article, we assume that the number of accidents is based on a Poisson distribution but that the number of claims is generated by censorship of this Poisson distribution. Then, we present new models for panel count data based on the zero-inflated Poisson distribution. From the claims distributions, we propose an approximation of the accident distribution, which can provide insight into the behavior of insureds. A numerical illustration based on the reported claims of a Spanish insurance company is included to support this discussion.

Bonusmalus

Is the design of bonus-malus systems influenced by insurance maturity or national culture? Evidence from Asia. Park, Sojung C; Lemaire, Jean; Chua, Choong Tze. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39968 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S7-S27. Abstract: Most Asian countries have adopted bonus-malus systems (BMS) in automobile insurance. We evaluate the toughness towards consumers of 16 Asian BMS and its correlation with cultural and economic variables. We use principal components analysis to define a Maturity Index of insurance markets and find supporting evidence for a conjecture that, as markets become more mature and policy-holders more sophisticated, countries adopt tougher BMS. In addition, we find, using regression analysis, that using a Common Law legal system is a crucial factor in BMS design. Cultural variables, such as uncertainty avoidance, also influence BMS.

Bonuses

Insurer reserve error and executive compensation. Eckles, David L; Halek, Martin. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39625 Journal of Risk and Insurance (2010) 77 (2) : 329-346. Abstract: This article investigates incentives of insurance firm managers to manipulate loss reserves in order to maximize their compensation. We find that managers who receive bonuses that are likely capped or no bonuses tend to over-reserve for current-year incurred losses. However, managers who receive bonuses that are likely not capped tend to under-reserve for current-year incurred losses. We also find that managers who exercise stock options tend to under-reserve in the current period.

22

Bootstrap

Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance. Cowell, Robert. - - London: - Cass Business School, 2009. - (Actuarial Research Paper No. 192). - No. pages: 55. 72093 URL: http://www.cass.city.ac.uk/facact/research/reports/192ARP.pdf Contents: Contents include: -- The chain ladder technique -- Standard formalism -- Non-standard formalism -- Equivalence of the two approaches -- The Local Chain Ladder Bootstrap method -The horizontal method -- The vertical method -- The mixed method -- Application to historical data sets -- A simulation study -- Schiegl's triangle simulation method -- Kaishev's triangle simulation method Abstract: This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models. Keywords: Stochastic claims reserving; chain ladder; non parametric; bootstrap; distribution of reserves. Effects of Genetic Testing on Insurance Pedigree Analysis and Ascertainment Adjustment. MacCalman, Laura. - - Edinburgh: - Heriot-Watt University, 2009. - (PhD Thesis, Heriot-Watt University). - No. pages: 236. 72140 URL: http://www.ma.hw.ac.uk/~angus/papers/lm_phd.pdf Contents: Contents include: -- An Introduction to Genetics -- Cell Division and Reproduction -Mendels Laws of Inheritance -- Information That Can Be Obtained From Pedigrees -- Ascertainment Bias -- Insurance and Risk -- Use of Genetic Information by UK Insurers -- Information Available About CI and Life Insurance Risks -- Research Concerning Genetics and Insurance -- Breast and Ovarian Cancer -- Huntingtons Disease -- Familial Adenomatous Polyposis -- Tools and Methodology Estimating Onset Rates -- Onset Rate and Penetrance -- Classical Survival Analysis -- Pedigree Likelihoods -- Genetic Test Results -- Mutation Carrier -- Non-Mutation Carriers -Variance of Parameter Estimates -- Bootstrapping -- Tools and Methodology Estimating Premium Rates -- The Markov Model -- The Model of Critical Illness Insurance Given Genetic Information -Calculating Extra Premiums when Genotype is Known -- The Insurance Model for Huntingtons Disease -- Adult Polycystic Kidney Disease -- Hypertension -- Critical Illness Insurance Studies -Numerical Integration -- Polynomial Approximation -- Normal Distribution -- Gamma Function Abstract: Recent advances in genetics have resulted in the identification of mutations responsible for a number of genetic disorders which, in turn, have led to the development of genetic tests. The use of genetic testing raises the issue of who should be allowed access to the results; in particular should insurers be allowed to use genetic test results when calculating premium rates? At the moment there is a self-imposed moratorium in the UK preventing insurers from using the results of presymptomatic genetic tests until more investigation is carried out. It is well-established that critical-illness (and sometimes life) insurance cannot be offered to mutation carriers. However such conclusions have (necessarily) been based on the published medical studies available, few of which include the detail needed to reconstruct the data. At the same time, the Genetics and Insurance Committee (GAIC) is setting out criteria that must be met if any genetic tests may be used in underwriting. These criteria cover questions of reliability that from a statistical point of view must include the estimation of insurance premiums from medical or epidemiological data. This question is rarely addressed: we address it in this thesis using pedigree data for Huntingtons Disease and BRCA1-related breast and ovarian cancer. In particular, we study the extent to which ascertainment bias, long known to affect pedigree analysis, affects the actuarial questions of pricing insurance. Having direct access to pedigree data gives us a unique opportunity to analyse how the sampling uncertainty inherent in the data translates into sampling uncertainty in actuarial quantities such as premium rates; moreover, allowing for ascertainment bias and adjustments to remove it. In particular, we are able to assess the validity of ad hoc adjustments to onset rates used by other authors.

23

Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance. Cowell, Robert. - - London: - Cass Business School, 2009. - No. pages: 48. 39500 URL: http://www.actuaries.org.uk/research-and-resources/documents/exploration-novel-bootstrap-techniqueestimating-distribution-outst Abstract: This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models. Estimating the predictive distribution for risk premiums using Bootstrapping [copies of slides only] Bain, Derek. - - London: - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Pricing seminar 2008 Royal College of Physicians, London, 13 June 2008). 72812 Are the Upper Tails of Predictive Distributions of Outstanding Liabilities Underestimated when using Bootstrapping? [copies of slides only] England, Peter; Cairns, Martin. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72932 Two Approaches to Calculating Correlated Reserve Indications Across Multiple Lines of Business. Kirschner, Gerald S; Kerley, Colin; Isaacs, Belinda. Shelved at: Per: Variance 45055 Variance (2008) 2 (1) : 15-38. URL: http://www.variancejournal.org/issues Abstract: When focusing on reserve ranges rather than point estimates, the approach to developing ranges across multiple lines becomes relevant. Instead of being able to simply sum across the lines, we must consider the effects of correlations between the lines. This paper presents two approaches to developing such aggregate reserve indications. Both approaches rely on a simulation model. One takes into account the actuarys judgment as to the correlations between the different underlying blocks of business, and the second uses bootstrapping to eliminate the need for the actuary to make judgment calls about the nature of the correlations. Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims. Liu, Huijuan; Verrall, Richard. Shelved at: Per: Variance 45065 Variance (2011) 4 (2) : 121-135. URL: http://www.variancejournal.org/issues Abstract: This paper presents a bootstrap approach to estimate the prediction distributions of reserves produced by the Munich chain ladder (MCL) model. The MCL model was introduced by Quarg and Mack (2004) and takes into account both paid and incurred claims information. In order to produce bootstrap distributions, this paper addresses the application of bootstrapping methods to dependent data, with the consequence that correlations are considered. Numerical examples are provided to illustrate the algorithm and the prediction errors are compared for the new bootstrapping method applied to MCL and a more standard bootstrapping method applied to the chain ladder technique.

24

Brazil

All roads lead to Rio. Bastos Marques, Maria Silvia. Shelved at: online only [Faculty: online only] 69755 The Actuary (2008) April URL: http://www.the-actuary.org.uk Abstract: Maria Silvia Bastos Marques writes about the opening of the Brazilian reinsurance market

Brownianmotion

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables. Darkiewicz, Grzegorz; Deelstra, Griselda; Dhaene, Jan; Hoek, John van der; Vanmaele, Michle. - - No. pages: 20. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71777 Journal of Risk and Insurance (2009) 76 (4) : 847-866. Abstract: We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is investigated numerically for individual life annuity contracts as well as for life annuity portfolios, where mortality is modeled by Makeham's law, whereas investment returns are modeled by a Brownian motion process. Insurance claims modulated by a hidden Brownian marked point process. Elliott, Robert J; Chen, Zhiping; Duan, Qihong. - - No. pages: 10. Shelved at: Per: IME (Oxf) 72386 Insurance: Mathematics & Economics (2009) 45 (2) : 163-172. Abstract: Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from existing ones in the following ways: the new hidden process can model more efficiently the cyclic state of the economic environment; our theory is based on a variation of the law of large numbers and is easy to understand; the Fourier expansion-based parameter estimation algorithm is flexible and can be more easily implemented than other algorithms. Simulation results not only demonstrate the practicality of our model and algorithm, but also show the efficiency and robustness of the estimation algorithm. Keywords: Insurance risk models; Markov-modulated Poisson processes; Brownian motion; Reference probability

Business

Commercial liability: A challenge for businesses and their insurers. Swiss Reinsurance Company. - - Zurich: Swiss Reinsurance Company, - No. pages: 34. [Faculty: SIG/SWI] 71956 Sigma (2009) 5 URL: http://www.swissre.com Contents: Contents include: -- Introduction: characteristics of liability insurance -- How much insurance do businesses buy and why? -- What are the key issues? -- What can insurers do to keep liability risk insurable? Insurance in terms of basic economics [copies of slides only] - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72976

25

The U.S. Property and Liability Insurance Industry: Firm Growth, Size, and Age. Choi, Byeongyong Paul. - No. pages: 15. [Faculty: RIS/MAN] 73284 Risk Management and Insurance Review (2010) 13 (2) : 207-224. Abstract: The relationship between firm size, age, and growth is tested for the U.S. property and liability (P-L) insurance industry, and the determinants of firm characteristics on firm growth are analyzed. Using Heckman's two-stage methodology, this article examines the relationship between corporate growth and firm size. The relationship between firm growth and firm age is also investigated. Furthermore, to determine time-varying effects, the analysis is conducted for the different subperiods. The results of this article strongly support Gibrat's Law in the U.S. P-L insurance market for the testing periods. The results are consistent for longer time periods and for shorter subperiods. It also finds that young firms grow faster than old firms during the sample periods. Related to the determinants of firm characteristics on firm growth, insurers using less input cost tend to grow fast. Economies of scope are positively related to firm growth as well. The Cost Efficiency of Takaful Insurance Companies. Kader, Hale Abdul; Adams, Mike; Hardwick, Philip. - No. pages: 21. 73303 Geneva Papers on Risk and Insurance (2010) 35 (1) : 161-181. Abstract: This study examines the cost efficiency of non-life Takaful insurance firms operating in 10 Islamic countries. Non-parametric data envelopment analysis is used to compute cost efficiency scores and a second-stage logit transformation regression model is then estimated to test the influence of corporate characteristics on these efficiencies. We find that non-executive directors and separating the Chief Executive Officer and Chairman functions do not improve cost efficiency. However, board size, firm size and product specialisation have positive effects on the cost efficiency of Takaful insurers. In contrast, the regulatory environment is found not to be statistically significant in terms of improving cost efficiency. We conclude that our results could have important commercial and policy implications.

Calibrations

Calibrating dependencies. Case study based on market returns [copies of slides only] Shaw, Richard; Spivak, Grigory; Smith, Andrew. - - Institute of Actuaries and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45000 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a04-andrew-smith.pdf

Canada

Why insurers fail : the dynamics of property and casualty insurance insolvency in Canada. Leadbetter, Darrell; Dibra, Suela. Shelved at: Per: Geneva (Oxf) 39040 Geneva Papers on Risk and Insurance (2008) 33 (3) : 464-488. Abstract: We analyze the involuntary exit of 35 property and casualty insurance companies from the Canadian insurance market over the 19602005 period, and consistent with other jurisdictions, find evidence that inadequate pricing and deficient loss reserves are the leading cause of insurer insolvency. Overall, we find that the operating environment generally provides the catalyst for insolvency, either through turbulent financial markets or reduced profitability in the industry, but most causes of involuntary exit can however be linked back to three sources within an institution: the quality and experience of governance/management, internal operational processes and risk appetite. Further, other than inadequate pricing, our results, when compared with the few studies in various jurisdictions, indicate there are few universal causes of involuntary exit across jurisdictions, and hence supervisory approaches to insurer insolvency should be flexible and adaptable to the environment.

26

Nonlinear cointegration relationships between non-life insurance premiums and financial markets. Jawadi, Fredj; Bruneau, Catherine; Sghaier, Nadia. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71014 Journal of Risk and Insurance (2009) 76 (3) : 753-783. Abstract: The aim of this article is to study the adjustment dynamics of the non-life insurance premium (NLIP) and test its dependence to the financial markets in five countries (Canada, France, Japan, the United Kingdom, and the United States). First, we justify the linkage between the insurance and the financial markets by the underwriting cycle theory and financial models of insurance pricing. Second, we examine the relationship between the NLIP, the interest rate, and the stock price using the recent developments of nonlinear econometrics. We use threshold cointegration models: the switching transition error correction models (STECM). We show that STECM perform better than a linear error correction model (LECM) to reproduce the NLIP dynamics. Our empirical results show that the adjustment of the NLIP in France, Japan, and the United States is rather discontinuous, asymmetrical, and nonlinear. Moreover, we suggest a strong evidence of significant linkages between insurance and financial markets, show two regimes for the NLIP, and find that the NLIP adjustment toward equilibrium is time varying with a convergence speed that varies according to the insurance disequilibrium size. First-Party Versus Third-Party Compensation for Automobile Accidents : Evidence From Canada. Kelly, Mary; Kleffner, Anne; Tomlinson, Maureen. - - No. pages: 12. [Faculty: RIS/MAN] 72287 Risk Management and Insurance Review (2010) 13 (1) : 21-44. Abstract: Insurance regimes for compensating losses arising from automobile accidents vary by jurisdiction, ranging from a pure tort system to a pure no-fault system, with both systems having welldocumented benefits and costs. The majority of published research focuses on the benefits and costs associated with the compensation for bodily injury. This article extends the existing literature by examining the differences between first-party and third-party recovery for both physical damage and bodily injury losses in Canada. Our comparison of auto insurance costs per insured vehicle suggests that government-run, pure no-fault provinces have lower average costs than provinces with private tort and modified no-fault. Lower costs arise from the elimination of tort costs associated with noneconomic damages, lower claims settlement costs due to first-party compensation, and scales of economy arising from monopoly power. The second goal of the article is to examine the impact of first- versus third-party compensation on the settlement of property damage claims. We analyze the claim files of a large insurer that operates within both a traditional tort (third-party) environment and a first-party recovery environment for property damage. We find that in a first-party recovery regime claims are settled sooner, settlement costs are lower, and not-at-fault drivers are compensated at a higher rate than in the traditional tort environment.

A pricing model for underinsured motorist coverage. Buchalter, Matthew D. Shelved at: Per: Variance 39951 Variance (2010) 4 (1) : 11-17. URL: http://www.variancejournal.org/issues Abstract: Underinsured Motorist (UIM) coverage, also known as Family Protection coverage, is a component of most Canadian personal automobile policies, with similar coverage existing in many American states. Traditional ratemaking methods are not appropriate for UIM due to poor credibility of available data as well as the unique characteristics of the UIM coverage. A substitute pricing model is presented that takes advantage of the association between UIM coverage and increasedlimits liability coverage. The Ontario auto insurance industry is analyzed to determine the level of adequacy of UIM rates in light of current industry trends.

27

Cancer

Effects of Genetic Testing on Insurance Pedigree Analysis and Ascertainment Adjustment. MacCalman, Laura. - - Edinburgh: - Heriot-Watt University, 2009. - (PhD Thesis, Heriot-Watt University). - No. pages: 236. 72140 URL: http://www.ma.hw.ac.uk/~angus/papers/lm_phd.pdf Contents: Contents include: -- An Introduction to Genetics -- Cell Division and Reproduction -Mendels Laws of Inheritance -- Information That Can Be Obtained From Pedigrees -- Ascertainment Bias -- Insurance and Risk -- Use of Genetic Information by UK Insurers -- Information Available About CI and Life Insurance Risks -- Research Concerning Genetics and Insurance -- Breast and Ovarian Cancer -- Huntingtons Disease -- Familial Adenomatous Polyposis -- Tools and Methodology Estimating Onset Rates -- Onset Rate and Penetrance -- Classical Survival Analysis -- Pedigree Likelihoods -- Genetic Test Results -- Mutation Carrier -- Non-Mutation Carriers -Variance of Parameter Estimates -- Bootstrapping -- Tools and Methodology Estimating Premium Rates -- The Markov Model -- The Model of Critical Illness Insurance Given Genetic Information -Calculating Extra Premiums when Genotype is Known -- The Insurance Model for Huntingtons Disease -- Adult Polycystic Kidney Disease -- Hypertension -- Critical Illness Insurance Studies -Numerical Integration -- Polynomial Approximation -- Normal Distribution -- Gamma Function Abstract: Recent advances in genetics have resulted in the identification of mutations responsible for a number of genetic disorders which, in turn, have led to the development of genetic tests. The use of genetic testing raises the issue of who should be allowed access to the results; in particular should insurers be allowed to use genetic test results when calculating premium rates? At the moment there is a self-imposed moratorium in the UK preventing insurers from using the results of presymptomatic genetic tests until more investigation is carried out. It is well-established that critical-illness (and sometimes life) insurance cannot be offered to mutation carriers. However such conclusions have (necessarily) been based on the published medical studies available, few of which include the detail needed to reconstruct the data. At the same time, the Genetics and Insurance Committee (GAIC) is setting out criteria that must be met if any genetic tests may be used in underwriting. These criteria cover questions of reliability that from a statistical point of view must include the estimation of insurance premiums from medical or epidemiological data. This question is rarely addressed: we address it in this thesis using pedigree data for Huntingtons Disease and BRCA1-related breast and ovarian cancer. In particular, we study the extent to which ascertainment bias, long known to affect pedigree analysis, affects the actuarial questions of pricing insurance. Having direct access to pedigree data gives us a unique opportunity to analyse how the sampling uncertainty inherent in the data translates into sampling uncertainty in actuarial quantities such as premium rates; moreover, allowing for ascertainment bias and adjustments to remove it. In particular, we are able to assess the validity of ad hoc adjustments to onset rates used by other authors.

Capital

Minimizing the ruin probability through capital injections. Nie, Ciyu; Dickson, David C M; Li, Shuanming. - Victoria: - University of Melbourne, 2010. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 206). - No. pages: 20. 73356 URL: http://www.economics.unimelb.edu.au/downloads/Nie_Dickson_Li.pdf Abstract: We consider an insurer who has a fixed amount of funds allocated as the initial surplus for a risk portfolio, so that the probability of ultimate ruin for this portfolio is at a known level. We consider the question of whether the insurer can reduce this ultimate ruin probability by allocating part of the initial funds to the purchase of a reinsurance contract. This reinsurance contract would restore the insurer's surplus to a positive level k every time the surplus fell between 0 and k. The insurer's objective is to choose the level k that minimizes the ultimate ruin probability. Using different examples of reinsurance premium calculation and claim size distribution we show that this objective can be achieved, often with a substantial reduction in the ultimate ruin probability from the situation when there is no reinsurance. We also show that by purchasing reinsurance the insurer can release funds for other purposes without altering its ultimate ruin probability.

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Keywords: ruin probability; capital injections; lower barrier Capital allocation by percentile layer. Bodoff, Neil M. Shelved at: Per: Variance 39962 Variance (2009) 3 (1) : 13-30. URL: http://www.variancejournal.org/issues Abstract: This paper describes a new approach to capital allocation; the catalyst for this new approach is a new formulation of the meaning of holding Value at Risk (VaR) capital. This new formulation expresses the firms total capital as the sum of many granular pieces of capital, or percentile layers of capital. As a result, one must allocate capital separately on each layer and perform the capital allocation across all layers. The resulting capital allocation procedure, capital allocation by percentile layer, exhibits several salient features. First, it allocates capital to all losses, rather than allocating capital only to extreme losses in the tail of the distribution. Second, despite allocating capital to this broad range of loss events, the proposed procedure does not allocate in proportion to average loss; rather, it allocates disproportionate capital to severe losses. Third, it allocates capital by relying neither upon esoteric parameters nor upon elusive risk preferences. Ultimately, on the practical plane, capital allocation by percentile layer produces allocations that are different from many other methods. Concomitantly, on the theoretical plane, capital allocation by percentile layer leads to new continuous formulas for risk load and utility. Running it off. Czapiewski, Colin. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 40081 The Actuary (2011) February : 26-27. URL: http://www.the-actuary.org.uk Abstract: Colin Czapiewski believes Solvency II will have a significant impact on run-off insurers, affecting their capital requirements far more than insurers that continue to write new business. Economic Impact of Capital Level in an Insurance Company. Zhang, Yingjie. Shelved at: Per: Variance 45056 Variance (2008) 2 (1) : 39-51. URL: http://www.variancejournal.org/issues Abstract: This paper examines the impact of capital level on policy premium and shareholder return. If an insurance firm has a chance of default, it covers less liability than a default-free firm does, so it charges less premium. We explain why policyholders require greater premium credits than the uncovered liabilities. In a default-free firm, if frictional costs are ignored, we prove shareholders are indifferent to the capital level. This is a restatement of the Modigliani-Miller theorem in the insurance setting. An insurance firm incurs two classes of frictional costs: the frictional costs of capital and the costs of financial distress. Altering the capital level has an opposite effect on each class. The total frictional cost can be minimized at a proper capital level. Risk margin estimation through the cost of capital approach: some conceptual issues. Floreani, Alberto. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45332 Geneva Papers on Risk and Insurance (2011) 36 (2) : 226-253. Abstract: The Solvency II directive requires that insurance liabilities are valued using a best estimate plus a risk margin. The risk margin should be estimated using the cost of capital approach, that is the cost of the solvency capital requirementwhich is computed through a value at risk measure needed to support the insurance obligation until settlement. The unitary cost of capital applied to the future capital requirement should be fixed. This paper deals with conceptual issues relating to the risk margin estimate through the cost of capital approach. It shows that the Solvency II specification of the methodology is consistent with financial economics. However, the theoretical framework required (a frictionless and normally distributed world) is too far-fetched to be acceptable. Even if these conditions were satisfied, a variable unitary cost of capital must be used.

29

Capitaladequacy

Can a coherent risk measure be too subadditive? Dhaene, J; Laeven, R J A; Vanduffel, S; Darkiewicz, Grzegorz; Goovaerts, Marc J. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38291 Journal of Risk and Insurance (2008) 75 (2) : 365-386. Abstract: We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall risk increases by a merger. We propose to complement the subadditivity condition by a regulator's condition. We find that for an explicitly specified confidence level, the Value-at-Risk satisfies the regulator's condition and is the "most efficient" capital requirement in the sense that it minimizes some reasonable cost function. Within the class of concave distortion risk measures, of which the elements, in contrast to the Value-at-Risk, exhibit the subadditivity property, we find that, again for an explicitly specified confidence level, the Tail-Value-at-Risk is the optimal capital requirement satisfying the regulator's condition. How much capital does a reinsurance need? Besson, Jean-Luc; Dacorogna, Michel M; Martin, Paolo de; Kastenholz, Michael; Moller, Michael. Shelved at: Per: Geneva (Oxf) 39027 Geneva Papers on Risk and Insurance (2009) 34 (2) : 159-174. Abstract: A modern reinsurance company needs to manage its capital efficiently. The problem is that there are many views on capital, depending on the various positions of the stakeholders of the company involved. In this paper, we present a consistent way of defining capital and of managing it, taking into account the view of all stakeholders. We answer the question of how much capital is required by the business, and introduce the notion of buffer capital. This is used to reduce the likelihood of the company having to call too often on its shareholders to refurbish its capital. We show how this concept relates to the setting of return on equity objectives for the company. Capital allocation is the driver for measuring the economic performance of a business. The fixing of limits relating to capital consumption is linked to capital allocation because it preserves the diversification of the book. We advocate the use of the internal model to determine all of these parameters, and to set the stage for good enterprise risk management within the company. Optimal control of capital injections by reinsurance in a diffusion approximation. Eisenberg, Julia; Schmidli, Hanspeter. Shelved at: Per: Bltter (Lon); online only 43365 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2009) 30 (heft 1) : 1-13. URL: http://www.springerlink.com/content/1864-0303/ The road to Solvency II : A business perspective [copies of slides only] Woolgrove, Tom. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72719 Lloyds Issues [copies of slides only] Johnson, Henry; Badal, Veekash; Kirk, Jerome. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72735 What is a 1-in-200? Heath, Cameron; Campbell, John; Clarke, Daniel; Farr, Darren; Hosken, Gladys; James, Gillian; Newman, Andrew; Simmons, David; van Rensburg, Hannes. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). - No. pages: 34. 72987 URL: http://www.actuaries.org.uk/research-and-resources/documents/what-1-200 Abstract: The paper starts by looking at the most commonly used definitions in deriving capital requirements at a 1-in-200 level.

30

Section 2 challenges the limitations of purely considering reasonably foreseeable events or focussing only on return periods of extreme loss events. We note that the definition needs to make an allowance for systematic events that will influence many aspects of an insurer or even the insurance market as a whole. Section 3 considers a generic ICA model structure and the various risks that need to be considered in a risk based capital analysis. It focuses on the secondary effects of events and how multiple events might impact both sides of the balance sheet at the same time. Section 4 is an aid to be used alongside the current capital modelling framework. It is not meant to be a technical treatise; it attempts to tie various considerations into a usable framework. It provides a flavour of what aspects need to be allowed for in order to derive a 1-in-200 scenario for various individual risks. Then we identify a number of common sense checks to use with model outputs; these will not tell you if your model is correct but they could highlight errors. Section 5 focuses on how to allow for interrelations and systematic loss events affecting multiple aspects of the business. We start by considering the strengths and weaknesses of using linear correlations and copulas. We propose the use of cause and effect models is better at capturing the true nature of risky events influenced by a number of risk drivers. It also focuses the modellers attention on the true cause of risk and not on the near-impossible task of estimating the outcome of multiple related risks. We extend this idea to a multi-state model where the actual distribution used to model risks changes in light of a significant event or market phenomenon. This final approach has the benefit of capturing extreme outcomes, whilst being a useful tool to aid management, when they are making decisions focussed on shorter time periods. Finally, sections 6 and 7 consider, respectively, some regulatory best practices and a review of the previous literature pertinent to this paper. What is a 1-in-200? [copies of slides only] Heath, Cameron; Campbell, John; Clarke, Daniel; Farr, Darren; Hosken, Gladys; James, Gillian; Newman, Andrew; Simmons, David; van Rensburg, Hannes. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72988

Capitalassetpricingmodel

CAPM and option pricing with elliptically contoured distributions. Valdez, Emiliano A; Hamada, Mahmoud. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38292 Journal of Risk and Insurance (2008) 75 (2) : 387-409. Abstract: This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling asset returns. The class of elliptically contoured distributions, which includes the more familiar Normal distribution, provides flexibility in modeling the thickness of tails associated with the possibility that asset returns take extreme values with nonnegligible probabilities. As summarized in this article, this class preserves several properties of the Normal distribution. Within this framework, we prove a new version of Stein's lemma for this class of distributions and use this result to derive the CAPM when returns are elliptical. Furthermore, using the probability distortion function approach based on the dual utility theory of choice under uncertainty, we also derive an explicit form solution to call option prices when the underlying is logelliptically distributed. The BlackScholes call option price is a special case of this general result when the underlying is log-normally distributed. Estimating the cost of equity for property-liability insurance companies. Wen, Min-Ming; Martin, Anna D; Lai, Gene; O'Brien, Thomas J. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38302 Journal of Risk and Insurance (2008) 75 (1) : 101-124. Abstract: Due to the highly skewed and heavy-tailed distributions associated with the insurance claims process, we evaluate the Rubinstein-Leland (RL) model for its ability to improve the cost of equity estimates of insurance companies because of its distribution-free feature. Our analyses show that there is as large as a 94-basis-point difference in the estimated cost of insurance equity between the RL model and the capital asset pricing model (CAPM) for the sample of property-liability insurers with more severe departures from normality. In addition, consistent with our hypotheses, significant

31

differences in the market risk estimates are found for insurers with return distributions that are asymmetrically distributed, and for small insurers. Third, we find significant performance improvements from using the RL model by showing smaller values of excess return of the expected return of the portfolio to the model return for a portfolio of insurers with returns that are more skewed and for a portfolio of small insurers. Finally, our panel data analysis shows the differences in the market risk estimates are significantly influenced by firm size, degree of leverage, and degree of asymmetry. The implication is that insurers should use the RL model rather than the CAPM to estimate its cost of capital if the insurer is small (assets size is less than $2,291 million), and/or its returns are not symmetrical (the value of skewness is greater than 0.509 or less than -0.509).

Capitalmanagement

How much capital does a reinsurance need? Besson, Jean-Luc; Dacorogna, Michel M; Martin, Paolo de; Kastenholz, Michael; Moller, Michael. Shelved at: Per: Geneva (Oxf) 39027 Geneva Papers on Risk and Insurance (2009) 34 (2) : 159-174. Abstract: A modern reinsurance company needs to manage its capital efficiently. The problem is that there are many views on capital, depending on the various positions of the stakeholders of the company involved. In this paper, we present a consistent way of defining capital and of managing it, taking into account the view of all stakeholders. We answer the question of how much capital is required by the business, and introduce the notion of buffer capital. This is used to reduce the likelihood of the company having to call too often on its shareholders to refurbish its capital. We show how this concept relates to the setting of return on equity objectives for the company. Capital allocation is the driver for measuring the economic performance of a business. The fixing of limits relating to capital consumption is linked to capital allocation because it preserves the diversification of the book. We advocate the use of the internal model to determine all of these parameters, and to set the stage for good enterprise risk management within the company. Variable capital loads [copies of slides only] Cairns, Martin; Skelding, Richard. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72758 URL: http://www.actuaries.org.uk/research-and-resources/documents/variable-capital-loads Under the shadow of Mt Vesuvius [copies of slides only] Collinson, Rob; Pollard, Simon. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72781

Capitalmarkets

The role of internal capital markets in financial intermediaries: : evidence from insurer groups. Powell, Lawrence S; Sommer, David W; Eckles, David L. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38294 Journal of Risk and Insurance (2008) 75 (2) : 439-461. Abstract: We exploit the transparency of internal capital markets (ICMs) within insurance groups to investigate the activity and efficiency of ICMs within insurance groups. Specifically, we compare the relationship between internal capital transfers and investment to that between capital from other sources and investment. The ability to track the actual ICM transactions allows for more direct analysis of ICM activity than most previous studies. Consistent with theory, we find evidence that ICMs play a significant role in the investment behavior of affiliated insurers. We then use these detailed data to execute a more direct test of ICM efficiency than currently exists in the literature. Consistent with ICM efficiency, results suggest that capital is allocated to subsidiaries with the best expected performance.

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Adverse selection and the opaqueness of insurers. Zhang, Tao; Cox, Larry A; van Ness, Robert A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39158 Journal of Risk and Insurance (2009) 76 (2) : 295-321. Abstract: While adverse selection problems between insureds and insurers are well known to insurance researchers, few explore adverse selection in the insurance industry from a capital markets perspective. This study examines adverse selection in the quoted prices of insurers' common stocks with a particular focus on the opacity of both asset portfolios and underwriting liabilities. We find that more opaque underwriting lines result in greater adverse selection costs for property-casualty (P-C) insurers. A similar effect is not apparent for life-health (L-H) insurers and we find no effect of asset opaqueness on adverse selection for either L-H or P-C insurers. Convergence of insurance and financial markets: hybrid and securitized risk-transfer solutions. Cummins, J David; Weiss, Mary A. - - No. pages: 52. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71003 Journal of Risk and Insurance (2009) 76 (3) : 493-545. Abstract: One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors. Convergence has been driven by the increase in the frequency and severity of catastrophic risk, market inefficiencies created by (re)insurance underwriting cycles, advances in computing and communications technologies, the emergence of enterprise risk management, and other factors. These developments have led to the development of hybrid insurance/financial instruments that blend elements of financial contracts with traditional reinsurance as well as new financial instruments patterned on asset-backed securities, futures, and options that provide direct access to capital markets. This article provides a survey and overview of the hybrid and pure financial markets instruments and provides new information on the pricing and returns on contracts such as industry loss warranties and Cat bonds. The role of indices in transferring insurance risks to the capital markets. Swiss Reinsurance Company. - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 46. [Faculty: SIG/SWI] 71589 Sigma (2009) 4 URL: http://www.swissre.com Contents: Executive summary -- Introduction -- Insurance-linked indices -- Instruments that transfer insurance risks to the capital markets -- Benefits and market challenges -- Market developments and outlook -- Appendix Abstract: Insurance-linked securities (ILS) and related instruments can be used to transfer insurance risks to the capital markets. These include securitisations, industry loss warranties (ILWs) and a variety of derivative contracts. These products are mainly used to transfer peak natural catastrophe risks and weather-related risks. Catastrophe or cat bonds and weather derivatives are quite commonplace and can be traded on public exchanges or privately. The markets for other products such as mortality and longevity swaps are still in an earlier stage of development.

Capitalprojects

Insurance of privately financed projects. Research Study Group 259. - - London: - Insurance Institute of London, 2009. - No. pages: 185. [Faculty: 368 INS] 72048 Contents: Contents include: -- Role of key parties and key contractual documentation -Requirements of project companies -- Authority requirements -- Lender requirements -- Insurer issues in PFI -- Claims -- Regulatory framework -- International developments -- Building schools for the future (BSF) -- HM Treasury insurance guidance -- Calculation of time deductible for increase in cost of working claims Abstract: The aim of this book is to assess and analyse the role that insurance plays in transactions that are categorised as part of either the Private Finance Initiative (PFI) or the Public Private

33

Partnership (PPP) concept, both of which are generic terms for the relationships formed between the private sector and public sectors.

Captives

Captives : reserving, regulation and innovation in international financial centres [copies of slides only] Morris, Ian; Poulding, Mike. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72745

Casualtybusiness

Why insurers fail : the dynamics of property and casualty insurance insolvency in Canada. Leadbetter, Darrell; Dibra, Suela. Shelved at: Per: Geneva (Oxf) 39040 Geneva Papers on Risk and Insurance (2008) 33 (3) : 464-488. Abstract: We analyze the involuntary exit of 35 property and casualty insurance companies from the Canadian insurance market over the 19602005 period, and consistent with other jurisdictions, find evidence that inadequate pricing and deficient loss reserves are the leading cause of insurer insolvency. Overall, we find that the operating environment generally provides the catalyst for insolvency, either through turbulent financial markets or reduced profitability in the industry, but most causes of involuntary exit can however be linked back to three sources within an institution: the quality and experience of governance/management, internal operational processes and risk appetite. Further, other than inadequate pricing, our results, when compared with the few studies in various jurisdictions, indicate there are few universal causes of involuntary exit across jurisdictions, and hence supervisory approaches to insurer insolvency should be flexible and adaptable to the environment. The development of international insurance. Pearson, Robin. - - London: - Pickering & Chatto, 2010. (Financial history; 15). - No. pages: 261. Shelved at: BUA/6 (Oxf) 39502 Contents: Introduction: Towards an International History of Insurance Robin Pearson -- Part I: Non-Life Insurance -- 1 The Marine Insurance Market for British Textile Exports to the River Plate and Chile, c.1810 1850 Manuel Llorca-Jaa -- 2 Actuarial Practice, Probabilistic Thinking and Actuarial Science in Private Casualty Insurance Christofer Stadlin -- 3 The Difficulties of Spanish Insurance Companies to Modernize during the Franco Years: The Mechanism of Administrative Tasks and the Introduction of the First Computers, 195070 Jernia Pons Pons -- 4 Multilateral Insurance Liberalization, 19482008 Welf Werner -- Part II: Life, Health and Social Insurance -- 5 Policyholders in the Early Business of Japanese Life Assurance: A Demand-Side Study Takau Yoneyama -- 6 Industrial Life Insurance and the Cost of Dying: The Role of Endowment and Whole Life Insurance in Anglo-Saxon and European Countries during the late Nineteenth and early Twentieth Centuries Liselotte Eriksson -- 7 From Economic to Political Reality: Forming a Nationalized Indian Life Insurance Market Adrian Jitschin -- 8 Life Offices to the Rescue! A History of the Role of Life Assurance in the South African Economy during the Twentieth Century Grietjie Verhoef -- 9 Competing Globalizations: Controversies between Private and Social Insurance at International Organizations, 190060 Martin Lengwiler

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Abstract: Despite their economic and social importance, there are relatively few book-length studies of national insurance industries. This collection of nine essays by a group of international experts redresses this balance; providing an extensive geographical and thematic spread, linked via an extensive introduction. Also present is a consolidated, multilingual bibliography, allowing further research to be undertaken around the world.

Quantifying uncertainty in reserve estimates. Rehman, Zia; Klugman, Stuart A. Shelved at: Per: Variance 39953 Variance (2010) 4 (1) : 30-46. URL: http://www.variancejournal.org/issues Abstract: Property/casualty reserves are estimates of losses and loss development and as such will not match the ultimate results. Sources of error include model error (the methodology used does not accurately reflect the development process), parameter error (incorrect model parameters), and process error (future development is random). This paper provides a comprehensive and practical methodology for quantifying risk that includes all three sources. The key feature is that variability is captured by examining historical changes in ultimate values rather than examining the underlying claim distribution. We present the conceptual framework as well as practical examples.

Catastrophe

Insurance risks from volcanic eruptions in Europe. Spence, Robin; Gunesekara, Rashmin; Zuccaro, Giulio. - London: - Willis Research Network, 2010. - No. pages: 26. 60251 URL: http://www.willisresearchnetwork.com/Lists/Publications/Attachments/64/WRN%20%20Insurance%20Risks%20from%20Volcanic%20Eruptions_Final.pdf Abstract: This paper highlights the need for a better understanding of volcanic hazards within the insurance industry and sets out some preliminary steps towards insurance risk assessment for volcanic hazards, in relation to volcanic risks in Europe. KEYWORDS: volcano, seismic, risk management, insurance, modelling Natural catastrophes and man-made disasters in 2007: high losses in Europe. Swiss Reinsurance Company. - Zurich: - Swiss Reinsurance Company, 2008. - No. pages: 44. [Faculty: SIG/SWI] 69312 Sigma (2008) 1 URL: http://www.swissre.com Contents: Summary - 3 -- Overview of catastrophes in 2007 - 5 -- Increasing flood losses - 9 -Indices for the transfer of insurance risks - 16 -- Tables for reporting year 2007 - 20 -- Tables on the major losses 1970-2007 - 40 -- Terms and selection criteria - 42 Natural disaster insurance and the equity-efficiency trade-off. Picard, Pierre. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38298 Journal of Risk and Insurance (2008) 75 (1) : 17-38. Abstract: This article investigates the role of private insurance in the prevention and mitigation of natural disasters. We characterize the equity-efficiency trade-off faced by the policymakers under imperfect information about individual prevention costs. It is shown that a competitive insurance market with actuarial rate making and compensatory tax-subsidy transfers is likely to dominate regulated uniform insurance pricing rules or state-funded assistance schemes. The model illustrates how targeted tax cuts on insurance contracts can improve the incentives to prevention while compensating individuals with high prevention costs. The article highlights the complementarity between individual incentives through tax cuts and collective incentives through grants to the local jurisdictions where risk management plans are enforced. A simple model of insurance market dynamics. Taylor, Greg C. - - Victoria: - University of Melbourne, 2008. (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 167). - No. pages: 33.

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Shelved at: BU/JH pam (Oxf) [Faculty: UNI/MEL] 69383 URL: http://www.economics.unimelb.edu.au/actwww/wps2008.shtml Abstract: The purpose of the paper is to construct and study a simple but realistic model of an insurance market. The model has a minimalist construction in the sense that the number of parameters defining it is strictly limited and the elimination of any one of them would destroy its realism. There are, in fact, 11 essential parameters. Each of the parameters has a physical interpretation. Some determine competitive effects within the market, some barriers to entry, and so on. The effect of each on various aspects of the market is examined in the presence of simulated loss experience. The aspects of the market considered include stability of premium rates, profitability, market concentration, and others. Some of the parameters are capable of use as regulatory controls. Two parameters, in addition to the original 11, are explicit price controls. Despite its simplicity, the model displays considerably complex behaviour. Some results are intuitive but some are not. For this reason, regulatory controls need to be applied with great caution lest they induce perverse effects, possibly even the reverse of those intended. The effect of the parameters on market behaviour is first studied in the absence of catastrophic events from the loss experience. Subsequently, the effect of a single such event is studied. Capitalizing on catastrophe : short selling insurance stocks around hurricanes Katrina and Rita. Blau, Benjamin M; van Ness, Robert A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38777 Journal of Risk and Insurance (2008) 75 (4) : 967-996. Abstract: We develop several hypotheses regarding short-selling activity around Hurricanes Katrina and Rita. We find that abnormal short selling does not increase until 2 trading days after the landfall of Katrina and that short-selling activity is much more significant around Rita. We find a substantial increase in short-selling activity in the trading days prior to the landfall of Rita and relatively less short-selling activity in the trading days after landfall. There is little evidence that suggests that traders short insurance stocks with more potential exposure in the Gulf region than other insurance stocks in the days before landfall. Natural catastrophes and man-made disasters in 2008: North America and Asia suffer heavy losses. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 41. [Faculty: SIG/SWI] 69494 Sigma (2009) 2 URL: http://www.swissre.com/resources/dd6346004d4e9669ac76eecedd316cf3-sigma2_2009_e.pdf Contents: Executive summary -- Overview of catastrophes in 2008 -- Natural catastrophe insurance in Asia set to grow -- How do reinsurers protect insurers from catastrophe losses? -- Table for reporting year 2008 -- Tables showing the major losses 1970-2008 -- Terms and selection criteria Hybrid cat bonds. Barrieu, Pauline; Louberg, Henri. - - No. pages: 32. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71004 Journal of Risk and Insurance (2009) 76 (3) : 547-578. Abstract: Natural catastrophes attract regularly the media attention and have become a source of public concern. From a financial viewpoint, they represent idiosyncratic risks, diversifiable at the world level. But for various reasons, reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as catastrophe (cat) bonds, have been issued to complete the international risk transfer process, but their development is disappointing so far. This article argues that downside risk aversion and ambiguity aversion explain their limited success. Hybrid cat bonds, combining the transfer of cat risk with protection against a stock market crash, are proposed to complete the market. The article shows that replacing simple cat bonds with hybrid cat bonds would lead to an increase in market volume. Catastrophe risk financing in the United States and the European Union: a comparative analysis of alternative regulatory approaches. Klein, Robert W; Wang, Shaun. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71007 Journal of Risk and Insurance (2009) 76 (3) : 607-637. Abstract: The regulation of insurance companies in the United States and the European Union (EU)

36

continues to evolve in response to market forces and the changing nature of risk but with somewhat different philosophies and at different rates. One important area where both economic realities and markets are changing is catastrophe risk and its financing. This article examines and compares regulatory and other government policies in the United States and the EU generally and their approaches to the financing of catastrophe risk specifically. It is important to understand the fundamental differences between the two systems to gain insights into their disparate treatment of catastrophe risk financing. Although policies could be improved in both jurisdictions, we argue that the much greater reform is needed in the United States relative to the EU regulatory policies that are being developed. We offer recommendations on how U.S. policies could be significantly improved as well as comment on issues facing the EU. We conclude with some observations on the needs for further progress in the U.S. and EU regulatory systems. Natural catastrophes and man-made disasters in 2009: catastrophes claim fewer victims, insured losses fall. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, [Faculty: SIG/SWI] 72285 Sigma (2010) 1 URL: http://www.swissre.com Contents: Contents include: -- Overview of catastrophes in 2009 -- Secondary perils - the often underestimated exposure -- Earthquakes disproportionately affect the emerging markets and developing economies -- Tables for reporting year 2009 -- Tables showing the major losses 1970 2009 Abstract: Natural catastrophes and man-made disasters claimed approximately 15 000 lives and cost insurers USD 26 billion in 2009. The overall cost to society was USD 62 billion. Insured losses were below average due to a calm US hurricane season. GIRO Flood Risks Working Party. GIRO Flood Risks Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). - No. pages: 121. 72701 Floods in Europe : From Weather Conditions to Insurance. Kron, Wolfgang. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72717 A simple model of insurance market dynamics [copies of slides only] Taylor, Greg. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72760 Factors affecting the price of catastrophe bonds. Papachristou, Dimitris. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72767 Introduction to Catastrophe Models and Working with their Output [copies of slides only] Evans, Richard; Kaye, Paul; Ford, Andrew. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72928 Casualty Catastrophes. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). - No. pages: 58. 72973

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UK Flood and Storm Catastrophe Modelling [copies of slides only] Sanders, David. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72984 Relying On Others - The Cat Modelling Agency Perspective [copies of slides only] Souch, Claire. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73530 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/plenary-5-claire-souch.pdf Relative entropy case studies in the application of relative entropy to economic scenario generation and catastrophe modelling [copies of slides only] Marriott, Alun; Millins, Richard. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45043 URL: http://www.actuaries.org.uk/research-and-resources/documents/e07-case-studies-application-relativeentrophy-esgs-and-catastrophe Natural catastrophes and man-made disasters in 2010: a year of devastating and costly events. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, [Faculty: SIG/SWI] 73660 Sigma (2011) 1 URL: http://www.swissre.com The government as reinsurer of catastrophe risks? Bruggeman, Veronique; Faure, Michael G.; Fiore, Karine. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45322 Geneva Papers on Risk and Insurance (2010) 35 (3) : 369-390. Abstract: Compensation for victims of catastrophes is a hot topic in many countries today. Consequently, the legislator is increasingly intervening in the catastrophe insurance market in order to stimulate its functioning. Various forms of public-private partnerships have hence developed, although law and economics scholarship has differing views on this type of government intervention. The aim of this paper is to add to that debate by, on the one hand, discussing a few specific cases where the government acts as a reinsurer of last resort or as a primary insurer, and by, on the other hand, confronting these practical examples with five main conditions that would have to be fulfilled to make government intervention efficientor at least as little disruptive as possible: market failure, the charging of risk-based premiums, the stimulation of existing market solutions, the freedom to choose for State reinsurance and the temporary character.

Catastropheinsurance

Natural catastrophes and man-made disasters in 2008: North America and Asia suffer heavy losses. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 41. [Faculty: SIG/SWI] 69494 Sigma (2009) 2 URL: http://www.swissre.com/resources/dd6346004d4e9669ac76eecedd316cf3-sigma2_2009_e.pdf Contents: Executive summary -- Overview of catastrophes in 2008 -- Natural catastrophe insurance in Asia set to grow -- How do reinsurers protect insurers from catastrophe losses? -- Table for reporting year 2008 -- Tables showing the major losses 1970-2008 -- Terms and selection criteria Catastrophe bonds and reinsurance: the competitive effect of information-insensitive triggers. Finken, Silke; Laux, Christian. - - No. pages: 27. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71006 Journal of Risk and Insurance (2009) 76 (3) : 579-605.

38

Abstract: We identify a new benefit of index or parametric triggers. Asymmetric information between reinsurers on an insurer's risk affects competition in the reinsurance market: reinsurers are subject to adverse selection, since only high-risk insurers may find it optimal to change reinsurers. The result is high reinsurance premiums and cross-subsidization of high-risk insurers by low-risk insurers. A contract with a parametric or index trigger (such as a catastrophe bond) is insensitive to information asymmetry and therefore alters the equilibrium in the reinsurance market. Provided that basis risk is not too high, the introduction of contracts with parametric or index triggers provides low-risk insurers with an alternative to reinsurance contracts, and therefore leads to less cross-subsidization in the reinsurance market. Corporate Demand for Insurance: An Empirical Analysis of the U.S. Market for Catastrophe and NonCatastrophe Risks. Michel-Kerjan, Erwann; Raschky, Paul A; Kunreuther, Howard, C. - - Innsbruck: University of Innsbruck, 2009. - (Working Papers in Economics and Statistics 2009-10). - No. pages: 37. 72190 URL: http://www.uibk.ac.at/fakultaeten/volkswirtschaft_und_statistik/forschung/wopec/repec/inn/wpaper/200910.pdf Abstract: This paper tests some existing theories developed over the past 25 years on corporate demand for insurance. Using a unique dataset of 1,809 large U.S. corporations it provides the first empirical analysis that compares corporate demand for standard property insurance and for catastrophe coverage (here, terrorism). We find that larger companies are more likely to have some catastrophe coverage. Corporate demand for catastrophe insurance is found to be more price inelastic than insurance for noncatastrophe risks. This result differs from the findings on individual demand for insurance. The terrorism insurance premium per dollar of coverage is twice as high in the New York Metropolitan area than in the rest of the U.S. Yet the price elasticity of the demand for terrorism insurance is half in this area relative to the rest of the country. Earthquake Risk, Insurance, and Recovery : Issues for Congress. King, Rawle O. - - Washington, DC: Congressional Research Service, 2010. - (CRS Report for Congress). - No. pages: 16. 72576 URL: http://assets.opencrs.com/rpts/R41109_20100312.pdf Contents: Basics of Residential Earthquake Insurance U.S. Exposure to Earthquake Risk Financing Recovery from Earthquake Losses Challenges in Financing Earthquake Loss Actuarial and Rate-Setting Difficulties Adverse Selection and Risk Spreading Tax, Accounting, and Regulatory Constraints Low Insurance Participation Is Federal Earthquake Insurance Feasible? Policy Issues and Questions Legislation Abstract: This report examines earthquake catastrophe risk and insurance in the United States in light of recent developments, particularly the devastating earthquakes in Haiti and Chile. It examines both traditional and non-traditional approaches for financing recovery from earthquake losses as well as challenges in financing catastrophe losses with insurance. The report explores the feasibility of a federal residential earthquake insurance mechanism and assesses policy implications of such a program. So far in the 111th Congress, six bills have been introduced that would broaden the federal government's role in insuring, mitigating, and financing recovery from natural catastrophes. Proposals include (1) establishing a national consortium to allow states to aggregate risk from statesponsored insurance pools and transfer such risks to the capital markets through catastrophe bonds (H.R. 2555/S. 505), (2) a provision for a tax-free accumulation of reserves to pay catastrophe losses (H.R. 998/S. 1486), (3) a Treasury program to guarantee state-issued debt (H.R. 4014/S. 886), (4) a federal reinsurance backstop (H.R. 83), (5) a provision to establish individual catastrophe savings accounts (S. 1484), and (6) establishing a bipartisan commission to examine catastrophe risks and make recommendations for the management and financing of such risks (S. 1487). On March 10, 2010, the House Subcommittee on Housing and Community Opportunity and Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises held a joint hearing on H.R. 2555. A mark up on H.R. 2555 is expected in April 2010.This report will be updated as events warrant.

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Come rain or shine : Evidence on flood insurance purchases in Florida. Michel-Kerjan, Erwann; Kousky, Carolyn. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39627 Journal of Risk and Insurance (2010) 77 (2) : 369-397. Abstract: This article provides a detailed analysis of the operation of the National Flood Insurance Program (NFIP) in Florida, which accounts for 40 percent of the NFIP portfolio. We study the demand for flood insurance with a data set of more than 7.5 million NFIP policies-in-force (the largest ever studied) for the years 20002005, as well as all NFIP claims filed in Florida. We answer four questions: What are the characteristics of the buyers of flood insurance? What types of contracts (deductibles and coverage levels) are purchased? What are the determinants of claims payments? How are prices determined and how much does NFIP insurance cost?

Catastrophereinsurance

Hybrid cat bonds. Barrieu, Pauline; Louberg, Henri. - - No. pages: 32. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71004 Journal of Risk and Insurance (2009) 76 (3) : 547-578. Abstract: Natural catastrophes attract regularly the media attention and have become a source of public concern. From a financial viewpoint, they represent idiosyncratic risks, diversifiable at the world level. But for various reasons, reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as catastrophe (cat) bonds, have been issued to complete the international risk transfer process, but their development is disappointing so far. This article argues that downside risk aversion and ambiguity aversion explain their limited success. Hybrid cat bonds, combining the transfer of cat risk with protection against a stock market crash, are proposed to complete the market. The article shows that replacing simple cat bonds with hybrid cat bonds would lead to an increase in market volume. Catastrophe bonds and reinsurance: the competitive effect of information-insensitive triggers. Finken, Silke; Laux, Christian. - - No. pages: 27. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71006 Journal of Risk and Insurance (2009) 76 (3) : 579-605. Abstract: We identify a new benefit of index or parametric triggers. Asymmetric information between reinsurers on an insurer's risk affects competition in the reinsurance market: reinsurers are subject to adverse selection, since only high-risk insurers may find it optimal to change reinsurers. The result is high reinsurance premiums and cross-subsidization of high-risk insurers by low-risk insurers. A contract with a parametric or index trigger (such as a catastrophe bond) is insensitive to information asymmetry and therefore alters the equilibrium in the reinsurance market. Provided that basis risk is not too high, the introduction of contracts with parametric or index triggers provides low-risk insurers with an alternative to reinsurance contracts, and therefore leads to less cross-subsidization in the reinsurance market. Optimal Layers for Catastrophe Reinsurance. Fu, Luyang; Khury, C K (Stan). Shelved at: Per: Variance 45069 Variance (2011) 4 (2) : 191-208. URL: http://www.variancejournal.org/issues Abstract: Insurers purchase catastrophe reinsurance primarily to reduce underwriting risk in any one experience period and thus enhance the stability of their income stream over time. Reinsurance comes at a cost and therefore it is important to maintain a balance between the perceived benefit of buying catastrophe reinsurance and its cost. This study presents a methodology for determining the optimal catastrophe reinsurance layer by maximizing the risk-adjusted underwriting profit within a classical mean-variance framework. From the perspective of enterprise risk management, this paper improves the existing literature in two ways. First, it considers catastrophe and noncatastrophe losses simultaneously. Previous studies focused on catastrophe losses only. Second, risk is measured by lower partial moment which

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we believe is a more reasonable and flexible measure of risk compared to the traditional variance and Value at Risk (VaR) approaches. The government as reinsurer of catastrophe risks? Bruggeman, Veronique; Faure, Michael G.; Fiore, Karine. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45322 Geneva Papers on Risk and Insurance (2010) 35 (3) : 369-390. Abstract: Compensation for victims of catastrophes is a hot topic in many countries today. Consequently, the legislator is increasingly intervening in the catastrophe insurance market in order to stimulate its functioning. Various forms of public-private partnerships have hence developed, although law and economics scholarship has differing views on this type of government intervention. The aim of this paper is to add to that debate by, on the one hand, discussing a few specific cases where the government acts as a reinsurer of last resort or as a primary insurer, and by, on the other hand, confronting these practical examples with five main conditions that would have to be fulfilled to make government intervention efficientor at least as little disruptive as possible: market failure, the charging of risk-based premiums, the stimulation of existing market solutions, the freedom to choose for State reinsurance and the temporary character.

Chainladdermethods

Prediction error of the multivariate chain ladder reserving method. Merz, Michael; Wthrich, Mario V. - 2008. No. pages: 23. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69476 North American Actuarial Journal (2008) 12 (2) : 175-197. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2-merzwuthrich.pdf Abstract: In this paper we consider the claims reserving problem in a multivariate context: that is, we study the multivariate chain-ladder (CL) method for a portfolio of N correlated runoff triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual runoff subportfolios and facilitates the derivation of an estimator for the mean square error of prediction (MSEP) for the CL predictor of the ultimate claim of the total portfolio. However, unlike the already existing approaches we replace the univariate CL predictors with multivariate ones. These multivariate CL predictors reflect the correlation structure between the subportfolios and are optimal in terms of a classical optimality criterion, which leads to an improvement of the estimator for the MSEP. Moreover, all formulas are easy to implement on a spreadsheet because they are in matrix notation. We illustrate the results by means of an example. A robustification of the chain-ladder method. Verdonck, Tim; Van Wouwe, Martine; Dhaene, Jan. - 2009. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 69808 North American Actuarial Journal (2009) 13 (2) : 280-298. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: In a non-life insurance business an insurer often needs to build up a reserve to be able to meet his or her future obligations arising from incurred but not reported completely claims. To forecast these claims reserves, a simple but generally accepted algorithm is the classical chainladder method. Recent research essentially focused on the underlying model for the claims reserves to come to appropriate bounds for the estimate of future claims reserves. Our research concentrates on scenarios with outlying data. On closer examination it is demonstrated that the forecasts for future claims reserves are very dependent on outlying observations. The paper focuses on two approaches to robustify the chain-ladder method: the first method detects and adjusts the outlying values, whereas the second method is based on a robust generalized linear model technique. In this way insurers will be able to find a reserve that is similar to the reserve they would have found if the data contained no outliers. Because the robust method flags the outliers, it is possible to examine these observation for further examination. For obtaining the corresponding standard errors the bootstrapping technique is applied. The robust chain-ladder method is applied to several run-off triangles with and without outliers, showing its excellent performance.

41

Chain Ladder Forecast Efficiency. Taylor, Greg. - - Victoria: - University of Melbourne, 2009. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 183). - No. pages: 22. Shelved at: online only [Faculty: online only] 69974 URL: http://econ.unimelb.edu.au/SITE/actwww/ActHome.shtml Abstract: The paper considers two models of a claim triangle, for both of which the chain ladder algorithm for loss reserving is maximum likelihood. Section 4 examines the relation between them in terms of fitted values and forecasts. Later sections consider the prediction efficiency of the CL algorithm. For one model, the algorithm is found to be minimum variance unbiased; for the other, it is biased but, if corrected for bias, is also minimum variance unbiased (Section 5). The minimum variance unbiased estimators are also minimum prediction error unbiased forecasts (Section 6). Keywords: Chain ladder, maximum likelihood, minimum prediction error, minimum variance unbiased estimator, over-dispersed Poisson. The Munich chain-ladder method: a Bayesian approach. De Alba, Enrique. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-07). - No. pages: 32. Shelved at: Online only [Faculty: Online only] 69981 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In non-life insurance the traditional chain-ladder method for claims reserving is widely used and its results frequently serve as benchmark. From the actuarial point of view, reserving is a problem of estimation, or more precisely, forecasting. As in many fields the estimation or prediction methods can range from very simple deterministic techniques to some very sophisticated ones, based on stochastic models. This has also been the case with the chain-ladder method. In its initial form it is a simple deterministic procedure, but it has given rise to numerous developments that intend to provide stochastic formulations that in some way reproduce those of the deterministic scheme while satisfying stochastic assumptions that allow the user to evaluate his results. One of the most recent formulations of the chain-ladder method is the Munich Chain Ladder (MCL) which is aimed at optimizing the simultaneous use of paid and incurred claims data. While both of these sources of claims data should lead to the same ultimate claims they typically produce different results. To date several modifications to this method have been proposed. In this paper we present a Bayesian approach to the MCL and compare the results to other formulations. Computations are carried out via MCMC using WinBUGS. Mean square error of prediction in the Bornhuetter-Ferguson claims reserving method. Alai, D H; Merz, M; Wthrich, M V. - - Faculty of Actuaries and Institute of Actuaries, Shelved at: Per: AAS (Oxf); Per: AAS (Lon) 71997 Annals of Actuarial Science (2009) 4 (1) : 7-31. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due to their simplicity, the chain ladder (CL) and Bornhuetter-Ferguson (BF) methods are the most commonly used claims reserving methods in practice. However, in contrast to the CL method, no estimator for the conditional mean square error of prediction (MSEP) of the ultimate claim has been derived in the BF method until now, and as such, this paper aims to fill that gap. This will be done in the framework of generalized linear models (GLM) using the (overdispersed) Poisson model motivation for the use of CL factor estimates in the estimation of the claims development pattern. Keywords: Claims Reserving; Bornhuetter-Ferguson; Overdispersed Poisson Distribution; Chain Ladder Method; Generalized Linear Models; Conditional Mean Square Error of Prediction Chain-ladder as maximum likelihood revisited. Kuang, D; Nielsen, B; Nielsen, J P. - - Faculty of Actuaries and Institute of Actuaries, - No. pages: 17. Shelved at: Per: AAS (Oxf); Per: AAS (Lon) 72000 Annals of Actuarial Science (2009) 4 (1) : 105-121. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. The maximum likelihood estimators for the canonical parameter are simple, interpretable and easy to derive. The boundary problem where all observations in one particular development year or on particular underwriting year

42

is zero is also analysed. Keywords: Boundary Problem; Canonical Parameter; Chain-Ladder; Identification Problem; Maximum Likelihood; Poisson Model Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance. Cowell, Robert. - - London: - Cass Business School, 2009. - (Actuarial Research Paper No. 192). - No. pages: 55. 72093 URL: http://www.cass.city.ac.uk/facact/research/reports/192ARP.pdf Contents: Contents include: -- The chain ladder technique -- Standard formalism -- Non-standard formalism -- Equivalence of the two approaches -- The Local Chain Ladder Bootstrap method -The horizontal method -- The vertical method -- The mixed method -- Application to historical data sets -- A simulation study -- Schiegl's triangle simulation method -- Kaishev's triangle simulation method Abstract: This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models. Keywords: Stochastic claims reserving; chain ladder; non parametric; bootstrap; distribution of reserves. Robust forecasting in the extended chain-ladder model. Kuang, D; Nielsen, B; Nielsen, J P. - - London: - Cass Business School, 2009. - No. pages: 20. 39498 URL: http://www.actuaries.org.uk/research-and-resources/documents/robust-forecasting-extended-chainladder-model Abstract: Chain-ladder-type models extended with a calender effect are used for reserving in general insurance. We consider forecasting of reserves in a situation where the calendar parameters change out of sample. It is shown that methods for forecasting non-stationary time series are helpful. External information, if present, may help investigators choose between ro-bust forecasts. The techniques are illustrated using a reserving dataset from general insurance. Keywords: Calendar effect, canonical parameter, extended chain-ladder, identification problem, robust forecasting. Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance. Cowell, Robert. - - London: - Cass Business School, 2009. - No. pages: 48. 39500 URL: http://www.actuaries.org.uk/research-and-resources/documents/exploration-novel-bootstrap-techniqueestimating-distribution-outst Abstract: This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models. Bayesian Approach for Prediction Error in Chain-Ladder Claims Reserving [copies of slides only] Yao, Ji. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72945

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Combining chain-ladder and additive loss reserving methods for dependent lines of business. Merz, Michael; Wuthrich, Mario. Shelved at: Per: Variance 39961 Variance (2009) 3 (2) : 270-291. URL: http://www.variancejournal.org/issues Abstract: Often in non-life insurance, claim reserves are the largest position on the liability side of the balance sheet. Therefore, the estimation of adequate claim reserves for a portfolio consisting of several run-off subportfolios is relevant for every non-life insurance company. In the present paper we provide a framework in which we unify the multivariate chain-ladder (CL) model and the multivariate additive loss reserving (ALR) model into one model. This model allows for the simultaneous study of individual run-off subportfolios in which we use both the CL method and the ALR method for different subportfolios. Moreover, we derive an estimator for the conditional mean square error of prediction (MSEP) for the predictor of the ultimate claims of the total portfolio. The chain ladder and tweedie distributed claims data. Taylor, Greg. Shelved at: Per: Variance 39966 Variance (2009) 3 (1) : 96-104. URL: http://www.variancejournal.org/issues Abstract: The paper considers a model with multiplicative accident period and development period effects, and derives the ML equations for parameter estimation in the case that the distribution of each cell of the claims triangle is a general member of the Tweedie family. This yields someknown special cases, e.g., over-dispersed Poisson (ODP) distribution (Tweedie parameter p = 1), for which the chain ladder algorithm is known to provide maximum likelihood (ML) parameter estimates, and gamma distribution (p = 2). The intermediate cases (1 < p < 2) represent compound Poisson cell distributions with gamma severity distributions. While ML estimates are not chain ladder for Tweedie distributions other than ODP, the paper investigates why they will be close to chain ladder under certain circumstances. It is also demonstrated that the ML estimates for the general Tweedie case can be obtained by application of the chain ladder algorithm to transformed data. This is illustrated numerically. Prediction uncertainty in the Bornhuetter-Ferguson claims reserving method: revisited. Alai, D H; Merz, M; Wuthrich, M V. - - Faculty of Actuaries and Institute of Actuaries. Cambridge University Press, Shelved at: Per: AAS (Oxf); Per: AAS (Lon) 39998 Annals of Actuarial Science (2011) 5 (1) : 7-17. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: We revisit the stochastic model of Alai et al. (2009) for the Bornhuetter-Ferguson claims reserving method, Bornhuetter & Ferguson (1972). We derive an estimator of its conditional mean square error of prediction (MSEP) using an approach that is based on generalized linear models and maximum likelihood estimators for the model parameters. This approach leads to simple formulas, which can easily be implemented in a spreadsheet. Munich Chain Ladder: A Reserving Method that Reduces the Gap between IBNR Projections Based on Paid Losses and IBNR Projections Based on Incurred Losses. Quarg, Gerhard; Mack, Thomas. Shelved at: Per: Variance 45075 Variance (2008) 2 (2) : 266-299. URL: http://www.variancejournal.org/issues Abstract: The IBNR reserve for a portfolio is usually calculated on the basis of both the run-off triangle of paid losses and the run-off triangle of incurred losses, i.e. the sum of paid losses and case reserves. Often, the priblem arises that the projection based on paid losses is far different than the projection based on incurred losses. Even worse, paid losses may yield a higher ultimate loss projection than incurred losses in one accident year, but in the next accident year, the situation may be entirely reversed, with incurred losses yielding the higher projection of ultimate loss. This paper analyses this problem with regard to the chain ladder method, using examples and generally valid equations, and describes a solution: the Munich chain ladder method. More precisely, the paper shows that between paid losses and incurred losses there are almost always correlations that are ignored in the usual procedure of making a separate chain ladder projection for each of the paid-loss and incurred-loss triangles. The Munich chain ladder method, on the other hand, takes advantage of these correlations, transferring any conjunction of paid and incurred losses that

44

occurred in the past into the projection for the future. This paper presents in detail the properties, theoretical bases and capability of the new method, using numerous graphs and a fully elaborated example.

Change

Re-think : How to think differently [copies of slides only] Barlow, Nigel. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73525 URL: http://www.actuaries.org.uk/research-and-resources/documents/pl3-rising-challenge

Channelsofdistribution

A comparison of Bancassurance and traditional insurer sales channels. Chang, Pang-Ru; Peng, Jin-Lung; Fan, Chiang Ku. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39977 Geneva Papers on Risk and Insurance (2011) 36 (1) : 76-93. Abstract: Although various sales channels exist for insurance products, no existing research compares their sales efficiency. This study offers a comparison of bancassurance and traditional sales channels in Taiwan. Using a data envelopment analysis approach, this study first computes the efficiencies of bancassurance and traditional sales channels separately. The efficiency score of the traditional sales channel is significantly higher than that of a comparable bancassurance channel. Furthermore, the efficiency relationship between the bancassurance and the traditional sales channels is independent. These findings have significant implications for the insurance industry and ongoing research in this field.

China

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf Contents: Introduction - 4 Focus on Emerging Issues in Global Risk - 6 Assessing Global Risks in 2008 - 20 Networked World, Networked Risks - 25 Financial Markets, Risk Transfer and Risk Mitigation - 30 Structuring Mitigation at the State and International Level: Taking the Country Risk Officer Forward 36 Conclusion - 39 Appendix 1: Taxonomy of Global Risk: Trends, Issues of Concern, Risks - 41 Appendix 2: Risk Assessments - 45 Contributors - 52 Participants - 53 The Chinese insurance market : estimating its long-term growth and size. Zheng, Wei; Liu, Yongdong; Dickinson, Gerry. Shelved at: Per: Geneva (Oxf) 39041 Geneva Papers on Risk and Insurance (2008) 33 (3) : 489-506. Abstract: The mid-term and long-term growth potential of China's insurance industry is a subject of

45

significant interest to governments, business and academia. In this paper, the "world insurance growth curve" is used in conjunction with estimates of China's future GDP growth to estimate the growth and size of China's insurance industry for the period 20062020. There are clearly other factors social, political, cultural, demographic and market structure that also have an impact, but other empirical studies have shown that the key factor in the long term is growth and development of the overall economy. Assuming that China's GDP grows over that period at a rate of 69 percent per year, we conclude that the possible range of China's insurance industry growth rate would be 7.7 17.9 percent, with a more likely range of 9.814.8 percent. In the median scenario, the average annual real growth rate for China's insurance industry during the period 20062020 would be 12.3 percent. Thus, by the year 2020, the size of China's insurance market would be 5.7 times of that of 2005, and the overall insurance penetration would be 5.6 percent, with 4 percent for life insurance and 1.6 percent for non-life insurance. The growth rate of China's insurance industry during the period 20062020 would be almost double the world average and by 2020, China's share of the world insurance market would be about 4.0 percent. WTO and the Chinese insurance industry. Leverty, J Tyler; Lin, Yijia; Zhou, Hao. Shelved at: Per: Geneva (Oxf) 39301 Geneva Papers on Risk and Insurance (2009) 34 (3) : 440-465. Abstract: This paper provides new information on the impact of the entry of foreign firms on a financial services industry by examining the Chinese insurance industry surrounding China's accession to the World Trade Organization (WTO). Our analysis reveals that insurers experienced significant growth in total factor productivity over the sample period. We also observe a structural improvement in efficiency after WTO accession, but geographic and product market restrictions placed on foreign firms reduce these positive effects. Overall, the results are consistent with there being a significant increase in social welfare during our sample period, but they also lend support for further deregulation. The Insurance Industry steps forward under the flag of Deng Xiao PIng [copies of slides only] Campbell, David. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72716

Citationanalysis

A Citation Analysis of Risk, Insurance, and Actuarial Research: 2001 Through 2005. Colquitt, L Lee; Sommer, David W; Ferguson, William L. - - No. pages: 21. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71781 Journal of Risk and Insurance (2009) 76 (4) : 933-953. Abstract: The bibliographies of 17 risk journals were evaluated to determine the relative influence of these risk journals on risk, insurance, and actuarial research published during the years 2001 through 2005. Tables are provided that show the frequency with which each of these journals cites itself and the other sample journals. The journals are ranked, within two groups (risk and insurance group and actuarial group), based on their total influence (total citations including and excluding selfcitations) and their per article influence (per article citations including and excluding self-citations). Finally, the most frequently cited articles from each risk journal are reported.

Claimfrequency

Can accident rates be reduced? : A study of the plastics and rubber industry. Mander, Dean. Shelved at: Per: IRP 38280 Insurance Research and Practice (2008) 4 : i-viii. URL: http://www.cii.co.uk/knowledge/irp/irp_2008_04.pdf Abstract: Can accident rates be reduced? To consider this I have reviewed employers' liability claims for one trade sector, comparing them to external statistics to highlight trends and find areas that

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could bring further improvements. If a company only experiences one claim, is it natural to think it is a 'one off'? The study produces a profile for an accident: mainly occurring in the first 2.5 years of employment, regardless of age, with inadequate risk assessment and only brief, undocumented training or instruction for a task. A further rise in accidents is seen where employment period exceeds 10 years. Both findings highlight training needs. This should be adequately documented for successful defence of a claim. In light of this, it is recommended that length of service is recorded within accident book entries and be a formal part of reporting under the Reporting of Injuries, Diseases and Dangerous Occurrences Regulations 1995 (RIDDOR). Trends could be highlighted before claims are received and this would enable individual companies to review work practices and training methods as an aid to prevention. Discussing and sharing the results could help prevent future accidents occurring. Although the study relates to the plastics and rubber sector, the issues could equally relate to other industries. An extension or Arrow's results on optimal reinsurance contract. Kaluszka, Marek; Okolewski, Andrzej. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38287 Journal of Risk and Insurance (2008) 75 (2) : 275-288. Abstract: We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited stop loss and the truncated stop loss are the optimal contracts. Nonlife actuarial models : Theory, methods and evaluation. Tse, Yiu-Kuen. - - Cambridge: - Cambridge University Press, 2009. - (International Series on Actuarial Science). - No. pages: 524. Shelved at: BX/UGJ/TK (Oxf) [Faculty: 368.01 TSE] 39313 URL: http://www.openathens.net/ Contents: Claim-frequency distribution -- Claim-severity distribution -- Aggregate-loss models -- Risk measures -- Ruin theory -- Classical credibility -- Buhlmann credibility -- Bayesian approach -Empirical implementation of credibility -- Model estimation and types of data -- Nonparametric model estimation -- Parametric model estimation -- Model evaluation and selection -- Basic Monte Carlo methods -- Applications of Monte Carlo methods -- Review of statistical tools Abstract: Gives complete syllabus coverage for Exam C of the Society of Actuaries (SOA), while emphasizing the concepts and practical application of nonlife actuarial models. Topics include: modeling of losses, risk and ruin theory, credibility theory and applications, and empirical implementation of loss models. Also covers more recent topics such as risk measures and bootstrapping.

Claimfrequencymodels

Actuarial applications of a hierarchical insurance claim model. Frees, Edward W; Shi, Peng Shi; Valdez, Emiliano A. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 39281 ASTIN Bulletin (2009) 39 (1) : 165-197. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: This paper demonstrates actuarial applications of modern statistical methods that are applied to detailed, micro-level automobile insurance records. We consider 1993-2001 data consisting of policy and claims files from a major Singaporean insurance company. A hierarchical statistical model, developed in prior work (Frees and Valdez (2008)), is fit using the micro-level data. This model allows us to study the accident frequency, loss type and severity jointly and to incorporate individual characteristics such as age, gender and driving history that explain heterogeneity among policyholders. Based on this hierarchical model, one can analyze the risk profile of either a single policy (microlevel) or a portfolio of business (macro-level). This paper investigates three types of actuarial applications. First, we demonstrate the calculation of the predictive mean of losses for individual risk rating. This allows the actuary to differentiate prices based on policyholder characteristics. The nonlinear effects of coverage modifications such as deductibles, policy limits and coinsurance are quantified. Moreover, our flexible structure allows us to 'unbundle' contracts and price more primitive

47

elements of the contract, such as coverage type. The second application concerns the predictive distribution of a portfolio of business. We demonstrate the calculation of various risk measures, including value at risk and conditional tail expectation, that are useful in determining economic capital for insurance companies. Third, we examine the effects of several reinsurance treaties. Specifically, we show the predictive loss distributions for both the insurer and reinsurer under quota share and excess-of-loss reinsurance agreements. In addition, we present an example of portfolio reinsurance, in which the combined effect of reinsurance agreements on the risk characteristics of ceding and reinsuring company are described. The predictive distribution for a Poisson claims model. Barnett, Glen; Tong, Angela. - - Sydney: - Macquarie University, 2008. - (Department of Actuarial Studies, Macquarie University, Research Paper no. 2008/01). No. pages: 17. Shelved at: online only [Faculty: online only] 69958 URL: http://www.acst.mq.edu.au/research/research_papers Abstract: We give a derivation of the frequentist predictive distribution for a simple Poisson model, show how this simple model may be adapted to fit a claim count triangle, and demonstrate how the predictive distribution of aggregates of future claim counts may be computed for the adapted model. Quantiles and prediction intervals are readily obtained. Quasi-Poisson models for incremental paid losses are commonly used in reserving and risk capital calculations. The results in this paper may readily be extended to that situation for a similar model to the one applied to claim counts. Number of Accidents or Number of Claims? An Approach with Zero-Inflated Poisson Models for Panel Data. Boucher, Jean-Philippe; Denuit, Michel; Guillen, Montserrat. - - No. pages: 26. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71776 Journal of Risk and Insurance (2009) 76 (4) : 821-846. Abstract: The hunger for bonus is a well-known phenomenon in insurance, meaning that the insured does not report all of his accidents to save bonus on his next year's premium. In this article, we assume that the number of accidents is based on a Poisson distribution but that the number of claims is generated by censorship of this Poisson distribution. Then, we present new models for panel count data based on the zero-inflated Poisson distribution. From the claims distributions, we propose an approximation of the accident distribution, which can provide insight into the behavior of insureds. A numerical illustration based on the reported claims of a Spanish insurance company is included to support this discussion. Model Selection and Claim Frequency for Workers Compensation Insurance. Cui, Jisheng; Pitt, David; Qian, Guoqi. - - Victoria: - University of Melbourne, 2009. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 193). - No. pages: 30. 72122 URL: http://mercury.ecom.unimelb.edu.au/SITE/actwww/wps2009/193.pdf Abstract: We consider a set of workers compensation insurance claim data where the aggregate number of losses (claims) reported to insurers are classified by year of occurrence of the event causing loss, the US state in which the loss event occurred and the occupation class of the insured workers to which the loss count relates. An exposure measure, equal to the total payroll of observed workers in each three-way classification, is also included in the dataset. Data are analysed across ten different states, 24 different occupation classes and seven separate observation years. A multiple linear regression model, with only predictors for main effects, could be estimated in 223+9+1+1 = 234 ways, theoretically more than 17 billion different possible models! In addition, one might expect that the number of claims recorded in each year in the same state and relating to the same occupation class, are positively correlated. Different modelling assumptions as to the nature of this correlation should also be considered. On the other hand it may reasonably be assumed that the number of losses reported from different states and from different occupation classes are independent. Our data can therefore be modelled using the statistical techniques applicable to panel data and we work with generalised estimating equations (GEE) in the paper. For model selection, Pan (2001) suggested the use of an alternative to the AIC, namely the quasi-likelihood under independence model criterion (QIC), for model comparison. This paper develops and applies a Gibbs sampling algorithm for efficiently locating, out of the more than 17 billion possible models that could be considered for the analysis, that model with the optimal (least) QIC value. The technique is illustrated using both a simulation study and using workers compensation insurance claim data.

48

Keywords: Model selection; QIC; Longitudinal study; Workers compensation insurance; Gibbs sampler A clearer view on claims. Gravelsons, Brian. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39676 The Actuary (2010) August : 28-30. URL: http://www.the-actuary.org.uk Abstract: Brian Gravelsons presents the findings of the Asbestos Working Party's recently published claims projections.

Claims

Stochastic claims reserving methods in insurance. Wuthrich, Mario V; Merz, Michael. - - Chicester: - John Wiley & Sons, 2008. - No. pages: 424. Shelved at: BXD/UGJ (Oxf) 38041 Abstract: Claims reserving is central to the insurance industry. Insurance liabilities depend on a number of different risk factors which need to be predicted accurately. This prediction of risk factors and outstanding loss liabilities is the core for pricing insurance products, determining the profitability of an insurance company and for considering the financial strength (solvency) of the company. Following several high-profile company insolvencies, regulatory requirements have moved towards a risk-adjusted basis which has lead to the Solvency II developments. The key focus in the new regime is that financial companies need to analyze adverse developments in their portfolios. Reserving actuaries now have to not only estimate reserves for the outstanding loss liabilities but also to quantify possible shortfalls in these reserves that may lead to potential losses. Such an analysis requires stochastic modeling of loss liability cash flows and it can only be done within a stochastic framework. Therefore stochastic loss liability modeling and quantifying prediction uncertainties has become standard under the new legal framework for the financial industry. This book covers all the mathematical theory and practical guidance needed in order to adhere to these stochastic techniques. Starting with the basic mathematical methods, working right through to the latest developments relevant for practical applications; readers will find out how to estimate total claims reserves while at the same time predicting errors and uncertainty are quantified. Accompanying datasets demonstrate all the techniques, which are easily implemented in a spreadsheet. A practical and essential guide, this book is a must-read in the light of the new solvency requirements for the whole insurance industry Estimating the cost of equity for property-liability insurance companies. Wen, Min-Ming; Martin, Anna D; Lai, Gene; O'Brien, Thomas J. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38302 Journal of Risk and Insurance (2008) 75 (1) : 101-124. Abstract: Due to the highly skewed and heavy-tailed distributions associated with the insurance claims process, we evaluate the Rubinstein-Leland (RL) model for its ability to improve the cost of equity estimates of insurance companies because of its distribution-free feature. Our analyses show that there is as large as a 94-basis-point difference in the estimated cost of insurance equity between the RL model and the capital asset pricing model (CAPM) for the sample of property-liability insurers with more severe departures from normality. In addition, consistent with our hypotheses, significant differences in the market risk estimates are found for insurers with return distributions that are asymmetrically distributed, and for small insurers. Third, we find significant performance improvements from using the RL model by showing smaller values of excess return of the expected return of the portfolio to the model return for a portfolio of insurers with returns that are more skewed and for a portfolio of small insurers. Finally, our panel data analysis shows the differences in the market risk estimates are significantly influenced by firm size, degree of leverage, and degree of asymmetry. The implication is that insurers should use the RL model rather than the CAPM to estimate its cost of capital if the insurer is small (assets size is less than $2,291 million), and/or its returns are not symmetrical (the value of skewness is greater than 0.509 or less than -0.509).

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Litigation Patterns in Automobile Bodily Injury Claims 19771997: Effects of Time and Tort Reforms. Browne, Mark J; Schmit, Joan T. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38133 Journal of Risk and Insurance (2008) 75 (1) : 83-100. Abstract: This study uses data from the Insurance Research Council to investigate changes in the use of attorneys and in the filing of legal claims to resolve automobile third-party bodily injury claims between 1977 and 1997. We find results consistent with the general public perception that the use of attorneys and the filing of legal claims have increased over the study period. In addition, we find evidence that tort reforms enacted by the states have slowed the rates of increase in the use of attorneys and in the filing of legal claims to resolve automobile insurance claim disputes. Posterior Regret G-Minimax Estimation of Insurance Premium in Collective Risk Model. BORATYNSKA, Agata. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 38425 ASTIN Bulletin (2008) 38 (1) : 277-291. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: The collective risk model for the insurance claims is considered. The objective is to estimate a premium which is defined as a functional H specified up to an unknown parameter (the expected number of claims). Four principles of calculating a premium are applied. The Bayesian methodology, which combines the prior knowledge about a parameter with the knowledge in the form of a random sample is adopted. Two loss functions (the square-error loss function and the asymmetric loss function LINEX) are considered. Some uncertainty about a prior is assumed by introducing classes of priors. Considering one of the concepts of robust procedures the posterior regret G-minimax premiums are calculated, as an optimal robust premiums. A numerical example is presented. An Empirical Analysis of the Effects of Increasing Deductibles on Moral Hazard. Wang, Jennifer L; Chung, Chin-Fan; Tzeng, Larry Y. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38589 Journal of Risk and Insurance (2008) 75 (3) : 551-566. Abstract: Using information on timing and number of claims in a unique data set pertaining to comprehensive automobile insurance with the increasing deductible provision in Taiwan, the authors provide new evidence for moral hazard. Time-varying correlations between the choice of the insurance coverage and claim occurrence are significantly positive and exhibit a smirk pattern across policy months. This empirical finding supports the existence of asymmetric information. A subsample estimation depicts insured drivers' significant responses to increasing deductibles, which implies the existence of moral hazard. According to the probit regression results, the increasing deductible makes policyholders who have ever filed claims less likely to file additional claims later in the policy year. The empirical findings strongly support the notion that the increasing deductible provision helps control moral hazard. Prediction error of the multivariate chain ladder reserving method. Merz, Michael; Wthrich, Mario V. - 2008. No. pages: 23. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69476 North American Actuarial Journal (2008) 12 (2) : 175-197. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2-merzwuthrich.pdf Abstract: In this paper we consider the claims reserving problem in a multivariate context: that is, we study the multivariate chain-ladder (CL) method for a portfolio of N correlated runoff triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual runoff subportfolios and facilitates the derivation of an estimator for the mean square error of prediction (MSEP) for the CL predictor of the ultimate claim of the total portfolio. However, unlike the already existing approaches we replace the univariate CL predictors with multivariate ones. These multivariate CL predictors reflect the correlation structure between the subportfolios and are optimal in terms of a classical optimality criterion, which leads to an improvement of the estimator for the MSEP. Moreover, all formulas are easy to implement on a spreadsheet because they are in matrix notation. We illustrate the results by means of an example.

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Recursions for convolutions and compound distributions with insurance applications. Sundt, Bjorn; Vernic, Raluca. - - Heidelberg: - Springer-Verlag, 2009. - (EAA Lecture Notes). - No. pages: 345. Shelved at: UG (Oxf) 39006 Abstract: Since 1980, methods for recursive evaluation of aggregate claims distributions have received extensive attention in the actuarial literature. This book gives a unified survey of the theory and is intended to be self-contained to a large extent. As the methodology is applicable also outside the actuarial field, it is presented in a general setting, but actuarial applications are used for motivation. The book is divided into two parts. Part I is devoted to univariate distributions, whereas in Part II, the methodology is extended to multivariate settings. Primarily intended as a monograph, this book can also be used as text for courses on the graduate level. Suggested outlines for such courses are given. The book is of interest for actuaries and statisticians working within the insurance and finance industry, as well as for people in other fields like operations research and reliability theory. Individual claim loss reserving conditioned by case estimates. Taylor, Greg; McGuire, Grainne; Sullivan, James. - - No. pages: 52. Shelved at: Per: AAS (Oxf); Per: AAS (Lon) [Faculty: JOU/AAS] 39272 Annals of Actuarial Science (2008) 3 (1+2) : 215-256. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: This paper examines various forms of individual claim model for the purpose of loss reserving, with emphasis on the prediction error associated with the reserve. Each form of model is calibrated against a single extensive data set, and then used to generate a forecast of loss reserve and an estimate of its prediction error. The basis of this is a model of the paids type, in which the sizes of strictly positive individual finalised claims are expressed in terms of a small number of covariates, most of which are in some way functions of time. Such models can be found in the literature. The purpose of the current paper is to extend these to individual claim incurreds models. These are constructed by the inclusion of case estimates in the model's conditioning information. This form of model is found to involve rather more complexity in its structure. For the particular data set considered here, this did not yield any direct improvement in prediction error. However, a blending of the paids and incurreds models did so. Keywords: Case Estimate; GLM; Individual Claim Model; Loss Reserving; Prediction Error; Statistical Case Estimation

Recycling denials management into revenue cycle in general insurance business - a missed requirement. Pathak, Girijesh. Shelved at: Per: Bimaquest (Oxf) 39309 Bimaquest (2009) 9 (2) : 33-37. Abstract: Denial of claims has impact on business from retail insurance products. It may help in meeting the bottom line but, if not managed effectively, can also make meeting the top line very difficult. And effective denial management requires data capture and analysis at different stages of Insurance cycle. These processes have been automated or are being automated in Insurance companies. To strengthen the analytics, Business Intelligence (BI) solutions are being preferred. In most of the projects related to such technology implementation, the focus somehow gets restricted to the common processes and the problems faced in that. However, some systematic effort in determining the possibility-based requirement has great potential for return. Denial management is one of such requirement, which is commonly overlooked during technology implementation. This article discusses about that and also tries to list some most important key performance indicators (KPI) related to denial management. This can provide a useful start in requirement determination in any Business Intelligence implementation project in Insurance company. Chain Ladder Forecast Efficiency. Taylor, Greg. - - Victoria: - University of Melbourne, 2009. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 183). - No. pages: 22. Shelved at: online only [Faculty: online only] 69974 URL: http://econ.unimelb.edu.au/SITE/actwww/ActHome.shtml Abstract: The paper considers two models of a claim triangle, for both of which the chain ladder algorithm for loss reserving is maximum likelihood. Section 4 examines the relation between them in terms of fitted values and forecasts. Later sections consider the prediction efficiency of the CL

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algorithm. For one model, the algorithm is found to be minimum variance unbiased; for the other, it is biased but, if corrected for bias, is also minimum variance unbiased (Section 5). The minimum variance unbiased estimators are also minimum prediction error unbiased forecasts (Section 6). Keywords: Chain ladder, maximum likelihood, minimum prediction error, minimum variance unbiased estimator, over-dispersed Poisson. Perturbed MAP risk models with dividend barrier strategies. Cheung, Eric C. K.; Landriault, David. - - Ontario: University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-11). - No. pages: 20. Shelved at: Online only [Faculty: Online only] 69985 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In the context of a dividend barrier strategy, we analyze the moments of the discounted dividend payments and the expected discounted penalty function for surplus processes with a claim arrival process of a Markovian type. We show that a relationship similar to the dividend-penalty identity of Gerber et al. (2006) can be derived for the class of perturbed MAP surplus processes, extending in the process some results of Li and Lu (2007b) in the context of the Markov-modulated risk model. Also, we revisit the same ruin-related quantities in an identical MAP risk model with the only exception that the barrier level effective at a time, say t, depends on the state of the underlying environment at time t. Similar relationships are investigated and derived. Numerical examples are then considered to illustrate the applicability of our main results. Dependent risk models with bivariate phase-type distributions. Badescu, Andrei L; Cheung, Eric C. K.; Landriault, David. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-12). - No. pages: 22. Shelved at: Online only [Faculty: Online only] 69986 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In this paper, we consider an extension of the Sparre Andersen insurance risk model by relaxing one of its well-known independence assumptions. The newly proposed dependence structure is introduced through the premise that the joint distribution of the interclaim time and the subsequent claim size is bivariate phase-type (see e.g. Assaf et al. (1984) and Kulkarni (1989)). Relying on the existing connection between risk processes and fluid flows (see e.g. Badescu et al. (2005, 2007), Ramaswami (2006) and Ahn et al. (2007)), we construct an analytically tractable fluid flow that allows the analysis of various ruin-related quantities in the surplus process of interest. Using matrix analytic methods, we obtain an explicit expression for the Gerber-Shiu discounted penalty function (see Gerber and Shiu (1998)) when the penalty depends only on the deficit at ruin. Finally, we investigate how some ruinrelated quantities involving the surplus immediately prior to ruin can also be analyzed via our fluid flow methodology. Analysis of a generalized penalty function in a semi-Markovian risk model. Cheung, Eric C. K.; Landriault, David. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-13). - No. pages: 23. Shelved at: Online only [Faculty: Online only] 69987 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In this paper, an extension of the semi-Markovian risk model studied by Albrecher and Boxma (2005) is considered by allowing for general interclaim times. In such a model, we follow the ideas of Cheung et al. (2008b) and consider a generalization of the Gerber-Shiu function (see Gerber and Shiu (1998)) by incorporating two more random variables in the traditional penalty function, namely the minimum surplus level before ruin and the surplus level immediately after the second last claim prior to ruin. It is shown that the generalized Gerber-Shiu function satisfies a matrix defective renewal equation. Detailed examples are also considered when either the interclaim times or the claim sizes are exponentially distributed. Finally, we also consider the case where the claim arrival process follows a Markovian arrival process (see e.g. Neuts (1989)). Probabilistic arguments are used to derive the discounted joint distribution of four random variables of interest in this risk model by capitalizing on an existing connection with a particular fluid flow process. Keywords: semi-Markovian risk model, matrix defective renewal equation, Gerber-Shiu penalty function, discounted joint distributions, Markovian arrival process.

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Gerber-Shiu analysis with a generalized penalty function. Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E; Woo, Jae-Kyung. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-14). - No. pages: 16. Shelved at: Online only [Faculty: Online only] 69988 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: A generalization of the usual penalty function is proposed, and a defective renewal equation is derived for the Gerber-Shiu discounted penalty function in the classical risk model. This is used to derive the trivariate distribution of the deficit at ruin, the surplus prior to ruin, and the surplus immediately following the second last claim before ruin. The marginal distribution of the last interclaim time before ruin is derived and studied, and its joint distribution with the claim causing ruin is derived. Keywords: defective renewal equation, Dickson-Hipp transform, compound geometric distribution, exponential distribution, mixed Erlang distribution, phase-type distribution, NBU, NWU, DFR. Generalized penalty functions in dependent Sparre Andersen models. Cheung, Eric C. K.; Landriault, David; Willmot, Gordon E; Woo, Jae-Kyung. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-15). - No. pages: 25. Shelved at: Online only [Faculty: Online only] 69989 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: The structure of various Gerber-Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and interclaim times is examined. The penalty function is assumed to depend on some or all of the surplus immediately prior to ruin, the deficit at ruin, the minimum surplus before ruin, and the surplus immediately after the second last claim before ruin. Defective joint and marginal distributions involving these quantities are derived. Many of the properties in the Sparre Andersen model without dependence are seen to hold in the present model as well. A discussion of Lundbergs fundamental equation and the generalized adjustment coefficient is given, and the connection to defective renewal equation is considered. The usual Sparre Andersen model without dependence is also discussed, and in particular the case with exponential claim sizes is considered. Keywords: defective renewal equation, compound geometric distribution, ladder height, Lundbergs fundamental equation, generalized adjustment coefficient, Cramers asymptotic ruin formula, Esscher transform, last interclaim time, NWU, NBU. Generalized penalty function analysis with a class of Coxian interclaim time distributions. Willmot, Gordon E; Woo, Jae-Kyung. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-16). - No. pages: 23. Shelved at: Online only [Faculty: Online only] 69990 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: Gerber-Shiu analysis with the generalized penalty function proposed by Cheung et al. (2008a) is considered in the Sparre Andersen risk model with a Kn family distribution for the interclaim time. A defective renewal equation and its solution for the present Gerber-Shiu function are derived, and their forms are natural for analysis which jointly involves the time of ruin and the surplus immediately prior to ruin. The results are then used to find explicit expressions for various defective joint and marginal densities, including those involving the claim causing ruin and the last interclaim time before ruin. The case with mixed Erlang claim amounts is considered in some detail. Keywords: Sparre Andersen risk process, Kn family of distributions, combinations and mixtures of Erlangs, defective renewal equation, Lagrange polynomials Assessing consumer fraud risk in insurance claims: An unsupervised learning technique using discrete and continuous predictor variables. Ai, Jing; Brockett, Patrick L; Golden, Linda L. - - Society of Actuaries, - No. pages: 21. Shelved at: Per: NASA (Ox); Per NASA (Leon) [Faculty: NOR/AMEX] 72022 North American Actuarial Journal (2009) 13 (4) : 438-458. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: We present an unsupervised learning method for classifying consumer insurance claims according to their suspiciousness of fraud vs nonfraud. The predictor variables contained within a claim file that are used in this analysis can be binary, ordinal categorical, or continuous variates. They are constructed such that the ordinal position of the response to the predictor variable bears a

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monotonic relationship with the fraud suspicion of the claim. Thus, although no individual variable is of itself assumed to be determinative of fraud, each of the individual variables gives a "hint" or indication as to the suspiciousness of fraud for the overall claim file. The presented method statistically concatenates the totality of these "hints" to make an overall assessment of the ranking of fraud risk for the claim files without using any a priori fraud-classified or -labeled subset of data. We first present a scoring method for the predictor variables that puts all the variables (whether binary "red flag indicators", ordinal categorical variables with different categories of possible response values, or continuous variables) onto a common -1 to 1 scale for comparison and further use. This allows us to aggregate variables with disparate numbers of potential values. We next show how to concatenate the individual variables and obtain a measure of variable worth for fraud detection, and then how to obtain an overall holistic claim file suspicion value capable of being used to rank the claim files for determining which claims to pay and the order in which investigate claims further for fraud. The proposed method provides three useful outputs not usually available with other unsupervised methods: (1) an ordinal measure of overall claim file fraud suspicion level, (2) a measure of the importance of each individual predictor variable in determining the overall suspicion levels of claims, and (3) a classification function capable of being applied to existing claims as well as new incoming claims. The overall claim file score is also available to be correlated with exogenous variables such as claimant demographics or high-volume physician or lawyer involvement. We illustrate that the incorporation of continuous variables in their continuous form helps classification and that the method has internal and external validity via empirical analysis of real data sets. A detailed application to automobile bodily injury fraud detection is presented. Analysis of a generalized penalty function in a semi-Markovian risk model. Cheung, Eric C K; Landriault, David. - - Society of Actuaries, - No. pages: 17. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 72025 North American Actuarial Journal (2009) 13 (4) : 497-513. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: In this paper an extension of the semi-Markovian risk model studied by Albrecher and Boxma (2005) is considered by allowing for general interclaim times. In such a model, we follow the ideas of Cheung et al. (2010b) and consider a generalization of the Gerber-Shiu function by incorporating two more random variables in the traditional penalty function, namely, the minimum surplus level before ruin and the surplus level immediately after the second last claim prior to ruin. It is shown that the generalized Gerber-Shiu function satisfies a matrix defective renewal equation. Detailed examples are also considered when either the interclaim times or the claim sizes are exponentially distributed. Finally, we also consider the case where the claim arrival process follows a Markovian arrival process. Probabilistic arguments are used to derive the discounted joint distribution of four random variables of interest in this risk model by capitalizing on an existing connection with a particular fluid flow process. Nonparametric Bayesian Credibility. Siu, T K; Yang, H. - - Sydney: - Institute of Actuaries of Australia, 2009. No. pages: 12. Shelved at: Per: AAJ (Oxf) [Faculty: AUS/ACT] 72041 Australian Actuarial Journal (2009) 15 (2) : 209-230. URL: http://www.actuaries.asn.au/Libraries/Information_Knowledge/AAJ_Vol15_Iss2_web.sflb.ashx Abstract: This paper introduces nonparametric Bayesian credibility without imposing stringent parametric assumptions on claim distributions. We suppose that a claim distribution associated with an unknown risk characteristic of a policyholder is an unknown parameter vector with infinite dimension. In this way, we incorporate the uncertainty of the functional form of the claim distribution associated with the unknown risk characteristic in calculating credibility premiums. Using the results of Ferguson (1973), formulas of the Bayesian credibility premiums are obtained. The formula for the Bayesian credibility pure premium is a linear combination of the overall mean and the sample mean of the claims. This is consistent with the result in the classical credibility theory. We perform a simulation study for the nonparametric Bayesian credibility pure premiums and compare them with the corresponding Bhlmann credibility premiums. Estimation results for the credibility premiums using Danish fire insurance loss data are presented. Keywords: nonparametric Bayesian credibility, risk characteristic of policyholder, random probability distribution, credibility premium principle, Dirichlet process.

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Insurance claims modulated by a hidden Brownian marked point process. Elliott, Robert J; Chen, Zhiping; Duan, Qihong. - - No. pages: 10. Shelved at: Per: IME (Oxf) 72386 Insurance: Mathematics & Economics (2009) 45 (2) : 163-172. Abstract: Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from existing ones in the following ways: the new hidden process can model more efficiently the cyclic state of the economic environment; our theory is based on a variation of the law of large numbers and is easy to understand; the Fourier expansion-based parameter estimation algorithm is flexible and can be more easily implemented than other algorithms. Simulation results not only demonstrate the practicality of our model and algorithm, but also show the efficiency and robustness of the estimation algorithm. Keywords: Insurance risk models; Markov-modulated Poisson processes; Brownian motion; Reference probability Modeling dependence between loss triangles using copulas. de Jong, Piet. - - North Ryde, NSW: - Macquarie University, 2009. - (Centre for Financial Risk Working Paper 09-06). - No. pages: 19. 72484 URL: http://www.businessandeconomics.mq.edu.au/faculty_docs/Staff_Documents/CFR_09-06.pdf Abstract: A critical problem in property and casualty insurance is forecasting payments for incurred but not yet finalized claims. Forecasts and associated risk margins are often based on loss triangles with each triangle corresponding to a different line of business. Each triangle displays the development over time of all payments associated with claims originating in each year and for a given line of business. Risk margin calculations are available for individual triangles. However lines of business are often related and an overall risk margins must reflect dependence between triangles. This article develops, implements and applies a model for loss triangle dependence. The model links payouts in different triangles in the same calendar year via a copula. Methods reduce to relatively simple calculations in the case of a Gaussian copula in which case association is captured through a correlation matrix. The impact of the correlations is moderated by quantities called communalities. Correlations can be structured in terms of factor models. Procedures are applied to US loss triangle data and the impact of loss triangle association on different risk measures is considered. Diversification benefit formulas are presented as well as formulas for the allocation of those benefits back individual lines of business. Key words: Copulas, Gaussian Copula, Specificity, Communality, Loss triangles, Forecasting, Diversification benefits. Current topics : General insurance. Edler, Clare; Lakhani, Tanvi. - - Edinburgh: - Faculty of Actuaries Students' Society, 2008. - No. pages: 46. 72657 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2008-fass-generalinsurance Contents: UK floods 07C and 07E -- Sub prime lending and the credit crunch -- Personal injury update -- Asbestos update -- Reserving through the softening market - how can actuaries do better? -- Reserving uncertainty -- Capital and Solvency II -- Part VII transfers Abstract: This paper aims to provide the reader with an overview of the current issues and trends seen in recent times in the general insurance industry. We start by giving an overview of the UK insurance market and how it has evolved since 1996. The remainder is split into four main themes: Market developments, Claims, Modelling techniques, Regulation Come rain or shine : Evidence on flood insurance purchases in Florida. Michel-Kerjan, Erwann; Kousky, Carolyn. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39627 Journal of Risk and Insurance (2010) 77 (2) : 369-397. Abstract: This article provides a detailed analysis of the operation of the National Flood Insurance Program (NFIP) in Florida, which accounts for 40 percent of the NFIP portfolio. We study the demand for flood insurance with a data set of more than 7.5 million NFIP policies-in-force (the largest ever studied) for the years 20002005, as well as all NFIP claims filed in Florida. We answer four

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questions: What are the characteristics of the buyers of flood insurance? What types of contracts (deductibles and coverage levels) are purchased? What are the determinants of claims payments? How are prices determined and how much does NFIP insurance cost? Lloyds Issues [copies of slides only] Johnson, Henry; Badal, Veekash; Kirk, Jerome. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72735 Uncertainty in short-term claims development [copies of slides only] Hill, Gavin; Wright, Tom. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72757 Claims inflation : A research programme supported by the Actuarial Profession [copies of slides only] Nielsen, Jens Perch. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72765 URL: http://www.actuaries.org.uk/research-and-resources/documents/claims-inflation-research-programmesupported-actuarial-profession Micro-level stochastic loss. Antonio, Katrien; Plat, Richard. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39675 The Actuary (2010) August : 26-27. URL: http://www.the-actuary.org.uk Abstract: Katrien Antonio and Richard Plat introduce a stochastic reserving methodology for general insurance based on the projection of individual claims processes. A clearer view on claims. Gravelsons, Brian. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39676 The Actuary (2010) August : 28-30. URL: http://www.the-actuary.org.uk Abstract: Brian Gravelsons presents the findings of the Asbestos Working Party's recently published claims projections. Non-Parametric IBNER Projection [copies of slides only] Perrett, Claude; van Rensburg, Hannes; Zanjani, Farshad. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72933 Reserve Variability and Solvency II [copies of slides only] Shapland, Mark; Wells, Gary. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72941 Insurance theory and practice. Thoyts, Rob. - - Routledge, 2010. - No. pages: 384. Shelved at: BU (Oxf) 39694 Contents: Introduction -- 1. Insurance as a Risk Transfer Mechanism -- 2. Fundamental Legal Principles of Insurance -- 3. The Insurance Contract -- 4. Financial and Accounting Principles -- 5. The Structure and Regulation of the UK Insurance Market -- 6. Lloyd's of London -- 7. Reinsurance -8. Insurance Intermediaries -- 9. Claims Handling -- 10. Life Assurance -- 11. Pensions -- 12. Policyholder and Third Party Protection -- 13. Alternative Insurance Systems -- 14. The Role of Insurance in Risk Management Abstract: This book provides a comprehensive overview of the theory, functioning, management and

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legal background of the insurance industry. Written in accessible, non-technical style, Insurance Theory and Practice begins with an examination of the insurance concept, its guiding principles and legal rules before moving on to an analysis of the market, its players and their roles and relationships. The book covers the underlying ideas behind insurance transactions, together with the legal and financial principles that permit these concepts to function in the real world. It's no accident. Maher, George; Staudt, Andy. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39783 The Actuary (2010) October : 38-39. URL: http://www.the-actuary.org.uk Abstract: George Maher and Andy Staudt take a look under the bonnet at what is causing the growth of motor insurance claims, and ask what can be done to fix the problem. Double Shot Noise Process and Its Application In Insurance. Jang, Jiwook. - - Sydney: - Macquarie University, 2010. - (Centre for Financial Risk Working Paper 10-09). - No. pages: 17. 73354 URL: http://econ.mq.edu.au/Econ_docs/research_papers2/2010_research_papers/10-9.pdf Abstract: We consider a compound Cox model of insurance risk with the additional economic assumption of a positive interest rate. To accommodate both stochastic claim intensity and the time value of claims within the aggregate loss, we use a double shot noise process. Using its generator, we derive the moments of aggregate accumulated/discounted claims where the claim arrival process follows a Cox process with shot noise intensity. Removing the parameters in a double shot noise process gradually, we show that it becomes a compound Cox process with shot noise intensity, a single shot noise process and a compound Poisson process, respectively. Numerical comparisons are shown between the moments (i.e. means and variances) of a compound Poisson model and their counterparts of a compound Cox model with/without considering a positive interest rate. For that purpose, we assume that claim sizes and primary event sizes follow an exponential distribution respectively. Keywords: Double shot noise process; a Cox process; stochastic intensity and time value of claims; aggregate accumulated/discounted claims. Extreme value analysis for partitioned insurance losses. Henry, John B; Hsieh, Ping-Hung. Shelved at: Per: Variance 39959 Variance (2009) 3 (2) : 214-238. URL: http://www.variancejournal.org/issues Abstract: The heavy-tailed nature of insurance claims requires that special attention be put into the analysis of the tail behavior of a loss distribution. It has been demonstrated that the distribution of large claims of several lines of insurance have Pareto-type tails. As a result, estimating the tail index, which is a measure of the heavy-tailedness of a distribution, has received a great deal of attention. Although numerous tail index estimators have been proposed in the literature, many of them require detailed knowledge of individual losses and are thus inappropriate for insurance data in partitioned form. In this study we bridge this gap by developing a tail index estimator suitable for partitioned loss data. This estimator is robust in the sense that no particular global density is assumed for the loss distribution. Instead we focus only on fitting the model in the tail of the distribution where it is believed that the Pareto-type form holds. Strengths and weaknesses of the proposed estimator are explored through simulation and an application of the estimator to real world partitioned insurance data is given. Third party motor claims [copies of slides only] Brown, David; Murphy, Karl; Black, Simon; Mitchell, Grant; Edwards, Jonathan. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45020 URL: http://www.actuaries.org.uk/research-and-resources/documents/c04-third-party-motor-claims Models of Insurance Claim Counts with Time Dependence Based on Generalization of Poisson and Negative Binomial Distributions. Boucher, Jean-Philippe; Denuit, Michel; Guillen, Montserrat. Shelved at: Per: Variance 45060 Variance (2008) 2 (1) : 135-162.

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URL: http://www.variancejournal.org/issues Abstract: Longitudinal data (or panel data) consist of repeated observations of individual units that are observed over time. Each individual insured is assumed to be independent but correlation between contracts of the same individual is permitted. This paper presents an exhaustive overview of models for panel data that consist of generalizations of count distributions where the dependence between contracts of the same insureds can be modeled with Bayesian and frequentist models, based on generalization of Poisson and negative binomial distributions. This paper introduces some of those models to actuarial science and compares the fitting with specification tests for nested and non-nested models. It also shows why some intuitive models (past experience as regressors, multivariate distributions, or copula models) involving time dependence cannot be used to model the number of reported claims. We conclude that the random effects models have a better fit than the other models examined here because the fitting is improved and it allows for more flexibility in computing the next years premium. Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims. Liu, Huijuan; Verrall, Richard. Shelved at: Per: Variance 45065 Variance (2011) 4 (2) : 121-135. URL: http://www.variancejournal.org/issues Abstract: This paper presents a bootstrap approach to estimate the prediction distributions of reserves produced by the Munich chain ladder (MCL) model. The MCL model was introduced by Quarg and Mack (2004) and takes into account both paid and incurred claims information. In order to produce bootstrap distributions, this paper addresses the application of bootstrapping methods to dependent data, with the consequence that correlations are considered. Numerical examples are provided to illustrate the algorithm and the prediction errors are compared for the new bootstrapping method applied to MCL and a more standard bootstrapping method applied to the chain ladder technique. Parameterizing Payout Lag Time Distributions. Kreps, Rodney E. Shelved at: Per: Variance 45072 Variance (2008) 2 (2) : 209-230. URL: http://www.variancejournal.org/issues Abstract: We model a claims process as a random time to occurrence followed by a random time to a single payment. Since accident year payout data available is aggregated by development year rather than by payment lag, we calculate those probabilities and parameterize the payout lag time distribution to maximize the fit to data. General formulae are given for any distribution, but we use a piecewise linear continuous distribution. The companion spreadsheets show the process. It is sometimes found useful to compromise the quality of the fit to improve believability of the payout distribution. A simulation check and example are provided. As a result, uncertain data can be effectively smoothed and partial accident year data consistently used.

Underwater underwriters. Parodi, Pietro. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 45111 The Actuary (2011) March : 34-36. URL: http://www.the-actuary.org.uk Abstract: Pietro Parodi considers how actuaries can use different techniques in modelling insurance claims. Moving in the right direction. Patrick, Bart. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 45205 The Actuary (2011) May : 32-33. URL: http://www.the-actuary.org.uk Abstract: Bart Patrick explores how insurers are driving operational efficiency across the claims value chain.

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Claimsreserves

Issues in Claims Reserving and Credibility: A Semiparametric Approach With Mixed Models. Antonio, Katrien; Beirlant, Jan. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38593 Journal of Risk and Insurance (2008) 75 (3) : 643-676. Abstract: Using the statistical methodology of semi-parametric regression and its connection with mixed models, this article revisits smoothing models for loss reserving and credibility. Apart from the flexibility inherent to all semiparametric methods, advantages of the semiparametric approach developed here are threefold. First, a Bayesian implementation of these smoothing models is relatively straightforward and allows simulation from the full predictive distribution of quantities of interest. Second, because the constructed models have an interpretation as (generalized) linear mixed models ((G)LMMs), standard statistical theory and software for (G)LMMs can be used. Third, more complicated data sets, dealing, for example, with quarterly development in a reserving context, heavy tails, semi-continuous data, or extensive longitudinal data, can be modeled within this framework. Prediction error of the multivariate chain ladder reserving method. Merz, Michael; Wthrich, Mario V. - 2008. No. pages: 23. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69476 North American Actuarial Journal (2008) 12 (2) : 175-197. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2-merzwuthrich.pdf Abstract: In this paper we consider the claims reserving problem in a multivariate context: that is, we study the multivariate chain-ladder (CL) method for a portfolio of N correlated runoff triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual runoff subportfolios and facilitates the derivation of an estimator for the mean square error of prediction (MSEP) for the CL predictor of the ultimate claim of the total portfolio. However, unlike the already existing approaches we replace the univariate CL predictors with multivariate ones. These multivariate CL predictors reflect the correlation structure between the subportfolios and are optimal in terms of a classical optimality criterion, which leads to an improvement of the estimator for the MSEP. Moreover, all formulas are easy to implement on a spreadsheet because they are in matrix notation. We illustrate the results by means of an example. Individual claim loss reserving conditioned by case estimates. Taylor, Greg; McGuire, Grainne; Sullivan, James. - - No. pages: 52. Shelved at: Per: AAS (Oxf); Per: AAS (Lon) [Faculty: JOU/AAS] 39272 Annals of Actuarial Science (2008) 3 (1+2) : 215-256. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: This paper examines various forms of individual claim model for the purpose of loss reserving, with emphasis on the prediction error associated with the reserve. Each form of model is calibrated against a single extensive data set, and then used to generate a forecast of loss reserve and an estimate of its prediction error. The basis of this is a model of the paids type, in which the sizes of strictly positive individual finalised claims are expressed in terms of a small number of covariates, most of which are in some way functions of time. Such models can be found in the literature. The purpose of the current paper is to extend these to individual claim incurreds models. These are constructed by the inclusion of case estimates in the model's conditioning information. This form of model is found to involve rather more complexity in its structure. For the particular data set considered here, this did not yield any direct improvement in prediction error. However, a blending of the paids and incurreds models did so. Keywords: Case Estimate; GLM; Individual Claim Model; Loss Reserving; Prediction Error; Statistical Case Estimation

The Munich chain-ladder method: a Bayesian approach. De Alba, Enrique. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-07). - No. pages: 32. Shelved at: Online only [Faculty: Online only] 69981 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml

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Abstract: In non-life insurance the traditional chain-ladder method for claims reserving is widely used and its results frequently serve as benchmark. From the actuarial point of view, reserving is a problem of estimation, or more precisely, forecasting. As in many fields the estimation or prediction methods can range from very simple deterministic techniques to some very sophisticated ones, based on stochastic models. This has also been the case with the chain-ladder method. In its initial form it is a simple deterministic procedure, but it has given rise to numerous developments that intend to provide stochastic formulations that in some way reproduce those of the deterministic scheme while satisfying stochastic assumptions that allow the user to evaluate his results. One of the most recent formulations of the chain-ladder method is the Munich Chain Ladder (MCL) which is aimed at optimizing the simultaneous use of paid and incurred claims data. While both of these sources of claims data should lead to the same ultimate claims they typically produce different results. To date several modifications to this method have been proposed. In this paper we present a Bayesian approach to the MCL and compare the results to other formulations. Computations are carried out via MCMC using WinBUGS. Reserving and uncertainty : A meta-study of the General Insurance Reserving Issues Task Force and Reserving Oversight Committee research in this area between 2004 and 2009 : A discussion paper. Gibson, E R; Barlow, C; Bruce, N A; Felisky, K M; Fisher, S; Hilary, N G J; Hilder, I M; Kam, H; Matthews, P N; Winter, R. - - Institute of Actuaries and Faculty of Actuaries, 2009. - No. pages: 21. [Faculty: JOU/INS] 71762 URL: http://www.actuaries.org.uk/research-and-resources/documents/reserving-and-uncertainty Abstract: The General Insurance Board of the Faculty and Institute of Actuaries responded to some of the criticisms raised in the Morris Review (2005) and in the press by rating agencies and others, regarding the Actuarial Profession's approach to actuarial reserving in general insurance by setting up a task force known as the General Insurance Reserving Issues Task Force (GRIT). The task force worked from 2004 to 2006 and produced a significant report, including some new professional content and recommendations for further areas of development and research. Since then, through the GRIT successor body: the Reserving Oversight Committee (ROC), many working parties have formed and many General Insurance Research Organisation (GIRO) presentations and papers have been forthcoming. One area which has been a recurring theme through the last five years is how the Profession models and communicates the uncertainty in the claims reserving process. In the context of recent events in global financial markets, the forthcoming new regulatory framework of Solvency II, and the developments in other professions globally through IFRS and other drivers, it is timely that we take stock of the many changes in our practices over the last five years and consider which direction we should take for the challenges that lie ahead. This paper is a meta-study of the output of GRIT and ROC on reserving and uncertainty, with the intention of meeting these objectives. Keywords: Best Estimates; Reserving Uncertainty; Quantification of Uncertainty; Communication of Uncertainty; Underwriting and Reserving Cycle Mean square error of prediction in the Bornhuetter-Ferguson claims reserving method. Alai, D H; Merz, M; Wthrich, M V. - - Faculty of Actuaries and Institute of Actuaries, Shelved at: Per: AAS (Oxf); Per: AAS (Lon) 71997 Annals of Actuarial Science (2009) 4 (1) : 7-31. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due to their simplicity, the chain ladder (CL) and Bornhuetter-Ferguson (BF) methods are the most commonly used claims reserving methods in practice. However, in contrast to the CL method, no estimator for the conditional mean square error of prediction (MSEP) of the ultimate claim has been derived in the BF method until now, and as such, this paper aims to fill that gap. This will be done in the framework of generalized linear models (GLM) using the (overdispersed) Poisson model motivation for the use of CL factor estimates in the estimation of the claims development pattern. Keywords: Claims Reserving; Bornhuetter-Ferguson; Overdispersed Poisson Distribution; Chain Ladder Method; Generalized Linear Models; Conditional Mean Square Error of Prediction Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance. Cowell, Robert. - - London: - Cass Business School, 2009. - (Actuarial Research Paper No. 192). - No. pages: 55. 72093

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URL: http://www.cass.city.ac.uk/facact/research/reports/192ARP.pdf Contents: Contents include: -- The chain ladder technique -- Standard formalism -- Non-standard formalism -- Equivalence of the two approaches -- The Local Chain Ladder Bootstrap method -The horizontal method -- The vertical method -- The mixed method -- Application to historical data sets -- A simulation study -- Schiegl's triangle simulation method -- Kaishev's triangle simulation method Abstract: This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models. Keywords: Stochastic claims reserving; chain ladder; non parametric; bootstrap; distribution of reserves. Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance. Cowell, Robert. - - London: - Cass Business School, 2009. - No. pages: 48. 39500 URL: http://www.actuaries.org.uk/research-and-resources/documents/exploration-novel-bootstrap-techniqueestimating-distribution-outst Abstract: This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models. Bivariate Archimedean Copulas for Individual Claim Loss Reserving Models. Zhao, XiaoBing; Zhou, Xian. - North Ryde, NSW: - Macquarie University, 2009. - (Centre for Financial Risk Working Paper 09-04). - No. pages: 30. 72482 URL: http://www.businessandeconomics.mq.edu.au/faculty_docs/Staff_Documents/CFR_09-04.pdf Abstract: The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving. In this paper, we propose to use semicompeting risks copula and semi-survival copula models to fit the dependence structure of the event times with the delays in individual claim loss model. A nonstandard two-step procedure is applied to our setting in which the associate parameter and one margin are estimated based on an ad hoc estimator of the other margin. The asymptotic properties of the estimators are established as well. A simulation study is carried out to evaluate the performance of the proposed methods. Key words: IBNR claim, individual claim loss model, Archimedean copulas, semi-competing risks, semi-survival copula. Paidincurred chain claims reserving method. Merz, Michael; Wthrich, Mario V. - - No. pages: 12. Shelved at: Per: IME (Oxf) 72525 Insurance: Mathematics & Economics (2010) 46 (3) : 568-579. Abstract: We present a novel stochastic model for claims reserving that allows us to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig's (1985) model and Gogol's (1993) model) leading to a log-normal paid - incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predictive distribution of the outstanding loss liabilities. On the one hand, this allows for an analytical calculation of the claims reserves and the corresponding conditional mean square error of prediction. On the other hand, simulation algorithms provide any other statistics and risk measure on these claims reserves.

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Keywords: Claims reserving ; Outstanding loss liabilities ; Ultimate loss ; Claims payments ; Claims incurred ; Incurred losses ; Prediction uncertainty Claims reserve adequacy in the context of capital modelling and ILS : A rating agency's perspective [copies of slides only] Murray, Andrew; Tarnopolsky, Lyuba. - - Institute of Actuaries and Faculty of Actuaries, 2008. (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72721 Bayesian Approach for Prediction Error in Chain-Ladder Claims Reserving [copies of slides only] Yao, Ji. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72945 Claim reserving: performance testing and the control cycle. Jing, Yi; Lebens, Joseph R; Lowe, Stephen P. Shelved at: Per: Variance 39957 Variance (2009) 3 (2) : 161-193. URL: http://www.variancejournal.org/issues Abstract: Fundamentally, estimates of claim liabilities are forecasts subject to estimation errors. The actuary responsible for making the forecast must select and apply one or more actuarial projection methods, interpret the results, and apply judgment. Performance testing of an actuarial projection method can provide empirical evidence as to the inherent level of estimation error associated with its forecasts. Performance testing of alternative methods provides formal assurance that the actuary is using the best methods for the given circumstance, and also provides insight into the appropriate weight to give to the indications produced by each method. Performance testing is an integral part of the actuarial control cycle associated with the loss reserving process. It provides the necessary feedback loop to the actuary, assuring that he or she is not overconfident about his or her forecasts. This paper describes how to construct sound performance tests, consistent with statistical crossvalidation, within the reserving control cycle. It illustrates the application of the techniques via a case study, including some interesting empirical results. Combining chain-ladder and additive loss reserving methods for dependent lines of business. Merz, Michael; Wuthrich, Mario. Shelved at: Per: Variance 39961 Variance (2009) 3 (2) : 270-291. URL: http://www.variancejournal.org/issues Abstract: Often in non-life insurance, claim reserves are the largest position on the liability side of the balance sheet. Therefore, the estimation of adequate claim reserves for a portfolio consisting of several run-off subportfolios is relevant for every non-life insurance company. In the present paper we provide a framework in which we unify the multivariate chain-ladder (CL) model and the multivariate additive loss reserving (ALR) model into one model. This model allows for the simultaneous study of individual run-off subportfolios in which we use both the CL method and the ALR method for different subportfolios. Moreover, we derive an estimator for the conditional mean square error of prediction (MSEP) for the predictor of the ultimate claims of the total portfolio. Prediction uncertainty in the Bornhuetter-Ferguson claims reserving method: revisited. Alai, D H; Merz, M; Wuthrich, M V. - - Faculty of Actuaries and Institute of Actuaries. Cambridge University Press, Shelved at: Per: AAS (Oxf); Per: AAS (Lon) 39998 Annals of Actuarial Science (2011) 5 (1) : 7-17. URL: http://www.actuaries.org.uk/research-and-resources/pages/access-journals Abstract: We revisit the stochastic model of Alai et al. (2009) for the Bornhuetter-Ferguson claims reserving method, Bornhuetter & Ferguson (1972). We derive an estimator of its conditional mean square error of prediction (MSEP) using an approach that is based on generalized linear models and maximum likelihood estimators for the model parameters. This approach leads to simple formulas, which can easily be implemented in a spreadsheet.

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Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family. Taylor, Greg; McGuire, Grainne. Shelved at: Per: Variance 45053 Variance (2009) 3 (1) : 105-130. URL: http://www.variancejournal.org/issues Abstract: This paper investigates the practical aspects of applying the second-order Bayesian revision of a generalized linear model (GLM) to form an adaptive filter for claims reserving. It discusses the application of such methods to three typical models used in Australian general insurance circles. Extensions, including the application of bootstrapping to an adaptive filter and the blending of results from the three models, are considered. Prediction Error of the Multivariate Additive Loss Reserving Method for Dependent Lines of Business. Merz, Michael; Wuthrich, Mario. Shelved at: Per: Variance 45054 Variance (2009) 3 (1) : 131-151. URL: http://www.variancejournal.org/issues Abstract: Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the prediction of adequate claims reserves for a portfolio consisting of several run-off subportfolios from dependent lines of business is of great importance for every nonlife insurance company. In the present paper, we consider the claims reserving problem in a multivariate context that is, we study a special case of the multivariate additive loss reserving model proposed by Hess, Schmidt, and Zocher (2006) and Schmidt (2006a). This model allows for a simultaneous study of the individual run-off subportfolios and enables the derivation of an estimator for the conditional mean square error of prediction (MSEP) for the predictor of the ultimate claims of the total portfolio. We illustrate the results using the data given in Braun (2004) and compare them to the results derived by the multivariate chain-ladder methods of Braun (2004) and Merz and Wthrich (2008).

Climatechange

Global climate change in the wider context of sustainability. Stahel, Walter R. Shelved at: Per: Geneva (Oxf) 39042 Geneva Papers on Risk and Insurance (2008) 33 (3) : 507-529. Abstract: Over the last few years, the political discussion on global change has become focused on the Intergovernmental Panel on Climate Change (IPCC) reports and anthropogenic CO2 emissions, as well as on scientific data of climate change, and on new rules and regulation. This paper puts CO2 emissions into the wider context of sustainability. This broadens the view and changes the focus to issues of global ethics and the necessity for industrial countries to drastically reduce their resource consumption. Insurance companies can influence global climate change (GCC) directly through their investment and underwriting strategies, but also in daily operations. An overview and examples are given in the paper. The biggest impact insurance might have is in helping to speed up the adaptation to GCC, for instance by making available its pool of knowledge in prevention measures through risk engineering services. By promoting a stricter application of the concept of "insurability of risks", politicians could exploit the link between insurance, technological innovation and sustainable development to develop numerous opportunities within the market economy. A rapid adaptation to the challenges of GCC will give industrialised countries a competitiveness pull, or enable less developed countries to leapfrog industrialised countries. But the key to a new vision of the future may be the development of a holistic view of nature, man and climate, and science and technology as a source of innovative ideas and solutions. Environment: Going green. Green, Jill; Rowley, Fred. Shelved at: online only [Faculty: online only] 69741 The Actuary (2008) August URL: http://www.the-actuary.org.uk Abstract: Jill Green and Fred Rowley provide an actuarial perspective on climate change from Australia

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How can the insurance industry promote climate change adaptation? : A case study from the UK. Surminski, Swenja. Shelved at: online only 39225 ThinkPiece (2009) 18 (May) URL: http://www.cii.co.uk/downloaddata/TP18_Surminski_Adaptation_20May2009.pdf Abstract: An overview of the insurance industrys recent work promoting adaptation in the face of a new range of climate-related risks. A global review of insurance industry responses to climate change. Mills, Evan. Shelved at: Per: Geneva (Oxf) 39296 Geneva Papers on Risk and Insurance (2009) 34 (3) : 323-359. Abstract: A vanguard of insurers is adapting its business model to the realities of climate change. In many ways, insurers are still catching up both to mainstream science and to their customers, which, in response to climate change and energy volatility, are increasingly changing the way they construct buildings, transport people and goods, design products and produce energy. Customers, as well as regulators and shareholders, are eager to see insurers provide more products and services that respond to the "greening" of the global economy, expand their efforts to improve disaster resilience and otherwise be proactive about the climate change threat. Insurers are increasingly recognising the issue as one of "enterprise risk management" (ERM), one cutting across the domains of underwriting, asset management and corporate governance. Their responses are becoming correspondingly sophisticated. Based on a review of more than 300 source documents, plus a direct survey of insurance companies, we have identified 643 specific activities from 244 insurance entities from 29 countries, representing a 50 per cent year-over-year increase in activity. These entities collectively represent $1.2 trillion in annual premiums and $13 trillion in assets, while employing 2.2 million people. In addition to activities on the part of 189 insurers, eight reinsurers, 20 intermediaries and 27 insurance organisations, we identified 34 non-insurance entities that have collaborated in these efforts. Challenges and opportunities include bringing promising products and services to scale, continuing to identify and fill market and coverage gaps and identifying and confirming the veracity of green improvements. There is also need for convergence between sustainability and disaster resilience, greater engagement by insurers in adaptation to unavoidable climate changes and to clarify the role that regulators will play in moving the market. It has not yet been demonstrated how some insurance lines might respond to climate change and a number of market segments have not yet been served with a single green insurance product or service. As insurer activities obtain more prominence, they also will be subject to more scrutiny and expectations that they are not simply greenwashing. Adaption to climate change : Threats and opportunities for the insurance industry. Herweijer, Celine; Ranger, Nicola; Ward, Robert E T. Shelved at: Per: Geneva (Oxf) 39297 Geneva Papers on Risk and Insurance (2009) 34 (3) : 360-380. Abstract: In this paper we explore why adaptation to climate change is such a critical issue to the commercial success of the private insurance industry. We highlight both the risks arising from inadequate adaptation to the impacts of climate change, and the opportunities presented by playing a role in the global response to adaptation. We demonstrate that the success, or not, of adaptation to the impacts of climate change will be relevant to both the underwriting and investment operations of (re)insurance companies. In the short term, climate change will affect underwriting practices by necessitating risk quantification approaches that include a forward-looking view of risk that is not purely grounded in historical experience. In the longer term, insufficient adaptation in areas of rising risk could threaten the concept of insurability itself, by limiting the availability and affordability of private insurance coverage. Furthermore, we demonstrate that activities that incentivise and enable adaptation not only give rise to commercial opportunities and reputational reward, but are increasingly necessary for the sustainability of the industry. Insurance, developing countries and climate change. Linnerooth-Bayer, Joanne; Warner, Koko; Bals, Christoph; Hoppe, Peter; Burton, Ian; Loster, Thomas; Haas, Armin. Shelved at: Per: Geneva (Oxf) 39298 Geneva Papers on Risk and Insurance (2009) 34 (3) : 381-400.

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Abstract: By providing financial security against droughts, floods, tropical cyclones and other forms of weather extremes, insurance instruments present an opportunity for developing countries in their concurrent efforts to reduce poverty and adapt to climate change. By pricing risk, insurance provides incentives for reducing risks and adapting to climate change; if these premiums are not affordable to the most vulnerable, donors can combine premium support with risk-reduction measures. In this paper, we examine the costs, benefits and risks of public-private (and donor supported) insurance programmes that offer affordable economic security to vulnerable communities and governments. Insurance mechanisms are of particular interest to climate negotiators seeking strategies that help vulnerable countries adapt to increasing severity and frequency of weather disasters, and we examine the case for including insurance mechanisms in a climate adaptation strategy expected to be agreed in Copenhagen in 2009. We present a proposal for this purpose that has been recently put forward by the Munich Climate Insurance Initiative (MCII), which calls for international solidarity for very low probability and high consequence weather-related events (high-risk layer). For middlelayer risks the MCII proposal calls for international support to promote sustainable, affordable and incentive-compatible insurance programmes that serve the poor without crowding out private sector involvement. Weather index insurance and climate change : Opportunities and challenges in lower income countries. Collier, Benjamin; Skees, Jerry; Barnett, Barry. Shelved at: Per: Geneva (Oxf) 39299 Geneva Papers on Risk and Insurance (2009) 34 (3) : 401-424. Abstract: Weather index insurance underwrites a weather risk, typically highly correlated with agricultural production losses, as a proxy for economic loss and is gaining popularity in lower income countries. This instrument, although subject to basis risk and high start-up costs, should reduce costs over traditional agricultural insurance. Multilateral institutions have suggested that weather index insurance could enhance the ability of stakeholders in lower income countries to adapt to climate change. While weather index insurance could have several benefits in this context (e.g. providing a safety net to vulnerable households and price signals regarding the weather risk), climate change impacts increase the price of insurance due to increasing weather risk. Uncertainty about the extent of regional impacts compounds pricing difficulties. Policy recommendations for insurance market development include funding risk assessments, start-up costs and the extreme layer of risk. General premium subsidies are cautioned against as they may actually slow household adaptation. Measuring non-catastrophic weather risks for businesses. Pres, Juliusz. Shelved at: Per: Geneva (Oxf) 39300 Geneva Papers on Risk and Insurance (2009) 34 (3) : 425-439. Abstract: While many published articles touch on the problem of using weather derivatives as tools for non-catastrophic weather-risk management, few studies have looked at the problem of appropriate risk measurement. This paper aims to present and evaluate all available methods used to identify and estimate the impact of non-catastrophic weather upon commercial enterprises. Correctly defining these parameters fundamentally affects building weather cover. Analysis of already existing methods of weather-risk measurement for businesses, as presented in the literature, has shown a few disadvantages. This paper proposes an improved approach to weather risk measurement one based on an extended econometric model. We have empirically tested all the methods proposed herein and present our conclusions. The financial risks of climate change Examining the financial implications of climate change using climate models and insurance catastrophe risk models. Dailey, Peter; Huddleston, Matt; Brown, Simon; Fasking, Dennis. - - London: - Association of British Insurers, 2009. - (ABI Research paper no 19). - No. pages: 107. 71689 URL: http://www.abi.org.uk/Publications/ABI_Publications_The_Financial_Risks_of_Climate_Change_e45.aspx Abstract: This study makes several groundbreaking advances in the area of climate impact assessment by using state-of-the-art modelling techniques combined with expert knowledge in the fields of climate, meteorology, hydrology and actuarial science. The report provides a detailed analysis of the potential impact from a changing climate on insured risk for insurers and other stakeholders through its effects on precipitation-induced inland floods in Great Britain, winter windstorms in the United Kingdom, and typhoons in China.

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Climate change - are you ready? : Soapbox. Maynard, Trevor. - - Staple Inn Actuarial Society, - No. pages: 1. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 71736 The Actuary (2009) December : 8. URL: http://www.the-actuary.org.uk Abstract: Looks at the effects climate change will have on actuarial work, particularly on asset values, risk, health and mortality, and insurance. The Insurability of The Impacts of Climate Change [copies of slides only] Silver, Nick; Dlugolecki, Andrew. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72962 The Insurability of the Impacts of Climate Change. Silver, Nick; Dlugolecki, Andrew. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72963 Abstract: Insurance mechanisms have been proposed as tools that could aid the process of adaptation to climate change in developing countries. A number of useful proposals have been made in recent times, and striking innovations have been trialled in the field of indexed insurance, but they have generally accepted the usual criterion of 'insurability' - that risks have to be quantifiable, occur randomly, and be many in number, so that variations in claims are smoothed out. From the client's side, the premiums have to be affordable and the contract has to perform reliably. This paper explores some of the 'uninsurable' aspects of the impacts of climate change to discover whether insurance could also be a tool for managing slow-onset chronic problems such as sea level rise and desertification, and also damage to ecosystems. This could substantially expand the scope of insurance as a mechanism in the field of adaptation, and open the door to a more comprehensive system of assistance for developing countries. The paper also considers how best to position any innovative mechanism in regards to its justification. The notion of 'responsibility' is firmly rejected through a consideration of the processes that give rise to climate-related damage, and the political dynamics of the negotiating forum, in favour of 'solidarity': a neutral rationale that already applies in many risk-sharing systems. Sustainable business, sustainable planet - a Japanese insurance perspective. Sato, Masatoshi; Seki, Masao. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39891 Geneva Papers on Risk and Insurance (2010) 35 (2) : 325-335. Abstract: Climate change is a major issue of unprecedented proportions that will have far-reaching impacts on society and the economy, as the ohenomenon will trigger an increase in flooding, drought and other natural disasters. For the insurance industry, climate change poses a great risk to management because an increase in natural disasters will lead to an increase in insurance payments. Taking their advantage as insurers, insurance companies should contribute toward the realisation of a low-carbon society and a climate-resilient society through their core business by means of mitigation and adaptation strategies. To achieve this goal, education is paramount, as it is the foundation of all our endeavours. For a business to grow in a sustainable manner, it is vital that the society itself develops in a sustainable manner. All organisations and individuals must embody the spirit of sustainable development in their own activities. The need for a multi-level approach to climate change - an Australian insurance perspective. Wilkins, Michael. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39892 Geneva Papers on Risk and Insurance (2010) 35 (2) : 336-348. Abstract: Insurance is all about risk management and risk mitigation. A significant component of this risk equation is an ability to manage the variability of weather events. Climate modelling has shown that it only takes small changes in the mean climate to generate large changes in extreme weather. This has profound implications for the insurance industry, because a less-predictable climate impacts the industry's capacity to accurately calculate and price products. The insurance industry's response

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to climate change will determine the shape of the industry for decades to come. However, insurance companies acting alone, or even collectively, will have only limited impact in achieving success over the long term. This paper outlines a multi-level approach required by the insurance industry to make a real and lasting difference, including engaging governments; assisting and educating communities to be more aware and resilient; incentivising customers through advocacy, product innovation and appropriate product offerings; and leading by example and providing employees with the education and tools to facilitate action both at work and at home. Contributing to the global debate on climate change - a view from Asia: a retrospective report on the 37th General assembly in Zurich (June 2010) Ishihara, Kunio. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39973 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S92-S99. Contents: Special issue on insurance in Asia. Abstract: Retrospective report on the 37th General assembly in Zurich (June 2010).

Codesofpractice

The Actuaries Code and CPD update [copies of slides only] Newton, Derek; Hilary, Neil. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 73001

Communications

Maintaining stakeholder trust in difficult times: some fundamental reflections in light of the credit crisis. Schanz, Kai-Uwe. Shelved at: Per: Geneva (Oxf) 39032 Geneva Papers on Risk and Insurance (2009) 34 (2) : 260-270. Abstract: Against the backdrop of the credit crisis, the paper looks into the crucial role of trust and reputation in the insurance industry. We also offer some specific recommendations for management to consider in order to preserve these indispensable intangible assets in times of evaporating confidence, freezing credit markets and contracting economies. Admittedly, compared with banks, insurers are less vulnerable to a life-threatening, sudden withdrawal of trust as policyholders pay premiums upfront and, generally, exercise no direct influence on the level of claims. However, from a longer-term perspective, maintaining trust in the industry in general and in their respective company in particular can be viewed as the most fundamental objective an insurer's management has to meet.

Comparativestudies

Efficiency in the International Insurance Industry : A Cross-Country Comparison. Eling, Martin; Luhnen, Michael. - - St Gallen: - Institute of Insurance Economics, 2009. - (Working papers on risk management and insurance no. 72). - No. pages: 33. 72610 URL: http://www.ivw.unisg.ch/org/ivw/web.nsf/SysWebRessources/WP72/$FILE/WP72.pdf Abstract: The purpose of this paper is to provide new empirical evidence on frontier efficiency measurement in the international insurance industry, a topic of great interest in the academic literature during the last several years. A broad efficiency comparison of 6,462 insurers from 36 countries is conducted. Different methodologies, countries, organizational forms, and company sizes are compared, considering life and non-life insurers. We find a steady technical and cost efficiency growth in international insurance markets from 2002 to 2006, with large differences across countries. Denmark and Japan have the highest average efficiency, whereas the Philippines is the least

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efficient. Regarding organizational form, the results are not consistent with the expense preference hypothesis, which claims that mutuals should be less efficient than stocks due to higher agency costs. Only minor variations are found when comparing different frontier efficiency methodologies (data envelopment analysis, stochastic frontier analysis).

Competition

Time deductibles as screening devices : competitive markets. Spreeuw, Jaap; Karlsson, Martin. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39156 Journal of Risk and Insurance (2009) 76 (2) : 261-278. Abstract: Seminal papers on asymmetric information in competitive insurance markets, analyzing the monetary deductible as a screening device, show that any existing equilibrium is of a separating type. High risks buy complete insurance, whereas low risks buy partial insuranceand this result holds for the Nash behavior as well as for the Wilson foresight. In this article, we analyze the strength of screening based on limitations to the period of coverage of the contract. We show that in this case (1) the Nash equilibrium may entail low risks not purchasing any insurance at all, and (2) under the Wilson foresight, a pooling equilibrium may exist. Winner's Curse : The Unmodelled Impact of Competition : Report of the Winners Curse GIRO Working Party. Winners Curse Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). - No. pages: 81. 73006 URL: http://www.actuaries.org.uk/research-and-resources/documents/winners-curse-unmodelled-impactcompetition-report-winners-curse-gi Abstract: The objective of this paper is to outline the theory of the winners curse, provide some further examples of its operation in practice and, in particular, to illustrate where it may be a key feature of insurance markets. What Effect Did AIG's Bailout, and the Preceding Events, Have on Its Competitors? Egginton, Jared F; Hilliard, James I; Liebenberg, Andre P; Liebenberg, Ivonne A. - - No. pages: 25. [Faculty: RIS/MAN] 73285 Risk Management and Insurance Review (2010) 13 (2) : 225-249. Abstract: We examine the effect of American International Group's (AIG) bailout, and the events leading up to it, on its insurance industry rivals. The reaction of rivals to AIG-related events depends on the relative strength of two competing effects. The contagion effect implies that rival returns will decrease following negative events affecting AIG. In contrast, competitive effects will occur if investors expect that rivals will be able to benefit from AIG's downfall. Using three-factor multivariate regression model event study methodology, we find evidence of both effects around several key dates in AIG's decline.

Compounddistributions

Recursions for convolutions and compound distributions with insurance applications. Sundt, Bjorn; Vernic, Raluca. - - Heidelberg: - Springer-Verlag, 2009. - (EAA Lecture Notes). - No. pages: 345. Shelved at: UG (Oxf) 39006 Abstract: Since 1980, methods for recursive evaluation of aggregate claims distributions have received extensive attention in the actuarial literature. This book gives a unified survey of the theory and is intended to be self-contained to a large extent. As the methodology is applicable also outside the actuarial field, it is presented in a general setting, but actuarial applications are used for motivation. The book is divided into two parts. Part I is devoted to univariate distributions, whereas in Part II, the methodology is extended to multivariate settings. Primarily intended as a monograph, this

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book can also be used as text for courses on the graduate level. Suggested outlines for such courses are given. The book is of interest for actuaries and statisticians working within the insurance and finance industry, as well as for people in other fields like operations research and reliability theory.

Computerscience

Computational intelligence techniques for general insurance. Parodi, Pietro. - 2009. - (Specialist Applications Dissertation). - No. pages: 161. Shelved at: BX/EEQ (Oxf) [Faculty: 519.287 PAR] 39457 URL: http://www.actuaries.org.uk/research-and-resources/documents/computational-intelligence-techniquesgeneral-insurance Contents: SA0 Research dissertation Abstract: This paper is an attempt to answer the question "What is the proper framework for understanding risk?" in the context of general insurance. It argues that although actuaries and other risk professionals tend to deal with risk in the context of classical statistics and by resorting to subjective judgment to compensate the inadequacies of this framework, understanding risk is actually an 'ecological' problem and it is more fruitful to look at risk in the context of computational intelligence.

Computersecurity

Competitive Cyber-Insurance and Internet Security. Shetty, Nikhil; Schwartz, Galina; Felegyhazi, Mark; Walrand, Jean. - - London: - Workshop on the Economics of Information Security, 2009. - (The Eighth Workshop on the Economics of Information Security (WEIS 2009) University College London, England 24-25 June 2009). - No. pages: 22. 72915 URL: http://weis09.infosecon.net/files/146/paper146.pdf Abstract: This paper investigates how competitive cyber-insurers affect network security and welfare of the networked society. In our model, a users probability to incur damage (from being attacked) depends on both his security and the network security, with the latter taken by individual users as given. First, we consider cyber-insurers who cannot observe (and thus, affect) individual user security. This asymmetric information causes moral hazard. Then, for most parameters, no equilibrium exists: the insurance market is missing. Even if an equilibrium exists, the insurance contract covers only a minor fraction of the damage; network security worsens relative to the noinsurance equilibrium. Second, we consider insurers with perfect information about their users security. Here, user security is perfectly enforceable (zero cost); each insurance contract stipulates the required user security. The unique equilibrium contract covers the entire user damage. Still, for most parameters, network security worsens relative to the no-insurance equilibrium. Although cyberinsurance improves user welfare, in general, competitive cyber-insurers fail to improve network security. Keywords: Cyber Insurance, Interdependent Security, Asymmetric Information, Network Externalities, Incentives for Cyber-Security, Moral Hazard

Computersystems

IT: Cloud gathers for Solvency II. Sher, Martin; McDowell, Brett. Shelved at: online only [Faculty: online only] 69731 The Actuary (2008) November URL: http://www.the-actuary.org.uk Abstract: Martin Sher and Brett McDowell consider how modern computing can improve actuarial

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systems

Computers

Potential Rating Indicators for Cyberinsurance : An Exploratory Qualitative Study. InnerhoferOberperfler, Frank; Breu, Ruth. - - London: - Workshop on the Economics of Information Security, 2009. - (The Eighth Workshop on the Economics of Information Security (WEIS 2009) University College London, England 24-25 June 2009). - No. pages: 30. 72916 URL: http://weis09.infosecon.net/files/141/paper141.pdf Abstract: In this paper we present the results of an exploratory qualitative study with experts. The aim of the study was the identification of potential rating variables which could be used to calculate a premium for Cyberinsurance coverages. For this purpose we have conducted semistructured qualitative interviews with a sample of 36 experts from the DACH region. The gathered statements have been consolidated and further reduced to a subset of indicators which are available and difficult to manipulate. The reduced set of indicators has been presented again to the 36 experts in order to rank them according to their relative importance. In this paper we describe the results of this exploratory qualitative study and conclude by discussing implications of our findings for both research and practice. Alls Well That Ends : IT projects and how to survive them [copies of slides only] Bland, Richard. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72926

Confidencelimits

Maintaining stakeholder trust in difficult times: some fundamental reflections in light of the credit crisis. Schanz, Kai-Uwe. Shelved at: Per: Geneva (Oxf) 39032 Geneva Papers on Risk and Insurance (2009) 34 (2) : 260-270. Abstract: Against the backdrop of the credit crisis, the paper looks into the crucial role of trust and reputation in the insurance industry. We also offer some specific recommendations for management to consider in order to preserve these indispensable intangible assets in times of evaporating confidence, freezing credit markets and contracting economies. Admittedly, compared with banks, insurers are less vulnerable to a life-threatening, sudden withdrawal of trust as policyholders pay premiums upfront and, generally, exercise no direct influence on the level of claims. However, from a longer-term perspective, maintaining trust in the industry in general and in their respective company in particular can be viewed as the most fundamental objective an insurer's management has to meet.

Consultancy

Relying on Others - The Consultants Perspective [copies of slides only] O'Brien, Rory. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73529 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/pl5-rory-obrien.pdf

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Consumerattitudes

How Insurance Brokers Create ValueA Functional Approach. Maas, Peter. - - No. pages: 11. [Faculty: RIS/MAN] 77286 Risk Management and Insurance Review (2010) 13 (1) : 1-20. Abstract: Fundamental changes in the market make it necessary for insurance intermediaries to continuously redefine their roles. This study concentrates on a customer perspective of the future role of insurance brokers, using the theoretical foundations of the customer value approach. Findings from 20 in-depth interviews with leading managers of various types of multinational companies are supplemented with the results from interviews conducted with representatives of intermediaries and insurers. From this study it can be concluded that, depending on the customer's individual situation, brokers will assume one of four functions, the choice of which will be highly dependent on the degree of innovation and individualization desired. The investigation shows that although traditional transaction-oriented services will continue to be important, there will be a shift toward tailor-made solutions with an emphasis on consulting services, a situation that will require brokers to acquire new skills so as to be able to meet customer needs.

Closing the gap. Bale, Stephen. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39470 The Actuary (2010) April : 39-41. URL: http://www.the-actuary.org.uk Abstract: Stephen Bale looks at consumers' attitude to insurance products with reference to the Retail Distribution Review and suggests some approaches to closing the protection gap.

Consumerbehaviour

Consumption externality and equilibrium underinsurance. Huang, Rachel J; Tzeng, Larry Y. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38780 Journal of Risk and Insurance (2008) 75 (4) : 1039-1054. Abstract: Relative consumption has been found to be crucial in many areas, such as asset pricing, the design of taxation, and economic growth. This article extends this line of research to the individual's insurance decision. We first define "keeping up with the Joneses" in the purchase of insurance and find that jealousy does not necessarily give rise to "keeping up with the Joneses." We also identify several sufficient conditions that cause the optimal coverage in the private market to be less than the social optimum (equilibrium underinsurance). Jealousy is found to be neither a sufficient nor a necessary condition for equilibrium underinsurance. We further show that a social welfare maximizing government could adopt a tax system to correct for the consumption externality and make individuals better off. On the role of patience in an insurance market with asymmetric information. Sonnenholzner, Michael; Wambach, Achim. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39159 Journal of Risk and Insurance (2009) 76 (2) : 323-341. Abstract: We analyze a two-period competitive insurance market that is characterized by the simultaneous presence of moral hazard and adverse selection with regard to consumer time preferences. It is shown that there exists an equilibrium in which patient consumers use high effort and buy an insurance contract with high coverage, whereas impatient consumers use low effort and buy a contract with low coverage or even remain uninsured. This finding may help to explain why the opposite of adverse selection with regard to risk types can sometimes be observed empirically. Closing the gap. Bale, Stephen. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39470 The Actuary (2010) April : 39-41. URL: http://www.the-actuary.org.uk

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Abstract: Stephen Bale looks at consumers' attitude to insurance products with reference to the Retail Distribution Review and suggests some approaches to closing the protection gap. Demand modelling working party. Tanser, James; Light, John; Mealy, Sophia; Morris, Owen. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72700 URL: http://www.actuaries.org.uk/research-and-resources/documents/demand-modelling-personal-lines-0 Behavioural ERM and the ORSA [copies of slides only] Cantle, Neil. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73531 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/pl6-neil-cantle.pdf

Continuingeducation

The Actuaries Code and CPD update [copies of slides only] Newton, Derek; Hilary, Neil. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 73001

Control

Optimal control of capital injections by reinsurance in a diffusion approximation. Eisenberg, Julia; Schmidli, Hanspeter. Shelved at: Per: Bltter (Lon); online only 43365 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2009) 30 (heft 1) : 1-13. URL: http://www.springerlink.com/content/1864-0303/ Demutualisation, control and efficiency in the U.S. life insurance industry. Xie, Xiaoying; Lu, WeiLi; Reising, Joseph; Stohs, Mark Hoven. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45331 Geneva Papers on Risk and Insurance (2011) 36 (2) : 197-225. Abstract: This paper examines the role of corporate governance in the demutualisation wave in the U.S. life insurance industry during the 1990s and 2000s. The efficiency hypothesis suggests a firm should experience improved performance after demutualisation and managers should only gain from superior performance. Alternately, the managerial welfare hypothesis proposes that executives gain independence of company performance. This research suggests that demutualisation is valueenhancing for firms converting through initial public offerings (IPOs), but value-neutral for firms that convert but stay private. Firms converting into public companies experience increased CEO turnover that leads to efficiency improvement. CEOs of these firms receive higher compensation after demutualisation, but most of the gain is due to a jump in incentive compensation. Firms converting but staying private do not have a similar significant increase in CEO compensation. Overall, our results provide evidence that value-enhancement, not private managerial welfare, motivates demutualisation.

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Copulas

Estimating the probability of a rare event via elliptical copulas. Peng, Liang. - 2008. - No. pages: 13. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69473 North American Actuarial Journal (2008) 12 (2) : 116-128. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2peng.pdf Abstract: A rare event happens with an extremely small probability but may cost billions of dollars. How to model and estimate the small probability of such an event is of importance to the insurance industry. Based on multivariate extreme value theory, methods have been proposed to extrapolate data into a far tail region. However, questions still remain open, such as the direction of extrapolation for a multivariate distribution and threshold selection for both marginals and the tail dependence function. In this paper we provide a way to estimate the probability of a rare event via modeling marginals and dependence by heavy tailed distributions and elliptical copulas, respectively. Hence, the direction of extrapolation becomes irrelevant. Moreover we employ recent threshold selection procedures to choose tuning parameters automatically. Copulas: a personal view. Embrechts, Paul. - - No. pages: 12. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71009 Journal of Risk and Insurance (2009) 76 (3) : 639-650. Abstract: Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this article, I review the early start of this development, discuss some important current research, mainly from an applications point of view, and comment on potential future developments. An alternative title of the article would be "Demystifying the copula craze." The article also contains what I would like to call the copula must-reads. Modeling and management of nonlinear dependenciescopulas in dynamic financial analysis. Eling, Martin; Toplek, Denis. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71010 Journal of Risk and Insurance (2009) 76 (3) : 651-681. Abstract: We study the influence of nonlinear dependencies on a non-life insurer's risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis framework and conduct numerical tests. We also test risk management strategies in response to adverse outcomes. Nonlinear dependencies have a crucial influence on the insurer's risk profile that can hardly be affected by the analyzed management strategies. We find large differences in risk assessment for the ruin probability and for the expected policyholder deficit. This has important implications for insurers, regulators, and rating agencies that use these measures as a foundation for internal risk models, capital standards, and ratings. Bivariate Archimedean Copulas for Individual Claim Loss Reserving Models. Zhao, XiaoBing; Zhou, Xian. - North Ryde, NSW: - Macquarie University, 2009. - (Centre for Financial Risk Working Paper 09-04). - No. pages: 30. 72482 URL: http://www.businessandeconomics.mq.edu.au/faculty_docs/Staff_Documents/CFR_09-04.pdf Abstract: The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving. In this paper, we propose to use semicompeting risks copula and semi-survival copula models to fit the dependence structure of the event times with the delays in individual claim loss model. A nonstandard two-step procedure is applied to our setting in which the associate parameter and one margin are estimated based on an ad hoc estimator of the other margin. The asymptotic properties of the estimators are established as well. A simulation study is carried out to evaluate the performance of the proposed methods. Key words: IBNR claim, individual claim loss model, Archimedean copulas, semi-competing risks, semi-survival copula.

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Modeling dependence between loss triangles using copulas. de Jong, Piet. - - North Ryde, NSW: - Macquarie University, 2009. - (Centre for Financial Risk Working Paper 09-06). - No. pages: 19. 72484 URL: http://www.businessandeconomics.mq.edu.au/faculty_docs/Staff_Documents/CFR_09-06.pdf Abstract: A critical problem in property and casualty insurance is forecasting payments for incurred but not yet finalized claims. Forecasts and associated risk margins are often based on loss triangles with each triangle corresponding to a different line of business. Each triangle displays the development over time of all payments associated with claims originating in each year and for a given line of business. Risk margin calculations are available for individual triangles. However lines of business are often related and an overall risk margins must reflect dependence between triangles. This article develops, implements and applies a model for loss triangle dependence. The model links payouts in different triangles in the same calendar year via a copula. Methods reduce to relatively simple calculations in the case of a Gaussian copula in which case association is captured through a correlation matrix. The impact of the correlations is moderated by quantities called communalities. Correlations can be structured in terms of factor models. Procedures are applied to US loss triangle data and the impact of loss triangle association on different risk measures is considered. Diversification benefit formulas are presented as well as formulas for the allocation of those benefits back individual lines of business. Key words: Copulas, Gaussian Copula, Specificity, Communality, Loss triangles, Forecasting, Diversification benefits. Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas. Gaillardetz, Patrice. - - No. pages: 29. 72570 Journal of Probability and Statistics (2010) URL: http://www.hindawi.com/journals/jps/2010/726389.html Abstract: We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index. These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process. A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market. On the Subaddivity of Tail Value at Risk: An Investigation with Copulas. Desmedt, Stijn; Walhin, Jean-Francois. Shelved at: Per: Variance 45073 Variance (2008) 2 (2) : 231-252. URL: http://www.variancejournal.org/issues Abstract: In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks. To describe the dependence structure, we use a range of various copulas. This allows us to judge whether or not the Tail Value at Risk is too subadditive under a wide range of conditions. Furthermore, we discuss the effect of different copulas on the diversification possibilities.

Correlation

Statistical quality standards? Correlations? Help! [copies of slides only] Cairns, Martin; Chinyemba, Simba. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45032 URL: http://www.actuaries.org.uk/research-and-resources/documents/d06-statistical-quality-standardscorrelations-help-slides

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Two Approaches to Calculating Correlated Reserve Indications Across Multiple Lines of Business. Kirschner, Gerald S; Kerley, Colin; Isaacs, Belinda. Shelved at: Per: Variance 45055 Variance (2008) 2 (1) : 15-38. URL: http://www.variancejournal.org/issues Abstract: When focusing on reserve ranges rather than point estimates, the approach to developing ranges across multiple lines becomes relevant. Instead of being able to simply sum across the lines, we must consider the effects of correlations between the lines. This paper presents two approaches to developing such aggregate reserve indications. Both approaches rely on a simulation model. One takes into account the actuarys judgment as to the correlations between the different underlying blocks of business, and the second uses bootstrapping to eliminate the need for the actuary to make judgment calls about the nature of the correlations. The Common Shock Model for Correlated Insurance Losses. Meyers, Glenn G. Shelved at: Per: Variance 45078 Variance (2008) 2 (2) : 40-52. URL: http://www.variancejournal.org/issues Abstract: This paper discusses an approach to the correlation problem in which losses from different lines of insurance are linked by a common variation (or shock) in the parameters of each lines loss model. The paper begins with a simple common shock model and graphically illustrates the effect of the magnitude of the shocks on correlation. Next it describes some more general common shock models that involve common shocks to both the claim count and claim severity distributions. It derives formulas for the correlation between lines of insurance in terms of the magnitude of the common shocks and the parameters of the underlying claim count and claim severity distributions. Finally, it shows how to estimate the magnitude of the common shocks. A feature of this estimation is that it uses the data from several insurers.

Costaccounting

The cost efficiency of Takaful insurance companies. Kader, Hale Abdul; Adams, Mike; Hardwick, Philip. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39867 Geneva Papers on Risk and Insurance (2010) 35 (1) : 161-181. Abstract: This study examines the cost efficiancy of non-life Takaful insurance firms operating in 10 Islamic countries. Non-parametric data envelopment analysis is used to compute cost efficiency scores and a second-stage logit transformation regression model is then estimated to test the influence of corporate characteristics on these efficiencies. We find that non-executive directors and separating the Chief Executive Officer and Chairman functions do not improve cost efficiency. However, board size, firm size and product specialisation have positive effects of the cost efficiency of Takaful insurers. In contrast, the regulatory environment is found not to be statistically significant in terms of improving cost efficiency. We conclude that our results could have important commercial and policy implications.

Costcontrol

The cost efficiency of Takaful insurance companies. Kader, Hale Abdul; Adams, Mike; Hardwick, Philip. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39867 Geneva Papers on Risk and Insurance (2010) 35 (1) : 161-181. Abstract: This study examines the cost efficiancy of non-life Takaful insurance firms operating in 10 Islamic countries. Non-parametric data envelopment analysis is used to compute cost efficiency scores and a second-stage logit transformation regression model is then estimated to test the influence of corporate characteristics on these efficiencies. We find that non-executive directors and

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separating the Chief Executive Officer and Chairman functions do not improve cost efficiency. However, board size, firm size and product specialisation have positive effects of the cost efficiency of Takaful insurers. In contrast, the regulatory environment is found not to be statistically significant in terms of improving cost efficiency. We conclude that our results could have important commercial and policy implications.

Costs

Issuance decisions and strategic focus: the case of long-term care insurance. McShane, Michael K; Cox, Larry A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38941 Journal of Risk and Insurance (2009) 76 (1) : 87-108. Abstract: Increasing costs of long-term care are placing ever greater burdens on state and federal budgets, yet private long-term care insurance remains a relatively minor financing vehicle. Although many researchers provide rationales for the limited private market, some lifehealth insurers have forged ahead into this relatively new and risky line of business. We investigate what makes these insurers different and whether managers are following a diversification or strategic focus strategy. We find that strategic focus is a consistently important factor and that managers' participation and volume decisions are made independently.

Credibility

Issues in Claims Reserving and Credibility: A Semiparametric Approach With Mixed Models. Antonio, Katrien; Beirlant, Jan. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38593 Journal of Risk and Insurance (2008) 75 (3) : 643-676. Abstract: Using the statistical methodology of semi-parametric regression and its connection with mixed models, this article revisits smoothing models for loss reserving and credibility. Apart from the flexibility inherent to all semiparametric methods, advantages of the semiparametric approach developed here are threefold. First, a Bayesian implementation of these smoothing models is relatively straightforward and allows simulation from the full predictive distribution of quantities of interest. Second, because the constructed models have an interpretation as (generalized) linear mixed models ((G)LMMs), standard statistical theory and software for (G)LMMs can be used. Third, more complicated data sets, dealing, for example, with quarterly development in a reserving context, heavy tails, semi-continuous data, or extensive longitudinal data, can be modeled within this framework. Multidimensional credibility with time effects : an application to commercial business lines. Englund, Martin; Gustafsson, Jim; Nielsen, Jens Perch; Thuring, Fredrik. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39164 Journal of Risk and Insurance (2009) 76 (2) : 443-453. Abstract: This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently. A costly affair, but nevertheless, the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience rating improves this sophisticated pricing method as much as it originally improved pricing compared with a trivial flat rate. Hence, it is very important to take advantage of available customer experience. We verify that recent developments in multivariate credibility theory improve the prediction significantly, and we contribute to this theory with new robust estimation methods for time (in-)dependency. Nonlife actuarial models : Theory, methods and evaluation. Tse, Yiu-Kuen. - - Cambridge: - Cambridge University Press, 2009. - (International Series on Actuarial Science). - No. pages: 524. Shelved at: BX/UGJ/TK (Oxf) [Faculty: 368.01 TSE] 39313 URL: http://www.openathens.net/

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Contents: Claim-frequency distribution -- Claim-severity distribution -- Aggregate-loss models -- Risk measures -- Ruin theory -- Classical credibility -- Buhlmann credibility -- Bayesian approach -Empirical implementation of credibility -- Model estimation and types of data -- Nonparametric model estimation -- Parametric model estimation -- Model evaluation and selection -- Basic Monte Carlo methods -- Applications of Monte Carlo methods -- Review of statistical tools Abstract: Gives complete syllabus coverage for Exam C of the Society of Actuaries (SOA), while emphasizing the concepts and practical application of nonlife actuarial models. Topics include: modeling of losses, risk and ruin theory, credibility theory and applications, and empirical implementation of loss models. Also covers more recent topics such as risk measures and bootstrapping. Nonparametric Bayesian Credibility. Siu, T K; Yang, H. - - Sydney: - Institute of Actuaries of Australia, 2009. No. pages: 12. Shelved at: Per: AAJ (Oxf) [Faculty: AUS/ACT] 72041 Australian Actuarial Journal (2009) 15 (2) : 209-230. URL: http://www.actuaries.asn.au/Libraries/Information_Knowledge/AAJ_Vol15_Iss2_web.sflb.ashx Abstract: This paper introduces nonparametric Bayesian credibility without imposing stringent parametric assumptions on claim distributions. We suppose that a claim distribution associated with an unknown risk characteristic of a policyholder is an unknown parameter vector with infinite dimension. In this way, we incorporate the uncertainty of the functional form of the claim distribution associated with the unknown risk characteristic in calculating credibility premiums. Using the results of Ferguson (1973), formulas of the Bayesian credibility premiums are obtained. The formula for the Bayesian credibility pure premium is a linear combination of the overall mean and the sample mean of the claims. This is consistent with the result in the classical credibility theory. We perform a simulation study for the nonparametric Bayesian credibility pure premiums and compare them with the corresponding Bhlmann credibility premiums. Estimation results for the credibility premiums using Danish fire insurance loss data are presented. Keywords: nonparametric Bayesian credibility, risk characteristic of policyholder, random probability distribution, credibility premium principle, Dirichlet process. Interval Estimation of the Credibility Factor. Gangopadhyay, Ashis; Gau, Wu-Chyuan; Han, Zhongxian. Shelved at: Per: Variance 45058 Variance (2008) 2 (1) : 71-84. URL: http://www.variancejournal.org/issues Abstract: In this article, we present a Bayesian approach for calculating the credibility factor. Unlike existing methods, a Bayesian approach provides the decision maker with a useful credible interval based on the posterior distribution and the posterior summary statistics of the credibility factor, while most credibility models only provide a point estimate. A simulated example is used to demonstrate the advantages and disadvantages of the Bayesian credibility factor proposed in this article.

Crime

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf

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Criticalillnessinsurance

Effects of Genetic Testing on Insurance Pedigree Analysis and Ascertainment Adjustment. MacCalman, Laura. - - Edinburgh: - Heriot-Watt University, 2009. - (PhD Thesis, Heriot-Watt University). - No. pages: 236. 72140 URL: http://www.ma.hw.ac.uk/~angus/papers/lm_phd.pdf Abstract: Recent advances in genetics have resulted in the identification of mutations responsible for a number of genetic disorders which, in turn, have led to the development of genetic tests. The use of genetic testing raises the issue of who should be allowed access to the results; in particular should insurers be allowed to use genetic test results when calculating premium rates? At the moment there is a self-imposed moratorium in the UK preventing insurers from using the results of presymptomatic genetic tests until more investigation is carried out. It is well-established that critical-illness (and sometimes life) insurance cannot be offered to mutation carriers. However such conclusions have (necessarily) been based on the published medical studies available, few of which include the detail needed to reconstruct the data. At the same time, the Genetics and Insurance Committee (GAIC) is setting out criteria that must be met if any genetic tests may be used in underwriting. These criteria cover questions of reliability that from a statistical point of view must include the estimation of insurance premiums from medical or epidemiological data. This question is rarely addressed: we address it in this thesis using pedigree data for Huntingtons Disease and BRCA1-related breast and ovarian cancer. In particular, we study the extent to which ascertainment bias, long known to affect pedigree analysis, affects the actuarial questions of pricing insurance. Having direct access to pedigree data gives us a unique opportunity to analyse how the sampling uncertainty inherent in the data translates into sampling uncertainty in actuarial quantities such as premium rates; moreover, allowing for ascertainment bias and adjustments to remove it. In particular, we are able to assess the validity of ad hoc adjustments to onset rates used by other authors. Multifactorial genetic disorders and adverse selection : Epidemiology meets economics. Macdonald, Angus; Tapadar, Pradip. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39639 Journal of Risk and Insurance (2010) 77 (1) : 155-182. Abstract: The focus of genetics is shifting its contribution to common, complex disorders. New genetic risk factors will be discovered, which if undisclosed may allow adverse selection. However, this should happen only if low-risk individuals would reduce their expected utility by insuring at the average price. We explore this boundary, focusing on critical illness insurance and heart attack risk. Adverse selection is, in many cases, impossible. Otherwise, it appears only for lower risk aversion and smaller insured losses, or if the genetic risk is implausibly high. We find no strong evidence that adverse selection from this source is a threat.

Customerrelationshipmanagement

Understanding the customer value chain [copies of slides only] Brockman, Michael. - - London: - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Pricing seminar 2008 Royal College of Physicians, London, 13 June 2008). 72819 URL: http://www.actuaries.org.uk/research-and-resources/documents/understanding-customer-value-chain-0

Damages

Personal injury damages in Scotland : An exposition of the law governing the calculation of damages in personal injury cases : (includes Ogden Tables) Bennett, S A. - - 5th ed. - Edinburgh: - Barnstoneworth Press, 2009. - No. pages: Loose leaf file. [Faculty: 346.0323 BEN] 63590

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Loss, destruction or damage of goods in the custody of a bailee related issues and concepts. Sanyal, B. Shelved at: Per: Bimaquest (Oxf) 37948 Bimaquest (2008) 8 (1) : 6-14. Abstract: In insurance claims, we often come across situations where a loss or damage has occurred in the custody of a bailee. Whereas the legal provisions relating to the carriers of goods are well known, the issues of law pertaining to a bailee of goods are rarely highlighted. The purpose of this paper is to bring forth some of the aspects relevant to this topic. Principles and Practice of Assessing Damages for Personal Injury and Wrongful Death in Ireland. Whelan, Shane. - - Dublin: - Society of Actuaries in Ireland, 2008. - No. pages: 26. 72214 URL: https://web.actuaries.ie/sites/default/files/081118%20Principles%20and%20Practice%20of%20Assessing%20D amages%20for%20Personal%20Injury%20and%20Wrongful%20Death%20in%20Ireland.pdf

Data

Dealing with sparse data - practical challenges and techniques [copies of slides only] Chhabra, Ajay; Parodi, Pietro. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45009 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b04-ajay-chhabra-pietro-parodi.pdf

Datacollectionandrecording

Guidance on the publication of data associated with the use of gender in the assessment of insurance risks. London: - HM Treasury, 2008. - No. pages: 16. 72625 URL: http://webarchive.nationalarchives.gov.uk/+/http://www.hmtreasury.gov.uk/d/consult_insurance070308.pdf Abstract: Section 45(3)(a) of the 1975 Act (and Article 46(3) of the 1976 Order) permits discrimination in insurance between men and women in relation to premiums or benefits, under contracts entered into after 5 April 2008, subject to the conditions set out in the legislation. One condition is that the use of sex as a factor in the assessment of risk is based on relevant and accurate actuarial and statistical data; a second condition is that the data must be compiled, published (whether in full or summary form) and regularly updated in accordance with guidance issued by the Treasury. This guidance note constitutes the Treasury guidance on how data should be compiled, published and regularly updated. Lloyds Issues [copies of slides only] Johnson, Henry; Badal, Veekash; Kirk, Jerome. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72735

Datamining

Distinguishing the Forest from the TREES: A Comparison of Tree-Based Data Mining Methods. Derrig, Richard A; Francis, Louise A. Shelved at: Per: Variance 45071 Variance (2008) 2 (2) : 184-208.

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URL: http://www.variancejournal.org/issues Abstract: One of the most commonly used data mining techniques is decision trees, also referred to as classification and regression trees or C&RT. Several new decision tree methods are based on ensembles or networks of trees and carry names like TreeNet and Random Forest. Viaene et al. compared several data mining procedures, including tree methods and logistic regression, for modeling expert opinion of fraud/no fraud using a small fixed data set of fraud indicators or red flags. They found that simple logistic regression did as well at matching expert opinion on fraud/no fraud as the more sophisticated procedures. In this paper we will introduce some publicly available regression tree approaches and explain how they are used to model four proxies for fraud in insurance claim data. We find that the methods all provide some explanatory value or lift from the available variables with significant differences in fit among the methods and the four targets. All modeling outcomes are compared to logistic regression as in Viaene et al., with some model/software combinations doing significantly better than the logistic model.

Dataprotection

The Effect of Data Breaches on Shareholder Wealth. Gatzlaff, Kevin M; McCullough, Kathleen A. - - No. pages: 12. [Faculty: RIS/MAN] 72289 Risk Management and Insurance Review (2010) 13 (1) : 61-83. Abstract: Many companies face the risk of a data breach exposing stored personal information of customers and employees. The frequency of such incidents has been increasing over time and can result in significant costs for the affected firm. This article examines the stock market's assessment of the cost of data breaches at publicly traded companies in which personal information such as customer and/or employee data are exposed. Using event study methodology on a sample of 77 events between the beginning of 2004 and the end of 2006, we find that the overall effect of a data breach on shareholder wealth is negative and statistically significant. Based on a cross-sectional analysis of the cumulative abnormal returns, we find a negative association between market reaction and firms that are less forthcoming about the details of the breach. We also find that firms with higher market-to-book ratios experience greater negative abnormal returns associated with a data breach. Further, we find that firm size and subsidiary status mitigate the negative effect of a data breach on the firm's stock price and that the negative market reaction to a data breach is more significant in the most recent time periods of the sample.

Death

Principles and Practice of Assessing Damages for Personal Injury and Wrongful Death in Ireland. Whelan, Shane. - - Dublin: - Society of Actuaries in Ireland, 2008. - No. pages: 26. 72214 URL: https://web.actuaries.ie/sites/default/files/081118%20Principles%20and%20Practice%20of%20Assessing%20D amages%20for%20Personal%20Injury%20and%20Wrongful%20Death%20in%20Ireland.pdf

Deathbenefit

Impacts of jumps and stochastic interest rates on the fair costs of guaranteed minimum death benefit contracts. Quittard-Pinon, Franois; Randrianarivony, Rivo. Shelved at: Per: Geneva (Oxf) 45275 Geneva Risk and Insurance Review (2011) 36 (1) : 51-73. Abstract: The authors offer a new perspective to the field of guaranteed minimum death benefit contracts, especially for simple return premium and rising floor guarantees. A particular feature of

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these contracts is a guaranteed capital upon the insured's death. A complete methodology based on the generalized Fourier transform is proposed to investigate the impacts of jumps and stochastic interest rates. This paper thus extends Milevsky and Posner (2001). If jumps alone are considered, similar results are obtained, but, when stochastic interest rates are introduced, the fair costs of the guarantee feature are found to be substantially higher in this more general economy.

Definedcontributionschemes

Income Drawdown Schemes for a Defined-Contribution Pension Plan. Emms, Paul; Haberman, Steven. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38597 Journal of Risk and Insurance (2008) 75 (3) : 739-761. Abstract: In retirement a pensioner must often decide how much money to withdraw from a pension fund, how to invest the remaining funds, and whether to purchase an annuity. These decisions are addressed here by introducing a number of income drawdown schemes, which are relevant to a defined-contribution personal pension plan. The optimal asset allocation is defined so that it minimizes the expected loss of the pensioner as measured by the performance of the pension fund against a benchmark. Two benchmarks are considered: a risk-free investment and the price of an annuity. The fair-value income drawdown rate is defined so that the fund performance is a martingale under the objective measure. Annuitization is recommended if the expected fair-value drawdown rate falls below the annuity rate available at retirement. As an illustration, the annuitization age is calculated for a Gompertz mortality distribution function and a power law loss function.

Demandanalysis

The aggregate demand for private health insurance coverage in the United States. Ahking, Francis W; giaccotto, carmelo; Santerre, Rexford E. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38943 Journal of Risk and Insurance (2009) 76 (1) : 133-157. Abstract: This article estimates the aggregate demand for private health insurance coverage in the United States using an error correction model for the period 19661999. Both short- and long-run price and income elasticities of demand are estimated. The empirical findings indicate that both private insurance enrollment and the completeness of insurance are relatively inelastic with respect to changes in price and income in the short and long run. Moreover, the results suggest that an increase in the number cyclically and frictionally uninsured generates less welfare loss than an increase in the number of structurally uninsured. Determinants of household demand for insurance: the case of Korea. Lee, Soon-Jae; Kwon, Soon Il; Chung, Seok Young. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39972 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S82-S91. Contents: Special issue on insurance in Asia. Abstract: This article analyses the effect of household characteristics on the demand for insurance using consumer survey data in Korea. Using Tobit analysis, we have found that the self-employed have a stronger demand for insurance than salaried workers, and that residents of small cities and rural areas purchase more protection-type insurance than metropolitan residents. Demand for insurance can differ depending on employment type and residential area, which has not been examined in previous studies. We have also found that there is a curvilinear relationship between age and demand for insurance. Results suggest that households with different demographic characteristics choose different risk-reducing instruments.

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Demography

Age and Gender Effects on Auto Liability Insurance Payouts. Doerpinghaus, Helen I; Schmit, Joan T; Jia-Hsing Ye, Jason. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38588 Journal of Risk and Insurance (2008) 75 (3) : 527-550. Abstract: We examine the relationship between claimant demographic characteristics (specifically, gender, age, and marital status) and the relative size of automobile third-party settlements. We present three possible theories to explain differences in payouts associated with gender and age: variations in risk attitudes, variations in negotiating costs, and discrimination. Results of empirical testing are consistent with differences in settlement amounts, particularly with respect to gender. These differences are examined and discussed along with suggestions for future research. Racial Differences in the Demand for Life Insurance. Gutter, Michael S; Hatcher, Charles B. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38594 Journal of Risk and Insurance (2008) 75 (3) : 677-689. Abstract: The objective of this article is to measure racial differences in the proportion of human capital that households protect with life insurance. Using the 2004 Survey of Consumer Finances data, racial differences in two stages of the process are tested, where it is assumed that households must decide both whether or not to purchase life insurance and how much of their human capital to insure (if they decide to purchase). Among married and cohabitating households, we find that, controlling for demographics and other factors, there is little difference in life insurance ownership between black and white households but that white households insure a larger proportion of their human capital than black households. Health care insurance in Japan : Beyond a binary vision of State and family. Naito, Kusuto. Shelved at: Per: ISSR (Oxf) 39261 International Social Security Review (2009) 62 (3) : 49-77. Abstract: Despite significant regional diversity in household structures and the existence of community solidarity in Japan, caring for elderly dependent persons has traditionally been considered an exclusively family, and female, responsibility. However, as a result of sociodemographic changes during the second half of the twentieth century, a public system of health care insurance was introduced in 2000. The objective of this development was to "socialize" family and female care activities. This article presents a critical analysis of Japan's health care insurance system and the context that gave rise to its introduction. An important issue is whether the system meets the needs of the elderly and their carers (family and non-family). A further issue is whether the system can take account of regional diversity, diversity in household situations (above and beyond financial concerns), and societal values and beliefs. The article concludes by arguing that demographic ageing presents a societal requirement for the ongoing adjustment of behaviour patterns and living arrangements.

Demutualisation

The Wealth Effect of Demutualization: Evidence From the U.S. Property-Liability and Life Insurance Industries. Lai, Gene C; McNamara, Michael J; Yu, Tong. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38135 Journal of Risk and Insurance (2008) 75 (1) : 125-144. Abstract: This study examines the wealth effect of demutualization initial public offerings (IPOs) by investigating underpricing and postconversion long-run stock performance. Our results suggest that there is more "money left on the table" for demutualized insurers than for non-demutualized insurers. We show that higher underpricing for demutualized firms can be explained by greater market demand, market sentiment, and the size of the offering. Further, contrary to previous research reporting an average underperformance of industrial IPOs, we show that demutualization IPOs outperform non-IPO firms with comparable size and book-to-market ratios and non-demutualized insurers. We present evidence that the outperformance in stock returns is mainly attributable to

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improvement in post-demutualization operating performance and demand at the time of the IPOs. The combined results of underpricing and long-term performance suggest that the wealth of policyholders who choose stock rather than cash or policy credits is not harmed by demutualization. Stockholders who purchase demutualized company shares either during or after the IPO have earned superior returns. Our findings are consistent with the efficiency improvement hypothesis. Demutualization and demand for reinsurance. Wang, Jennifer L; Chang, Vincent Y; Lai, Gene C; Tzeng, Larry Y. Shelved at: Per: Geneva (Oxf) 39045 Geneva Papers on Risk and Insurance (2008) 33 (3) : 566-584. Abstract: This study investigates whether U.S. property-liability insurers change their demand for reinsurance after demutualization. Our empirical results show that the overall demand for reinsurance of converting insurers is not statistically different after the conversion. Furthermore, we find that converting insurers decrease the demand for reinsurance from non-affiliated reinsurers, but increase the demand for reinsurance from affiliated reinsurers after the conversion. One possible explanation is that converting insurers may treat reinsurance to affiliated reinsurers as risk retention rather than risk transfer so that they can reduce reinsurance cost. Another interesting finding is that converting insurers increase demand for reinsurance from non-affiliated reinsurers before conversion. Conversion and efficiency performance changes: evidence from the U.S. property-liability insurance industry. Chen, Lih-Ru; Lai, Gene C; Wang, Jennifer L. Shelved at: Per: Geneva (Oxf) 45273 Geneva Risk and Insurance Review (2011) 36 (1) : 1-35. Abstract: This study investigates whether the conversion of U.S. property-liability insurers improves their efficiency performance before and after the conversion. We estimate relative efficiency of converting insurers and control insurers using data envelopment analysis. The Malmquist analysis is also used to measure changes in efficiency pre- and post-conversion. The evidence shows that converting insurers experience larger gains in cost efficiency and total productivity change than mutual control insurers before conversion. In addition, the empirical results indicate that converting insurers improve efficiency after conversion. These results are robust with respect to both the valueadded and the financial intermediary approaches. The overall results support the efficiency hypothesis proposed by Mayers and Smith (1986). Demutualisation, control and efficiency in the U.S. life insurance industry. Xie, Xiaoying; Lu, WeiLi; Reising, Joseph; Stohs, Mark Hoven. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45331 Geneva Papers on Risk and Insurance (2011) 36 (2) : 197-225. Abstract: This paper examines the role of corporate governance in the demutualisation wave in the U.S. life insurance industry during the 1990s and 2000s. The efficiency hypothesis suggests a firm should experience improved performance after demutualisation and managers should only gain from superior performance. Alternately, the managerial welfare hypothesis proposes that executives gain independence of company performance. This research suggests that demutualisation is valueenhancing for firms converting through initial public offerings (IPOs), but value-neutral for firms that convert but stay private. Firms converting into public companies experience increased CEO turnover that leads to efficiency improvement. CEOs of these firms receive higher compensation after demutualisation, but most of the gain is due to a jump in incentive compensation. Firms converting but staying private do not have a similar significant increase in CEO compensation. Overall, our results provide evidence that value-enhancement, not private managerial welfare, motivates demutualisation.

Denmark

Multidimensional credibility with time effects : an application to commercial business lines. Englund, Martin; Gustafsson, Jim; Nielsen, Jens Perch; Thuring, Fredrik. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39164

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Journal of Risk and Insurance (2009) 76 (2) : 443-453. Abstract: This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently. A costly affair, but nevertheless, the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience rating improves this sophisticated pricing method as much as it originally improved pricing compared with a trivial flat rate. Hence, it is very important to take advantage of available customer experience. We verify that recent developments in multivariate credibility theory improve the prediction significantly, and we contribute to this theory with new robust estimation methods for time (in-)dependency.

Derivatives

Market price of insurance risk implied by catastrophe derivatives. Muermann, Alexander. - 2008. - No. pages: 7. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69481 North American Actuarial Journal (2008) 12 (3) : 221-227. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/july/naaj-2008-vol12-no3muermann.pdf Abstract: Insurance derivatives facilitate the trading of insurance risks on capital markets, such as catastrophe derivatives that were traded on the Chicago Board of Trade. Simultaneously, insurance risks are traded through reinsurance portfolios. In this paper we make inferences about the market price of risk implied by the information embedded in the prices of these two assets. Derivative hedging and insurer solvency: evidence from Taiwan. Yung-Ming, Shiu. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45327 Geneva Papers on Risk and Insurance (2010) 35 (3) : 469-483. Abstract: Using company-level panel data (20012003), this paper empirically examines whether Taiwanese insurers' use of derivatives for hedging purposes is significantly related to their solvency (as measured by solvency ratio). Contrary to the public's perception that firms with derivative programmes have a higher level of solvency if derivatives are employed for hedging purposes, our results indicate that life insurers' derivative hedging generally is not associated with solvency, while non-life insurers using derivative hedging have a lower level of solvency. What motivates insurers to use derivatives: evidence from the United Kingdom life insurance industry. YungMing, Shiu. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45330 Geneva Papers on Risk and Insurance (2011) 36 (2) : 186-196. Abstract: Using firm-specific variables that proxy for the motivations of life insurers decision to participate in derivative transactions, we examine existing theories of corporate hedging behaviour. Our findings support the evidence of previous research that risk management and scale factors explain the use of derivatives. We observe a substitution effect that insurers use on-balance-sheet hedging through structuring their assets and liabilities to reduce price risks.

Developedeconomies

World insurance in 2009 : Premiums dipped but industry capital improved. Swiss Reinsurance Company. - Zurich: - Swiss Reinsurance Company, [Faculty: SIG/SWI] 72690 Sigma (2010) 2 URL: http://www.swissre.com Contents: Global economy: after a deep recession, financial markets recover -- World insurance:

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premiums dipped but industry capital improved -- Industrialised countries: life business contracts, non-life more resilient -- Emerging markets: robust grown continues in many markets -- Methodology and data -- Statistical appendix Abstract: According to Swiss Res latest World insurance in 2009 sigma study, world insurance premium volume fell 1.1% on an inflation-adjusted basis. Life premiums fell 2% while non-life stagnated. Premium growth in the emerging markets slowed but remained positive. The industrys profitability and capital recovered significantly, but have not yet reached pre-crisis levels. (Publisher's blurb) Insurance development and economic growth. Han, Liyan; Li, Donghui; Moshirian, Fariborz; Tian, Yanhui. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39885 Geneva Papers on Risk and Insurance (2010) 35 (2) : 183-199. Abstract: This paper investigate the relationship between insurance development and economic growth by employing GMM models on a dynamic panel data set of 77 economies for the period 1994-2005. Insurance density is used to measure the development of insurance. Controlled by a simple conditioning information set and a policy information set, we can draw a conclusion that insurance development is positively correlated with economic growth. The sample is then divided into developed and developing countries. For the developing economies, the overall insurance development, life insurance and non-life insurance development play a much more important role than they do for the developed economies.

Developingeconomies

Does insurance market activity promote economic growth? : A cross-country study for industrialized and developing countries. Arena, Marco. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38775 Journal of Risk and Insurance (2008) 75 (4) : 921-946. Abstract: Insurance market activity may contribute to economic growth, both as financial intermediary and provider of risk transfer and indemnification, by allowing different risks to be managed more efficiently and by mobilizing domestic savings. During the last decade, there has been faster growth in insurance market activity, particularly in emerging markets, given the process of financial liberalization and integration, which raises questions about the overall impact on economic growth. This article tests whether there is a causal relationship between insurance market activity (life and nonlife insurance) and economic growth. Using the generalized method of moments (GMM) for dynamic models of panel data for 55 countries between 1976 and 2004, I find robust evidence for this relationship. Both life and nonlife insurance have a positive and significant causal effect on economic growth. For life insurance, high-income countries drive the results, and for nonlife insurance, both high-income and developing countries drive the results. Insurance, developing countries and climate change. Linnerooth-Bayer, Joanne; Warner, Koko; Bals, Christoph; Hoppe, Peter; Burton, Ian; Loster, Thomas; Haas, Armin. Shelved at: Per: Geneva (Oxf) 39298 Geneva Papers on Risk and Insurance (2009) 34 (3) : 381-400. Abstract: By providing financial security against droughts, floods, tropical cyclones and other forms of weather extremes, insurance instruments present an opportunity for developing countries in their concurrent efforts to reduce poverty and adapt to climate change. By pricing risk, insurance provides incentives for reducing risks and adapting to climate change; if these premiums are not affordable to the most vulnerable, donors can combine premium support with risk-reduction measures. In this paper, we examine the costs, benefits and risks of public-private (and donor supported) insurance programmes that offer affordable economic security to vulnerable communities and governments. Insurance mechanisms are of particular interest to climate negotiators seeking strategies that help vulnerable countries adapt to increasing severity and frequency of weather disasters, and we examine the case for including insurance mechanisms in a climate adaptation strategy expected to be agreed in Copenhagen in 2009. We present a proposal for this purpose that has been recently put forward by the Munich Climate Insurance Initiative (MCII), which calls for international solidarity

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for very low probability and high consequence weather-related events (high-risk layer). For middlelayer risks the MCII proposal calls for international support to promote sustainable, affordable and incentive-compatible insurance programmes that serve the poor without crowding out private sector involvement. Weather index insurance and climate change : Opportunities and challenges in lower income countries. Collier, Benjamin; Skees, Jerry; Barnett, Barry. Shelved at: Per: Geneva (Oxf) 39299 Geneva Papers on Risk and Insurance (2009) 34 (3) : 401-424. Abstract: Weather index insurance underwrites a weather risk, typically highly correlated with agricultural production losses, as a proxy for economic loss and is gaining popularity in lower income countries. This instrument, although subject to basis risk and high start-up costs, should reduce costs over traditional agricultural insurance. Multilateral institutions have suggested that weather index insurance could enhance the ability of stakeholders in lower income countries to adapt to climate change. While weather index insurance could have several benefits in this context (e.g. providing a safety net to vulnerable households and price signals regarding the weather risk), climate change impacts increase the price of insurance due to increasing weather risk. Uncertainty about the extent of regional impacts compounds pricing difficulties. Policy recommendations for insurance market development include funding risk assessments, start-up costs and the extreme layer of risk. General premium subsidies are cautioned against as they may actually slow household adaptation. World insurance in 2009 : Premiums dipped but industry capital improved. Swiss Reinsurance Company. - Zurich: - Swiss Reinsurance Company, [Faculty: SIG/SWI] 72690 Sigma (2010) 2 URL: http://www.swissre.com Contents: Global economy: after a deep recession, financial markets recover -- World insurance: premiums dipped but industry capital improved -- Industrialised countries: life business contracts, non-life more resilient -- Emerging markets: robust grown continues in many markets -- Methodology and data -- Statistical appendix Abstract: According to Swiss Res latest World insurance in 2009 sigma study, world insurance premium volume fell 1.1% on an inflation-adjusted basis. Life premiums fell 2% while non-life stagnated. Premium growth in the emerging markets slowed but remained positive. The industrys profitability and capital recovered significantly, but have not yet reached pre-crisis levels. (Publisher's blurb) Little by little. Brown, Tracey; Morgan, Lisa. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39782 The Actuary (2010) October : 36-37. URL: http://www.the-actuary.org.uk Abstract: Tracey Brown talks to Lisa Morgan about the emergence of microinsurance and its benefits for developing countries An analysis of organisational, market and socio-cultural factors affecting the supply of insurance and other financial services by microfinance institutions in developing economies. Kwon, W Jean. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39866 Geneva Papers on Risk and Insurance (2010) 35 (1) : 130-160. Abstract: This article first investigates the microfinance - principally microinsurance - market at the global level and the business structure of over 600 microfinance institutions (MFIs) in 83 countries that were in operation during 1998-2007. It then empirically examines the impact of organisational, market and socio-cultural factors on the supply of insurance, lending and savings services by MFIs in developing countries. Findings from a series of probit analyses indicate that a rise in the financial expense ratio, loan repayments in arrears, years of operation, number of borrowers, woman borrower ratio, life insurance penetration ratio and family size positively affect MFIs' willingness to expand their operations, certainly to microinsurance business. In contrast, they are likely to stay away from the insurance market when their loan asset ratio, bad loan write-off ratio or average loan

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size in comparison to GNI per capita is on the rise. It seems MFIs focus on lending service in Muslim populous countries. Finally, we find no evidence that presence of insurance affects availability of savings service, and vice versa, in the microfinance market. Insurance development and economic growth. Han, Liyan; Li, Donghui; Moshirian, Fariborz; Tian, Yanhui. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39885 Geneva Papers on Risk and Insurance (2010) 35 (2) : 183-199. Abstract: This paper investigate the relationship between insurance development and economic growth by employing GMM models on a dynamic panel data set of 77 economies for the period 1994-2005. Insurance density is used to measure the development of insurance. Controlled by a simple conditioning information set and a policy information set, we can draw a conclusion that insurance development is positively correlated with economic growth. The sample is then divided into developed and developing countries. For the developing economies, the overall insurance development, life insurance and non-life insurance development play a much more important role than they do for the developed economies.

Development

Insurance development and economic growth. Han, Liyan; Li, Donghui; Moshirian, Fariborz; Tian, Yanhui. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39885 Geneva Papers on Risk and Insurance (2010) 35 (2) : 183-199. Abstract: This paper investigate the relationship between insurance development and economic growth by employing GMM models on a dynamic panel data set of 77 economies for the period 1994-2005. Insurance density is used to measure the development of insurance. Controlled by a simple conditioning information set and a policy information set, we can draw a conclusion that insurance development is positively correlated with economic growth. The sample is then divided into developed and developing countries. For the developing economies, the overall insurance development, life insurance and non-life insurance development play a much more important role than they do for the developed economies. Frontier efficiency methodologies to measure performance in the insurance industry: overview, systematization, and recent developments. Eling, Martin; Luhnen, Michael. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39887 Geneva Papers on Risk and Insurance (2010) 35 (2) : 217-265. Abstract: The purpose of this paper is to provide an overview on frontier efficiency measurement in the insurance industry, a topic of great interest in the academic literature during the last several years. We provide a comprehensive survey of 95 studies with a special emphasis on innovations and recent developments. We review different econometric and mathematical programming approaches to efficiency measurement in insurance and discuss the choice of input and output factors. Furthermore, we categorise the 95 studies in 10 different areas of application and discuss selected results. While there is a broad consensus with regard to the choice of methodology and input factors, our review reveals large differences in output measurement. Significant need for future research can be identified, for example, with regard to analysis of organisational forms, market structure and risk managemtn, especially in the international context.

Directors

Separation of ownership and control : implications for board composition. He, Anya; Sommer, David W. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39153 Journal of Risk and Insurance (2010) 77 (2) : 265-295. Abstract: This article investigates the implications of separation of ownership and control for board

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composition over a spectrum of ownership structures present in the U.S. propertyliability insurance industry. We hypothesize that agency costs associated with managerowner conflicts increase with the degree of separation of ownership and control. Greater agency costs imply a greater need for monitoring by outside directors on the board. Therefore, use of outside directors is expected to increase as the separation of ownership and control gets larger. Employing a sample of property liability insurers exhibiting different degrees of separation of ownership and control, we find support for our hypothesis. Compensation and board structure : evidence from the insurance industry. Mayers, David; Smith, Clifford W. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39624 Journal of Risk and Insurance (2010) 77 (2) : 297-327. Abstract: Monitoring by outside board members and incentive compensation provisions in executive pay packages are alternative mechanisms for controlling incentive problems between owners and managers. The control hypothesis suggests that if incentive conflicts vary materially, those firms with more outside directors also should implement a higher degree of pay-for-performance sensitivity. Our evidence is consistent with this control hypothesis. We document a relation between board structure and the extent to which executive compensation is tied to performance in mutuals: compensation changes are significantly more sensitive to changes in return on assets when the fraction of outsiders on the board is high.

Directors'andofficers'insurance

Directors & Officers: Current Headlines [copies of slides only] Flower, Mark. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72998

Disabilityinsurance

Long-term disability claims rates and the consumption-to-wealth ratio. Smoluk, H.J.. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38942 Journal of Risk and Insurance (2009) 76 (1) : 109-131. Abstract: A framework for linking long-term disability (LTD) claims rates to the macro-economy using the consumption-to-wealth ratio is developed from financial economic and option theories. Financial economic theory suggests that the consumption-to-wealth ratio reflects consumption smoothing and reveals expectations about future wealth. For individuals contemplating submitting an LTD claim, the expected payoff to exercising this insurance option is a function of their expectations about their future wealth. The lower (higher) their expectations about future wealth, the higher (lower) the expected payoff, and the higher (lower) claims rates are likely to be. Using cointegration analysis, we find that LTD claims rates and the consumption-to-wealth ratio are linked in a long-run equilibrium. When the consumption-to-wealth ratio is high (low), LTD claims rates are low (high). Evaluating permanent disability ratings using empirical data on earnings losses. Bhattacharya, Jayanta; Neuhauser, Frank; Reville, Robert T; Seabury, Seth A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39642 Journal of Risk and Insurance (2010) 77 (1) : 231-260. Abstract: Workers' compensation systems are typically designed to assign higher permanent disability benefits to workers with more severe disabilities. However, little or no scientific work exists to guide the design of ratings systems to properly account for the amount of earnings power lost due to disability. In this article, we examine the effectiveness of disability ratings using matched administrative data on ratings and earnings for a large, representative sample of permanent disability claimants in California. We find that while workers with higher ratings do experience larger earnings losses on average, there are large and persistent differences in average earnings losses for similarly rated impairments in different parts of the body. We then explore how adjusting permanent disability

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ratings to reflect cross-impairment differences in earnings losses can affect the equity of permanent disability benefits. Adjusting disability ratings to account for typical earnings losses reduces crossimpairment differences substantially. The adjusted ratings result in a more equitable distribution of disability benefits across workers with different impairments.

Disablement

Evaluating permanent disability ratings using empirical data on earnings losses. Bhattacharya, Jayanta; Neuhauser, Frank; Reville, Robert T; Seabury, Seth A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39642 Journal of Risk and Insurance (2010) 77 (1) : 231-260. Abstract: Workers' compensation systems are typically designed to assign higher permanent disability benefits to workers with more severe disabilities. However, little or no scientific work exists to guide the design of ratings systems to properly account for the amount of earnings power lost due to disability. In this article, we examine the effectiveness of disability ratings using matched administrative data on ratings and earnings for a large, representative sample of permanent disability claimants in California. We find that while workers with higher ratings do experience larger earnings losses on average, there are large and persistent differences in average earnings losses for similarly rated impairments in different parts of the body. We then explore how adjusting permanent disability ratings to reflect cross-impairment differences in earnings losses can affect the equity of permanent disability benefits. Adjusting disability ratings to account for typical earnings losses reduces crossimpairment differences substantially. The adjusted ratings result in a more equitable distribution of disability benefits across workers with different impairments.

Diseasesanddisorders

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf Contents: Introduction - 4 Focus on Emerging Issues in Global Risk - 6 Assessing Global Risks in 2008 - 20 Networked World, Networked Risks - 25 Financial Markets, Risk Transfer and Risk Mitigation - 30 Structuring Mitigation at the State and International Level: Taking the Country Risk Officer Forward 36 Conclusion - 39 Appendix 1: Taxonomy of Global Risk: Trends, Issues of Concern, Risks - 41 Appendix 2: Risk Assessments - 45 Contributors - 52 Participants - 53

Distributiontheory

CAPM and option pricing with elliptically contoured distributions. Valdez, Emiliano A; Hamada, Mahmoud. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38292 Journal of Risk and Insurance (2008) 75 (2) : 387-409. Abstract: This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling asset returns. The class of elliptically

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contoured distributions, which includes the more familiar Normal distribution, provides flexibility in modeling the thickness of tails associated with the possibility that asset returns take extreme values with nonnegligible probabilities. As summarized in this article, this class preserves several properties of the Normal distribution. Within this framework, we prove a new version of Stein's lemma for this class of distributions and use this result to derive the CAPM when returns are elliptical. Furthermore, using the probability distortion function approach based on the dual utility theory of choice under uncertainty, we also derive an explicit form solution to call option prices when the underlying is logelliptically distributed. The BlackScholes call option price is a special case of this general result when the underlying is log-normally distributed. Risk measurement performance of alternative distribution functions. Bali, Turan G; Theodossiou, Panayiotis. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38293 Journal of Risk and Insurance (2008) 75 (2) : 411-437. Abstract: This paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box-Cox-GEV, and four skewed fat-tailed distributions, i.e., skewed generalized error distribution (SGED), skewed generalized t (SGT), exponential generalized beta of the second kind (EGB2), and inverse hyperbolic sign (IHS) in estimating conditional and unconditional value at risk (VaR) thresholds. The results provide strong evidence that the SGT, EGB2, and IHS distributions perform as well as the more specialized extreme value distributions in modeling the tail behavior of portfolio returns. All three distributions produce similar VaR thresholds and perform better than the SGED and the normal distribution in approximating the extreme tails of the return distribution. The conditional coverage and the out-of-sample performance tests show that the actual VaR thresholds are time varying to a degree not captured by unconditional VaR measures. In light of the fact that VaR type measures are employed in many different types of financial and insurance applications including the determination of capital requirements, capital reserves, the setting of insurance deductibles, the setting of reinsurance cedance levels, as well as the estimation of expected claims and expected losses, these results are important to financial managers, actuaries, and insurance practitioners. Possibilistic Modeling for Loss Distribution and Premium Calculation. Guo, L; Huang, Z. - 2008. Shelved at: Online only [Faculty: Online only] 38539 Actuarial Research Clearing House (ARCH) (2008) 1 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss1.aspx Abstract: This paper uses the possibility distribution approach to estimate the insurance loss amount. A special class of parametric possibility distributions is used to model insurance loss variables. The parameters of the possibility distribution are estimated by combining statistical analysis of sample data and domain knowledge provided by actuarial experts. Insurance premiums are calculated using possibilistic mean and possibilistic variation. Estimation of possibility distribution of aggregate loss amount is also discussed. Key word: insurance loss distribution, premium, possibility distribution, possibilistic mean, possibilistic variation, and aggregate loss amount Modeling and Evaluating Insurance Losses via Mixtures of Erlang Distributions. Lee, Simon S K; Lin, X Sheldon. - - Society of Actuaries, - No. pages: 24. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 72655 North American Actuarial Journal (2010) 14 (1) : 107-130. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: In this paper we suggest the use of mixtures of Erlang distributions with common scale parameter to model insurance losses. A modified expectation-maximization (EM) algorithm for parameter estimation tailored to this class of distributions is presented, and its computation efficiency is discussed. Goodness-of-fit tests are performed for data generated from some common parametric distributions and for catastrophic loss data in the United States. Formulas for value-at-risk and conditional tail expectation are provided for individual and aggregate losses. Yep, We're Skewed. Fleming, Kirk G. Shelved at: Per: Variance 45070 Variance (2008) 2 (2) : 179-183. URL: http://www.variancejournal.org/issues

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Abstract: All of us, especially those of us working in insurance, are constantly exposed to the results of small samples from skewed distributions. The majority of our customers will see small sample results below the population mean. Also, the most likely sample average value for any small sample from a skewed population will be below the mean of the skewed population being sampled. Experienced actuaries are aware of these issues. However, we have to be on guard and not fall back on easy assumptions that are appropriate for results from symmetrical distributions. Parameterizing Payout Lag Time Distributions. Kreps, Rodney E. Shelved at: Per: Variance 45072 Variance (2008) 2 (2) : 209-230. URL: http://www.variancejournal.org/issues Abstract: We model a claims process as a random time to occurrence followed by a random time to a single payment. Since accident year payout data available is aggregated by development year rather than by payment lag, we calculate those probabilities and parameterize the payout lag time distribution to maximize the fit to data. General formulae are given for any distribution, but we use a piecewise linear continuous distribution. The companion spreadsheets show the process. It is sometimes found useful to compromise the quality of the fit to improve believability of the payout distribution. A simulation check and example are provided. As a result, uncertain data can be effectively smoothed and partial accident year data consistently used.

Diversification

An Investigation Into the DiversificationPerformance Relationship in the U.S. PropertyLiability Insurance Industry. Elango, B; Ma, Yu-Luen; Pope, Nat. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38590 Journal of Risk and Insurance (2008) 75 (3) : 567-591. Abstract: This article investigates the relationship between product diversification and firm performance in the U.S. propertyliability insurance industry using data over the 1994 through 2002 time period. Using various measures of product diversification and firm performance, we find that the extent of product diversification shares a complex and nonlinear relationship with firm performance. Our findings suggest that performance benefits associated with product diversification are contingent upon an insurer's degree of geographic diversification. Robustness tests using subsamples and market returns for public firms show consistent results. Effects of corporate diversification : evidence from the property-liability insurance industry. Liebenberg, Andre P; Sommer, David W. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38774 Journal of Risk and Insurance (2008) 75 (4) : 893-919. Abstract: Using a sample of propertyliability insurers over the period 19952004, we develop and test a model that explains performance as a function of line-of-business diversification and other correlates. Our results indicate that undiversified insurers consistently outperform diversified insurers. In terms of accounting performance, we find a diversification penalty of at least 1 percent of return on assets or 2 percent of return on equity. These findings are robust to corrections for potential endogeneity bias, alternative risk measures, alternative diversification measures, and an alternative estimation technique. Using a market-based performance measure (Tobin's Q) we find that the market applies a significant discount to diversified insurers. The existence of a diversification penalty (and diversification discount) provides strong support for the strategic focus hypothesis. We also find that insurance groups underperform unaffiliated insurers and that stock insurers outperform mutuals.

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Dividends

Recursive calculation of the dividend moments in a multithreshold risk model. Badescu, Andrei; Landriault, David. - 2008. - No. pages: 16. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69468 North American Actuarial Journal (2008) 12 (1) : 74-88. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/january/naaj-2008-vol12-no1badescu-landriault.pdf Abstract: In this article, we consider the class of risk models with Markovian claim arrivals studied by Badescu et al. (2005) and Ramaswami (2006), among others. Under a multi-threshold dividend structure, we develop a recursive algorithm for the calculation of the moments of the discounted dividend payments before ruin. Capitalizing on the connection between an insurers surplus process and its corresponding fluid flow process, our approach generalizes results obtained by Albrecher and Hartinger (2007) and Zhou (2006) in the framework of the classical compound Poisson risk model (with phase-type claim sizes). Contrary to the traditional analysis of the discounted dividend payments in risk theory, we develop a sample-path-analysis procedure that allows the determination of these moments with or without ruin occurrence (separately). Numerical examples are then considered to illustrate our main results and show the contribution of each component to the moments of the discounted dividend payments. Perturbed MAP risk models with dividend barrier strategies. Cheung, Eric C. K.; Landriault, David. - - Ontario: University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-11). - No. pages: 20. Shelved at: Online only [Faculty: Online only] 69985 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In the context of a dividend barrier strategy, we analyze the moments of the discounted dividend payments and the expected discounted penalty function for surplus processes with a claim arrival process of a Markovian type. We show that a relationship similar to the dividend-penalty identity of Gerber et al. (2006) can be derived for the class of perturbed MAP surplus processes, extending in the process some results of Li and Lu (2007b) in the context of the Markov-modulated risk model. Also, we revisit the same ruin-related quantities in an identical MAP risk model with the only exception that the barrier level effective at a time, say t, depends on the state of the underlying environment at time t. Similar relationships are investigated and derived. Numerical examples are then considered to illustrate the applicability of our main results. Dividend moments in the dual model: exact and approximate approaches. Cheung, Eric C. K.; Drekic, Steve. - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 0817). - No. pages: 27. Shelved at: Online only [Faculty: Online only] 69991 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In the classical compound Poisson risk model, it is assumed that a company (typically an insurance company) receives premium at a constant rate and pays incurred claims until ruin occurs. In contrast, for certain companies (typically those focusing on invention), it might be more appropriate to assume expenses are paid at a fixed rate and occasional random income is earned. In such cases, the surplus process of the company can be modelled as a dual of the classical compound Poisson model, as described in Avanzi et al. (2007). Assuming further that a barrier strategy is applied to such a model (i.e., any overshoot beyond a fixed level caused by an upward jump is paid out as dividend until ruin occurs), we are able to derive integro-differential equations for the moments of the total discounted dividends as well as the Laplace transform of the time of ruin. These integro-differential equations can be solved explicitly assuming the jump size distribution has a rational Laplace transform. We also propose a discrete-time analogue of the continuous-time dual model and show that the corresponding quantities can be solved for explicitly leaving the discrete jump size distribution arbitrary. While the discrete-time model can be considered as a stand-alone model, it can also serve as an approximation to the continuous-time model. Finally, we consider a generalization of the so-called Dickson-Waters modification in optimal dividends problems by maximizing the difference between the expected value of discounted dividends and the present value of a fixed penalty applied at the time of ruin. Keywords: Dual model, barrier strategy, dividend moments, time of ruin, rational Laplace transform

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On the impact of the financial crisis on the dividend policy of the European insurance industry. Reddeman, Sebastian; Graf von der Schulenburg, J.-Matthias; Basse, Tobias. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39860 Geneva Papers on Risk and Insurance (2010) 35 (1) : 53-62. Abstract: The financial crisis has led to controversial discussions about the capital base of the European insurance industry. Dividend cuts have been suggested to preserve capital. However, some observers seem to fear that investors could interpret a reduction of dividends as a sign of future problems. The empirical evidence reported here does not indicate that dividend smoothing or dividend signalling are relevant economic phenomena examining the dividend policy of the European insurance industry. Therefore, insurance companies should not be too concerned about the negative consequences of dividend cuts.

Durationandimmunisation

The term structure of reserve durations and the duration of aggregate reserves. Tsai, Chenghsien. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39163 Journal of Risk and Insurance (2009) 76 (2) : 419-441. Abstract: Estimating the duration gap of a life insurer demands the knowledge on the durations of liabilities and assets. The literature analyzed the durations of assets extensively but rendered limited analyses on the durations of insurance liabilities. This article calculated the reserve durations for individual policies and estimated the duration of the aggregate reserves. The results showed that the duration of the policy reserve might be negative and/or have a large figure. They further revealed an interesting pattern of the reserve duration with respect to the policy's time to maturity. A term structure with abnormal durations, however, does not result in an abnormal duration of the aggregate reserves.

Earthquakes

Natural catastrophes and man-made disasters in 2009: catastrophes claim fewer victims, insured losses fall. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, [Faculty: SIG/SWI] 72285 Sigma (2010) 1 URL: http://www.swissre.com Contents: Contents include: -- Overview of catastrophes in 2009 -- Secondary perils - the often underestimated exposure -- Earthquakes disproportionately affect the emerging markets and developing economies -- Tables for reporting year 2009 -- Tables showing the major losses 1970 2009 Abstract: Natural catastrophes and man-made disasters claimed approximately 15 000 lives and cost insurers USD 26 billion in 2009. The overall cost to society was USD 62 billion. Insured losses were below average due to a calm US hurricane season. Earthquake Risk, Insurance, and Recovery : Issues for Congress. King, Rawle O. - - Washington, DC: Congressional Research Service, 2010. - (CRS Report for Congress). - No. pages: 16. 72576 URL: http://assets.opencrs.com/rpts/R41109_20100312.pdf Contents: Basics of Residential Earthquake Insurance U.S. Exposure to Earthquake Risk Financing Recovery from Earthquake Losses Challenges in Financing Earthquake Loss Actuarial and Rate-Setting Difficulties Adverse Selection and Risk Spreading

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Tax, Accounting, and Regulatory Constraints Low Insurance Participation Is Federal Earthquake Insurance Feasible? Policy Issues and Questions Legislation Abstract: This report examines earthquake catastrophe risk and insurance in the United States in light of recent developments, particularly the devastating earthquakes in Haiti and Chile. It examines both traditional and non-traditional approaches for financing recovery from earthquake losses as well as challenges in financing catastrophe losses with insurance. The report explores the feasibility of a federal residential earthquake insurance mechanism and assesses policy implications of such a program. So far in the 111th Congress, six bills have been introduced that would broaden the federal government's role in insuring, mitigating, and financing recovery from natural catastrophes. Proposals include (1) establishing a national consortium to allow states to aggregate risk from statesponsored insurance pools and transfer such risks to the capital markets through catastrophe bonds (H.R. 2555/S. 505), (2) a provision for a tax-free accumulation of reserves to pay catastrophe losses (H.R. 998/S. 1486), (3) a Treasury program to guarantee state-issued debt (H.R. 4014/S. 886), (4) a federal reinsurance backstop (H.R. 83), (5) a provision to establish individual catastrophe savings accounts (S. 1484), and (6) establishing a bipartisan commission to examine catastrophe risks and make recommendations for the management and financing of such risks (S. 1487). On March 10, 2010, the House Subcommittee on Housing and Community Opportunity and Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises held a joint hearing on H.R. 2555. A mark up on H.R. 2555 is expected in April 2010.This report will be updated as events warrant.

EasternEurope

Liberalisation and market concentration impact on performance of the non-life insurance industry: the evidence from Eastern Europe. Njegomir, Vladimir; Stojic, Dragan. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39982 Geneva Papers on Risk and Insurance (2011) 36 (1) : 94-106. Abstract: The aim of this paper is to examine market structure, conduct and performance relationship (S-C-P) hypothesis for the non-life insurance industry in Eastern European countries. Additionally, we examine the effect of liberalisation on market structure and performance. We use the countryspecific fixed effects models for panel data for the period 20042008 allowing each cross-sectional unit to have a different intercept term serving as an unobserved random variable that is potentially correlated with the observed regressors. Three models are presented, each placing market structure, liberalisation and profitability in a distinct environment defined by related control variables. The research results support the S-C-P hypothesis in all of the observed models, showing evidence of strong influence of market structure and liberalisation on market profitability. These results could be useful in decision-making for both governments and insurance companies.

Economicconditions

Industry report : 2008/09 customer impact survey. Association of British Insurers. - - Association of British Insurers, 2009. - No. pages: 31. 38950 URL: http://www.customerimpact.org/media/12171/200809%20customer%20impact%20survey%20industry%20report%20final.pdf Abstract: Customer Impact was launched in March 2006. The Schemes objective is to improve outcomes for customers of the UKs life, pensions and investment industry. A key component is an annual survey of customer views of the industry. This report outlines the results of the third full survey conducted under the Scheme. The report investigates the way insurance firms have invested during the economic slowdown. The 2008-09 Customer Impact Survey Industry Report reveals that companies are "performing well" in many areas. In particular, life insurance, pensions and investment companies are achieving excellent customer service standards,

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despite the pressure of the recession, with progress also being made on sales and post-sales. Maintaining stakeholder trust in difficult times: some fundamental reflections in light of the credit crisis. Schanz, Kai-Uwe. Shelved at: Per: Geneva (Oxf) 39032 Geneva Papers on Risk and Insurance (2009) 34 (2) : 260-270. Abstract: Against the backdrop of the credit crisis, the paper looks into the crucial role of trust and reputation in the insurance industry. We also offer some specific recommendations for management to consider in order to preserve these indispensable intangible assets in times of evaporating confidence, freezing credit markets and contracting economies. Admittedly, compared with banks, insurers are less vulnerable to a life-threatening, sudden withdrawal of trust as policyholders pay premiums upfront and, generally, exercise no direct influence on the level of claims. However, from a longer-term perspective, maintaining trust in the industry in general and in their respective company in particular can be viewed as the most fundamental objective an insurer's management has to meet. Insurance development and economic growth. Han, Liyan; Li, Donghui; Moshirian, Fariborz; Tian, Yanhui. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39885 Geneva Papers on Risk and Insurance (2010) 35 (2) : 183-199. Abstract: This paper investigate the relationship between insurance development and economic growth by employing GMM models on a dynamic panel data set of 77 economies for the period 1994-2005. Insurance density is used to measure the development of insurance. Controlled by a simple conditioning information set and a policy information set, we can draw a conclusion that insurance development is positively correlated with economic growth. The sample is then divided into developed and developing countries. For the developing economies, the overall insurance development, life insurance and non-life insurance development play a much more important role than they do for the developed economies.

Economicmodels

A Growth Theory for the Insurance Industry. Nektarios, Milton. - - No. pages: 8. [Faculty: RIS/MAN] 72288 Risk Management and Insurance Review (2010) 13 (1) : 45-60. Abstract: Insurance economics models of statics and comparative statics assume that the process of economic adjustment must inevitably lead to equilibrium. The question of attainability of equilibrium has not been addressed so far. This is the domain of dynamic analysis. In this article, we develop a model of economic growth for the insurance industry. The production function of the insurance industry is based on the assumption that the output, "incurred losses," is a function of "invested assets" and "other labor and nonlabor inputs." The latter grow at the rate n, a proxy of the growth rate of insurance expenses. The assetsinputs ratio, r, characterizes the steady-state growth path that the insurance industry eventually attains. The adjustment process takes place through the assetslosses ratio, v, which is affected by the insurance leverage, the loss ratio, and the insurance exposure of the insurance industry. An insurance industry that has reached a steady state will have its output growing at the rate n +p, where p is the growth rate of average productivity. The incremental reserve ratio, s, determines definitely a steady-state growth path for the insurance industry. An increase or decrease in s may move the insurance industry to a higher or lower growth path. We suggest that this analysis provides a stronger theoretical context for analyzing dynamic phenomena in the insurance industry.

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Economicprojections

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf A Growth Theory for the Insurance Industry. Nektarios, Milton. - - No. pages: 8. [Faculty: RIS/MAN] 72288 Risk Management and Insurance Review (2010) 13 (1) : 45-60. Abstract: Insurance economics models of statics and comparative statics assume that the process of economic adjustment must inevitably lead to equilibrium. The question of attainability of equilibrium has not been addressed so far. This is the domain of dynamic analysis. In this article, we develop a model of economic growth for the insurance industry. The production function of the insurance industry is based on the assumption that the output, "incurred losses," is a function of "invested assets" and "other labor and nonlabor inputs." The latter grow at the rate n, a proxy of the growth rate of insurance expenses. The assetsinputs ratio, r, characterizes the steady-state growth path that the insurance industry eventually attains. The adjustment process takes place through the assetslosses ratio, v, which is affected by the insurance leverage, the loss ratio, and the insurance exposure of the insurance industry. An insurance industry that has reached a steady state will have its output growing at the rate n +p, where p is the growth rate of average productivity. The incremental reserve ratio, s, determines definitely a steady-state growth path for the insurance industry. An increase or decrease in s may move the insurance industry to a higher or lower growth path. We suggest that this analysis provides a stronger theoretical context for analyzing dynamic phenomena in the insurance industry.

Economicstatistics

A Firm Foundation : How Insurance Supports the Economy 2010. - New York: - Insurance Information Institute, 2010. - No. pages: 91. 72244 URL: http://www2.iii.org/assets/docs/pdf/A_Firm_Foundation_20101.pdf Contents: Contents include: -- Contribution to the US National Economy -- Insurers as Investors -Defraying the Costs of Economic Costs of Disasters -- Role of Credit/Mortgage Insurance -- Income Replacement -- Contribution to US State Economies

Economics

Does insurance market activity promote economic growth? : A cross-country study for industrialized and developing countries. Arena, Marco. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38775 Journal of Risk and Insurance (2008) 75 (4) : 921-946. Abstract: Insurance market activity may contribute to economic growth, both as financial intermediary and provider of risk transfer and indemnification, by allowing different risks to be managed more efficiently and by mobilizing domestic savings. During the last decade, there has been faster growth in insurance market activity, particularly in emerging markets, given the process of financial liberalization and integration, which raises questions about the overall impact on economic growth. This article tests whether there is a causal relationship between insurance market activity (life and nonlife insurance) and economic growth. Using the generalized method of moments (GMM) for dynamic models of panel data for 55 countries between 1976 and 2004, I find robust evidence for this relationship. Both life and nonlife insurance have a positive and significant causal effect on economic growth. For life insurance, high-income countries drive the results, and for nonlife insurance, both high-income and developing countries drive the results.

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Economic Risk and Capital (ERCA) Working Party - Update [copies of slides only] Ross, Nick. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72746 The Geneva risk and insurance review 2009: In quest of behavioural insurance. Outreville, J Francois. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45328 Geneva Papers on Risk and Insurance (2010) 35 (3) : 484-497. Abstract: The purpose of this article is to review and summarize the papers published in The Geneva Risk and Insurance Review in 2009. Asymmetric information, adverse selection and moral hazard are the keywords in several papers in this volume. These papers highlight how applied research in insurance could help understand the behaviour of policy-holders and have important implications for the insurance industry. This is an important issue in insurance and the papers summarized in this article raise some interesting potential empirical research questions and call for a behavioural research approach applied to insurance, a field that could be defined as behavioural insurance.

Embeddedvalue

Value relevance of embedded value and IFRS 4 insurance contracts. Chung-Fern, Rebecca; Wen-Hsin, Hsu. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45334 Geneva Papers on Risk and Insurance (2011) 36 (2) : 283-303. Abstract: copy from http://www.palgrave-journals.com/gpp/index.html

Emergingmarkets

World insurance in 2008: life premiums fall in the industrialised countries - strong growth in the emerging countries. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. [Faculty: SIG/SWI] 69778 Sigma (2009) 3 URL: http://www.swissre.com/pws/research%20publications/sigma%20ins.%20research/sigma_no_3_2009.html Contents: Executive summary 2. Global economy: in the wake of the global financial crisis 3. World insurance: premiums and the industry's capital fall 4. Industrialised countries: life business contracts, non-life more resilient 5. Emerging markets: robust growth continued in most markets 6. Methodology and data 7. Statistical appendix Successful business strategies for insurers entering and growing in emerging markets. Berry-Stlzle, Thomas R; Hoyt, Robert E; Wende, Sabine. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39865 Geneva Papers on Risk and Insurance (2010) 35 (1) : 110-129. Abstract: Entering new markets and growing in existing ones is an area of major interest within the insurance industry across the globe. Insurance market growth rates in emerging markets are far in excess of those available in most developed countries. While these growth rates have attracted new and existing firms to these markets, corporate managers face a number of important strategic decisions as they consider establishing or expanding operations in emerging markets. This study evaluates the impact of several strategies on insurer performance in emerging markets. The main findings suggest that overall, successful business strategies for insurers entering or growing in

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emerging markets involve a high growth rate, increased size and more emphasis on life insurance. When performance is adjusted for risk, lower financial leverage and mutual organisational form are associated with better performance. However, differences in successful business strategies arise across countries when we control for country-level economic and market characteristics.

Employeebenefits

Insurance Company Employees' Financial Expertise and Practices : Implications on Benefit Participation and Satisfaction. Power, Mark L; Hira, Tahira K. - - No. pages: 7. [Faculty: RIS/MAN] 72291 Risk Management and Insurance Review (2010) 13 (1) : 111-125. Abstract: Employers continue to shift financial decision-making responsibility for employee benefits to employees. This article examines employees' financial practices, financial expertise, and levels of benefit participation and overall satisfaction. We show that there are significant differences in employees' financial practices and financial expertise based on socio-demographic characteristics. While levels of benefit satisfaction and employer ranking are high, significant differences in how employees feel toward their employer exist. Employees more highly value traditional benefits than nontraditional benefits, but satisfaction with benefits was high regardless of take-up rate. We also find that respondents are more knowledgeable over experiential financial concepts than more specific financial concepts like qualifying conditions for a traditional individual retirement account. Employer-sponsored financial education programs, which increase employee understanding of employer-provided benefits and their importance to employees' financial well-being, should improve overall employee satisfaction, loyalty, and productivity.

Employees

Insurance Company Employees' Financial Expertise and Practices : Implications on Benefit Participation and Satisfaction. Power, Mark L; Hira, Tahira K. - - No. pages: 7. [Faculty: RIS/MAN] 72291 Risk Management and Insurance Review (2010) 13 (1) : 111-125. Abstract: Employers continue to shift financial decision-making responsibility for employee benefits to employees. This article examines employees' financial practices, financial expertise, and levels of benefit participation and overall satisfaction. We show that there are significant differences in employees' financial practices and financial expertise based on socio-demographic characteristics. While levels of benefit satisfaction and employer ranking are high, significant differences in how employees feel toward their employer exist. Employees more highly value traditional benefits than nontraditional benefits, but satisfaction with benefits was high regardless of take-up rate. We also find that respondents are more knowledgeable over experiential financial concepts than more specific financial concepts like qualifying conditions for a traditional individual retirement account. Employer-sponsored financial education programs, which increase employee understanding of employer-provided benefits and their importance to employees' financial well-being, should improve overall employee satisfaction, loyalty, and productivity.

Endowments

Analytical pricing of the unit-linked endowment with guarantees and periodic premiums. Hurlimann, Werner. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 40036 ASTIN Bulletin (2010) 40 (2) : 631-653. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: We consider the unit-linked endowment with guarantee and periodic premiums, where at each premium payment date the insurance company invests a certain fraction of the premium into a risky reference portfolio. In the dual random environment of stochastic interest rates with

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deterministic volatilities and mortality risk, and for a fixed guarantee, simple analytical lower and upper bounds for the fair periodic premium are explicitly derived. We also consider contracts with guaranteed minimum benefits that vary over time and we obtain tight lower and upper bounds for both fair periodic premiums and guaranteed minimum benefits that increase over time. The numerical illustrations of our results reveal that the analytical bounds are very tight. Moreover, the simple, fast and very reliable analytical numerical calculations with controlled accuracy avoid time consuming Monte Carlo calculations and are almost always preferred by practitioners. Some analytical closed-form solutions for one- and two-year maturity dates are also stated.

Energyresources

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf Ripple effect. Dodson, Antony; Rensburg, Hannes van. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 40069 The Actuary (2011) January : 20-22. URL: http://www.the-actuary.org.uk Abstract: Antony Dodson and Hannes van Rensburg look at the spillover effect of environmental disasters on the energy insurance market. Offshore energy insurance - where have we been, where are we now and where are we going? [copies of slides only] Dodson, Antony; van Rensburg, Hannes. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45039 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-e03-antony-dodson.pdf

Enterpriseriskmanagement

Enterprise risk management from the general insurance actuarial perspective. Tripp, Michael H; Chan, C; Haria, Sejal; Hilary, Neil; Morgan, Kathryn A; Orros, George C; Perry, Geoff; Tahir-Thomson, Kartina. - Institute of Actuaries and Faculty of Actuaries, 2008. - No. pages: 93. Shelved at: ifp 04/08 (Oxf); UHG/AA/BX pam (Oxf) [Faculty: JOU/INS] 69341 URL: http://www.actuaries.org.uk/research-and-resources/documents/enterprise-risk-management-generalinsurance-actuarial-perspective Abstract: The authors have reviewed over 60 texts on the subject of Enterprise Risk Management (ERM). In this paper they set out a summary of ERM based on three of those sources, selected for their relevance and breadth of view. The paper observes that the approaches described vary widely in nature. A separate `on-line' source is provided which summarises key reading from the 60 texts. Combining findings from these texts with the authors' own experiences, the paper suggests some best practice checklists, designed to enable organisations to take stock of their current ERM framework. It discusses other aspects of ERM for practitioners, including extreme events, opportunity management and the link with corporate strategy. The paper looks at immediate and longer-term implications for actuaries in the United Kingdom, and then poses questions about future professional development and education. It suggests an emerging role for the `ERM Actuary', and finally it suggests future work to progress the development of ERM and the actuaries' role. Governance and risk management in United Kingdom insurance companies. Deighton, S P; Dix, Roger C; Graham, J R; Skinner, J M E. - - London: - The Actuarial Profession. Institute of Actuaries and Faculty of Actuaries, 2009. - No. pages: 54.

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Shelved at: ifp 03/09; BXP/511 pam (Oxf) [Faculty: JOU/INS] 38980 URL: http://www.actuaries.org.uk/research-and-resources/documents/governance-and-risk-management-ukinsurance-companies Abstract: For some while there has been a growing awareness from both internal and external stakeholders that the governance and risk management in United Kingdom insurance companies needed to be enhanced. The proposed European Union Solvency II Directive makes this very explicit and the current economic turmoil has put a much stronger emphasis on the whole process: it is being seen as the right thing to do, rather than simply a regulatory requirement. In this paper, the authors set out the background to and recent history of governance for UK insurance companies, and consider how enterprise risk management can bring together the various control frameworks needed to support that governance. Whilst no two companies are the same, and hence the solutions to these issues will vary, there are several common themes linked to successful implementation. Similarly, various barriers to success are identified, together with solutions to resolve them.

Convergence of insurance and financial markets: hybrid and securitized risk-transfer solutions. Cummins, J David; Weiss, Mary A. - - No. pages: 52. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71003 Journal of Risk and Insurance (2009) 76 (3) : 493-545. Abstract: One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors. Convergence has been driven by the increase in the frequency and severity of catastrophic risk, market inefficiencies created by (re)insurance underwriting cycles, advances in computing and communications technologies, the emergence of enterprise risk management, and other factors. These developments have led to the development of hybrid insurance/financial instruments that blend elements of financial contracts with traditional reinsurance as well as new financial instruments patterned on asset-backed securities, futures, and options that provide direct access to capital markets. This article provides a survey and overview of the hybrid and pure financial markets instruments and provides new information on the pricing and returns on contracts such as industry loss warranties and Cat bonds. The use of Econometric Time Series Modelling Techniques in ERM [copies of slides only] Shaw, Richard. - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72939 ERM: Qualitative Implementation Guide for Insurers [copies of slides only] Orros, George. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72952 ERM: Qualitative Implementation Guide for Insurers. Orros, George C; Howell, Jane. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72954 Abstract: This paper provides a practical ERM implementation guide for insurance companies, from a qualitative perspective. It has been designed to meet the broad requirements of relatively large insurers that would like to implement an ERM framework that is grounded in corporate governance principles and in qualitative aspects of strategic management. ERM implementation is achieved via a 6-stage, iterative process of Analysis, Risk Identification, Risk Assessment, Risk Evaluation, Risk Planning and Risk Management, each with feedback loops to ensure a robust and resilient iterative process. The authors show how these processes can be achieved efficiently and can result in a robust and resilient insurer that is well positioned to face the storms and shocks that may lie ahead. Keywords: Enterprise risk management; Risk management; Stress and scenario tests; Risk and uncertainty; Governance; Control framework; Risk modelling; Risk appetite; Risk maps; Risk exposure

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Behavioural ERM and the ORSA [copies of slides only] Cantle, Neil. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73531 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/pl6-neil-cantle.pdf Management strategies in multi-year enterprise risk management. Diers, Dorothea. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39983 Geneva Papers on Risk and Insurance (2011) 36 (1) : 107-125. Abstract: In enterprise risk management, strategies should be evaluated and managed from a multiyear view. In this paper, we present a multi-year model approach and apply a multi-year risk-capital concept to enable the company's Own Risk and Solvency Assessment as a part of enterprise risk management on a multi-year basis. We show under which assumptions an allocation method gives the right strategic incentives. We illustrate the usefulness of the concept for managerial decision support using data from a German non-life insurer. ERM for Emerging Risks in General Insurance. Orros, George C. - 2010. - (GIRO Conference and Exhibition 2010). - No. pages: 43. 40092 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a3-george-orros-paper.pdf Abstract: This paper is focussed on ERM for emerging risks in general insurance in our world of unknown unknowns and the emergence of unexpected risks over time. It illustrates how Chief Risk Officers can focus, with an ERM framework on risk and opportunity management, balancing risks against opportunities, whilst being resilient against unknown unknowns and their emergence over time as known unknowns and known knowns. The findings were based on real case studies and review the lessons learned and the early warning indicators that could (and perhaps should) have been used in order to detect the emerging risks in a timely manner and influenced the CRO function to have taken appropriate remedial action. Optimal Layers for Catastrophe Reinsurance. Fu, Luyang; Khury, C K (Stan). Shelved at: Per: Variance 45069 Variance (2011) 4 (2) : 191-208. URL: http://www.variancejournal.org/issues Abstract: Insurers purchase catastrophe reinsurance primarily to reduce underwriting risk in any one experience period and thus enhance the stability of their income stream over time. Reinsurance comes at a cost and therefore it is important to maintain a balance between the perceived benefit of buying catastrophe reinsurance and its cost. This study presents a methodology for determining the optimal catastrophe reinsurance layer by maximizing the risk-adjusted underwriting profit within a classical mean-variance framework. From the perspective of enterprise risk management, this paper improves the existing literature in two ways. First, it considers catastrophe and noncatastrophe losses simultaneously. Previous studies focused on catastrophe losses only. Second, risk is measured by lower partial moment which we believe is a more reasonable and flexible measure of risk compared to the traditional variance and Value at Risk (VaR) approaches.

Environment

Ripple effect. Dodson, Antony; Rensburg, Hannes van. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 40069 The Actuary (2011) January : 20-22. URL: http://www.the-actuary.org.uk Abstract: Antony Dodson and Hannes van Rensburg look at the spillover effect of environmental disasters on the energy insurance market.

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Environmentalliability

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf The winding road to industrial safety: evidence on the effects of environmental liability on accident prevention in Germany. Schwarze, Reimund; Hoffmeister, Onno. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45324 Geneva Papers on Risk and Insurance (2010) 35 (3) : 416-434. Abstract: The German Environmental Liability Law (ELL) of 1991 has introduced far-reaching civil liability for environmental damages with the aim of increasing firms efforts to prevent accidents. Previous studies find poor evidence that this goal has actually been achieved. One and a half decades after the introduction of that law, we undertake a new attempt to investigate the impact of the ELL on accident prevention. Our analysis is based on annual data on the number of environmental accidents per year, reported to the monitoring agency ZEMA, and the risk premium imposed by a large German insurer on environmental liability insurance (ELI). Examining the relationship between the ELI premium and accident prevention, we are able to model the dynamics of the adjustment process induced by the ELL. According to our results, the average number of environmental accidents per year has decreased from 35 before to 22 after the reform.

Epidemiology

Pandemics be prepared. Maynard, Trevor. Shelved at: online only 39226 ThinkPiece (2009) 15 (March) URL: http://www.cii.co.uk/downloaddata/TP15_Maynard_Pandemics_19Mar2009.pdf Abstract: At the beginning of the new millennium the issue of pandemics was a hot topic. With outbreaks in the Far East of SARS and then avian flu the media was awash with debate on what would happen if something similar hit the UK and questions around how well prepared we are. As we come to the end of the decade this popular interest has died down considerably suggesting that the risk has gone away. In this Thinkpiece Trevor Maynard, manager of emerging risks at Lloyds, shows that this is far from the case and that, based on past experience, at some point a pandemic is inevitable. He points out the potential consequences and that businesses, insurers in particular, need to be prepared for all eventualities.

Equalopportunities

Case against age restrictions : Letters to the editor. Thomas, Guy. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39095 The Actuary (2009) May : 6. URL: http://www.the-actuary.org.uk Abstract: Letter referring to the ABI claim regarding age discrimination in insurance.

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Equaltreatment

EU anti-discrimination policy's impact on insurance risk management: A parallel with the US sub-prime crisis. Petkantchin, Valentin. - - No. pages: 6. [Faculty: Journals - General] 73128 Pensions: An International Journal (2010) 15 (3) : 155-160. Abstract: The European Union (EU) authorities get more and more involved in tackling discrimination by issuing regulations aimed at equal treatment of people in the EU. This article analyses their economic effects on sound risk management, on insurance companies and consumers alike. As public policies against discrimination in the last decades have been identified as one of the causes for the excessive risk taking in the US mortgage lending market, the article also makes a parallel between this market and risk management in the EU insurance sector. Keywords: insurance; anti-discrimination; EU regulation; adverse selection; moral hazard; US subprime crisis

Equityreleaseschemes

On pricing and hedging the no-negative-equity guarantee in equity release mechanisms. Li, Johnny Siu-Hang; Hardy, Mary R; Tan, Ken Seng. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39632 Journal of Risk and Insurance (2010) 77 (2) : 499-522. Abstract: In a roll-up mortgage, the borrower receives a loan in the form of a lump sum. The loan is rolled up with interest until the borrower dies, sells the house, or moves into long-term care permanently. The house is sold at that time, and the proceeds are used to repay the loan and interest. Most roll-up mortgages are sold with a no-negative-equity guarantee (NNEG), which caps the redemption amount at the lesser of the face amount of the loan and the sale proceeds. The core of this study is to develop a framework for pricing and managing the risks of the NNEG.

Estimation

On the efficiency of the AsmussenKroese-estimator and its application to stop-loss transforms. Hartinger, Jrgen; Kortschak, Domink. Shelved at: Per: Bltter (Lon); online only 43367 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2009) 30 (heft 2) : 363-377. URL: http://www.springerlink.com/content/1864-0303/ Significantly Lower Estimates of Volatility Arise from the Use of Open-High-Low-Close Price Data. Modisett, Matthew C; Maboudou-Tchao, Edgard M. - - Society of Actuaries, - No. pages: 18. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 72653 North American Actuarial Journal (2010) 14 (1) : 68-85. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: This research provides an indication of the possible reduction in insurance liability valuations arising from the reduced volatility estimate of the Yang-Zhang refinement of volatility, when the liabilities are based on historic prices estimates arising from end-of-day prices in a jumpdiffusion model. The paper also demonstrates the usefulness of change points. This research compares the standard measure of volatility (standard deviation of the log of close prices) for the total return of the S&P 500 to a recently developed volatility measure by Yang and Zhang that capitalizes on open-high-low-close prices. The latter volatility was developed to be the measure providing the narrowest confidence interval of all estimates satisfying certain desirable features and as such is the most desirable measure from a decision theory standpoint. This research shows that the Yang-Zhang volatility generally provides significantly lower estimates of volatility. This lower volatility estimate should lead to lower valuation levels for insurance products with guarantees, and this paper provides indicative reductions in liability valuations. Both volatility measures assume constant volatility and drift over a period. To accommodate this

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assumption, change points are employed to divide historical data into regimes of constant drift and volatility. To this end, the theory of change points is briefly introduced. The research shows that standard measure of volatility generally overestimates volatility, and the error increases with the absolute value of the underlying drift. There are several potential technical reasons why the lower volatility could be invalid, but this paper considers and rejects each, to conclude that the lower volatility estimate of Yang-Zhang is in fact the better estimate, not a result of a technical degeneracy. One conclusion is that valuations employing regime-switching generators, especially insurance liability valuations, should use the Yang-Zhang measure of volatility, otherwise any analysis embedded (or free-standing) options could overvalue prices or volatility. The simplicity of the Yang-Zhang calculation and its potentially large impact on valuations should justify its adoption for most companies.

Europe

Survival Analysis of a Household Portfolio of Insurance Policies: How Much Time Do You Have to Stop Total Customer Defection? Brockett, Patrick L; Golden, Linda L; Guillen, Montserrat; Nielsen, Jens Perch; Parner, Jan; Perez-Martin, Ana Maria. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38596 Journal of Risk and Insurance (2008) 75 (3) : 713-737. Abstract: Customer-side influences on insurance have been relatively ignored in the literature. Using the household as the unit of analysis, this article focuses on the behavior of households having multiple policies of different types with the same insurance company, and who cancel their first policy. How long after the household's cancellation of the first policy does the insurer have to retain the customer and avoid customer defection on all policies to the competition? And, what customer characteristics are associated with customer loyalty? Using logistic regression and survival analysis techniques, an assessment is made of the probability of total customer withdrawal, and the length of time between first cancellation and subsequent customer withdrawal. Using a European database spanning 54 months of household multiple policyholder behavior, the results show that cancellation of one policy is a very strong indicator that other household policies will be canceled. Further, the insurer can have time to react to retain the customer after the first cancellation, however, this time is significantly dependent on the method used to contact the company, household demographics, and the nature of the household's insurance policy portfolio. Surprisingly, core customers having three or more policies in addition to the canceled policy are more vulnerable to total defection on all policies than noncore customers. Further, the potential customer repelling effects of premium increases seem to wear out after 12 months. Strategic implications of the results are presented. The emergence of cross-border insurance groups within Europe with centralised risk management. Schoenmaker, Dirk; Oosterloo, Sander; Winkels, Otto. Shelved at: Per: Geneva (Oxf) 39043 Geneva Papers on Risk and Insurance (2008) 33 (3) : 530-546. Abstract: This paper analyses the degree of internationalisation of insurance business. Using a novel data set of 25 large EU insurance groups, we find that the insurance industry has a strong international orientation. About 55 percent of the business of these large insurance groups is conducted abroad. The cross-border activities are predominantly within Europe (3035 percent) and less so in the rest of the world (2025 percent). Next, this paper examines the impact of internationalisation on the organisational structure. We find a clear trend towards centralising risk and capital management activities within large insurance groups, though insurance remains at the same time a local business. Applying the hub and spoke model, we identify which functions are executed at the centre (hub) and which functions are performed at the level of the local business units (spokes). Insurance statistics yearbook 1999-2008. Organisation for Economic Co-operation and Development. - - Paris: - OECD, 2010. Shelved at: Strg box OX2; BU/735 39154 Abstract: This annual publication contains time series of insurance statistics. It contains international comparisons, and tables and methodological notes by country.

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The development of international insurance. Pearson, Robin. - - London: - Pickering & Chatto, 2010. (Financial history; 15). - No. pages: 261. Shelved at: BUA/6 (Oxf) 39502 Abstract: Despite their economic and social importance, there are relatively few book-length studies of national insurance industries. This collection of nine essays by a group of international experts redresses this balance; providing an extensive geographical and thematic spread, linked via an extensive introduction. Also present is a consolidated, multilingual bibliography, allowing further research to be undertaken around the world.

Trends in strategic restructuring and re-domestication in European insurers including the impact in, and the role of, actuaries [copies of slides only] Portas, Jane; Garvey, Noel. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72755 On the impact of the financial crisis on the dividend policy of the European insurance industry. Reddeman, Sebastian; Graf von der Schulenburg, J.-Matthias; Basse, Tobias. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39860 Geneva Papers on Risk and Insurance (2010) 35 (1) : 53-62. Abstract: The financial crisis has led to controversial discussions about the capital base of the European insurance industry. Dividend cuts have been suggested to preserve capital. However, some observers seem to fear that investors could interpret a reduction of dividends as a sign of future problems. The empirical evidence reported here does not indicate that dividend smoothing or dividend signalling are relevant economic phenomena examining the dividend policy of the European insurance industry. Therefore, insurance companies should not be too concerned about the negative consequences of dividend cuts. On the impact of the financial crisis on the dividend policy of the European insurance industry. Reddeman, Sebastian; Basse, Tobias; von der Schulenburg, Johann-Mattias Graf. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39861 Geneva Papers on Risk and Insurance (2010) 35 (1) : 53-62. Abstract: The financial crisis has led to controversial discussions about the capital base of the European insurance industry. Dividend cuts have been suggested to preserve capital. However, some observers seem to fear that investors could interpret a reduction of dividends as a sign of future problems. The empirical evidence reported here does not indicate that dividend smoothing or dividend signalling are relevant economic phenomena examining the dividend policy of the European insurance industry. Therefore, insurance companies should not be too concerned about the negative consequences of dividend cuts. Reinsurance intermediaries: a comparison of the EU and U.S. regulatory approach. Marano, Pierpaolo. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39886 Geneva Papers on Risk and Insurance (2010) 35 (2) : 200-216. Abstract: Directive 2002/92/EC on insurance mediation holds very few provisions on reinsurance intermediaries whose discipline is in the hands, in large part, of each Member State. This lack of harmonized rules is consistent with the transnational nature of the reinsurance market. The purpose of this investigation is to highlight possible adverse effects of this lack of harmonisation by providing, at the same time, useful suggestions to counteract them for the forthcoming launch of the procedure of revising the Directive 2002/92/EC. The method of investigation used consists in the comparison of the current EU rules on reinsurance intermediaries with those applicable in the U.S. that are more detailed, while regulating intermediaries performing similar functions, in a highly sophisticated market that has the same need of protection as the European one.

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The productivity of European life insurers: best-practice adoption vs. innovation. Bertoni, Fabio; Croce, Annalisa. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45329 Geneva Papers on Risk and Insurance (2011) 36 (2) : 165-185. Abstract: The aim of this work is to investigate the drivers of productivity evolution in the European life insurance industry in the aftermath of the enforcement of the Third Directive. We apply Data Envelopment Analysis (DEA) to a panel of 602 life insurance companies operating in five European countries (Germany, France, Italy, Spain and the U.K.) between 1997 and 2004 and develop a generalized Malmquist efficiency decomposition to gauge the relative importance of two sources of productivity change: the improvement of best-practices via innovation, and the adoption of practices currently adopted by local or foreign best-in-class insurers. We find that productivity increased on an annual basis by 6.71 per cent; the increase has been mostly due to innovation in best-practices (6.67 per cent), while best-practice adoption contributed by a mere 0.04 per cent. Our findings also indicate that, over the period of our analysis, innovation of best-practices was attributable to technological change. We find no evidence, instead, that productivity has been driven by a shift in the risk profile of insurers.

EuropeanUnion

Catastrophe risk financing in the United States and the European Union: a comparative analysis of alternative regulatory approaches. Klein, Robert W; Wang, Shaun. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71007 Journal of Risk and Insurance (2009) 76 (3) : 607-637. Abstract: The regulation of insurance companies in the United States and the European Union (EU) continues to evolve in response to market forces and the changing nature of risk but with somewhat different philosophies and at different rates. One important area where both economic realities and markets are changing is catastrophe risk and its financing. This article examines and compares regulatory and other government policies in the United States and the EU generally and their approaches to the financing of catastrophe risk specifically. It is important to understand the fundamental differences between the two systems to gain insights into their disparate treatment of catastrophe risk financing. Although policies could be improved in both jurisdictions, we argue that the much greater reform is needed in the United States relative to the EU regulatory policies that are being developed. We offer recommendations on how U.S. policies could be significantly improved as well as comment on issues facing the EU. We conclude with some observations on the needs for further progress in the U.S. and EU regulatory systems. EU anti-discrimination policy's impact on insurance risk management: A parallel with the US sub-prime crisis. Petkantchin, Valentin. - - No. pages: 6. [Faculty: Journals - General] 73128 Pensions: An International Journal (2010) 15 (3) : 155-160. Abstract: The European Union (EU) authorities get more and more involved in tackling discrimination by issuing regulations aimed at equal treatment of people in the EU. This article analyses their economic effects on sound risk management, on insurance companies and consumers alike. As public policies against discrimination in the last decades have been identified as one of the causes for the excessive risk taking in the US mortgage lending market, the article also makes a parallel between this market and risk management in the EU insurance sector. Keywords: insurance; anti-discrimination; EU regulation; adverse selection; moral hazard; US subprime crisis Reinsurance intermediaries: a comparison of the EU and U.S. regulatory approach. Marano, Pierpaolo. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39886 Geneva Papers on Risk and Insurance (2010) 35 (2) : 200-216. Abstract: Directive 2002/92/EC on insurance mediation holds very few provisions on reinsurance intermediaries whose discipline is in the hands, in large part, of each Member State. This lack of harmonized rules is consistent with the transnational nature of the reinsurance market. The purpose

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of this investigation is to highlight possible adverse effects of this lack of harmonisation by providing, at the same time, useful suggestions to counteract them for the forthcoming launch of the procedure of revising the Directive 2002/92/EC. The method of investigation used consists in the comparison of the current EU rules on reinsurance intermediaries with those applicable in the U.S. that are more detailed, while regulating intermediaries performing similar functions, in a highly sophisticated market that has the same need of protection as the European one. Deregulation, insurance supervision and guaranty funds. Nektarios, Milton. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45326 Geneva Papers on Risk and Insurance (2010) 35 (3) : 452-468. Abstract: The objective of this article is twofold: first, to present a holistic approach to insurance regulation and, second, to put forward the proposition that the establishment of guaranty funds will facilitate the effectiveness of the supervisory authorities in the European insurance markets, which will go through the consolidation process. Consolidation will materialise by means of mergers and acquisitions, exits and bankruptcies. It is argued that consumer expectations, intensified competition and the convergence of financial and insurance markets require the establishment of guaranty funds in all Member States of the European Union, in order to deal with the expected increased rate of insurer insolvencies. Such an evolution will provide supervisory authorities with more degrees of freedom in removing earlier impaired insurers from the market, instead of waiting and exacerbating the eventual insolvency deficits. The argument is that, in addition to protecting the victims of insolvencies, such an arrangement is optimal as an insurance device, which will increase consumer confidence and market stability.

Excessofloss

NCCI's 2007 Hazard Group mapping. Robertson, John P. Shelved at: Per: Variance 39958 Variance (2009) 3 (2) : 194-213. URL: http://www.variancejournal.org/issues Abstract: Excess loss factors, which are ratios of expected losses excess of a limit to total expected losses, are used by the National Council on Compensation Insurance (NCCI) in class ratemaking (estimating the expected ratio of losses to payroll for individual workers compensation classifications) and are used by insurance carriers to determine premiums for certain retrospectively rated policies (on policies for which claims used in the premium determination are subject to a per-claim limitation). Collections of workers compensation classifications that use the same expected excess loss factors are called hazard groups. At the beginning of 2007, NCCI implemented a new seven-hazard-group system, replacing the previous four-hazard-group system. This paper describes the analysis that led to the assignment of classes to the new seven hazard groups.

Excessoflossreinsurance

Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession. Kremer, Erhard. Shelved at: Per: Bltter (Lon); online only 43364 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2008) 29 (heft 2) : 353-357. URL: http://www.springerlink.com/content/1864-0303/

Exposuretorisk

Effects of Health and Longevity on Financial Risk Tolerance. Hammitt, James K; Haninger, Kevin; Treich, Nicolas. - - No. pages: 23. Shelved at: Per: Geneva (Oxf) 72018 Geneva Risk and Insurance Review (2009) 34 (2) : 117-139.

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Abstract: We investigate the effects of health and life expectancy on tolerance of financial risk. Using a standard life-cycle model, we find that the effects of health and life expectancy on preferences over lifetime-income risk are theoretically ambiguous. However, risk tolerance is independent of health and life expectancy when utility takes one of the standard (harmonic absolute risk aversion) functional forms or when optimal consumption is constant over time. Our empirical results, using data from a stated-preference survey (n=2,795), suggest that financial risk tolerance is positively associated with both health and life expectancy; hence utility is not consistent with standard functional forms. Keywords: risk tolerance, health, longevity, life-cycle model, consumption, stated preference

Extremevaluetheory

Extreme value analysis for partitioned insurance losses. Henry, John B; Hsieh, Ping-Hung. Shelved at: Per: Variance 39959 Variance (2009) 3 (2) : 214-238. URL: http://www.variancejournal.org/issues Abstract: The heavy-tailed nature of insurance claims requires that special attention be put into the analysis of the tail behavior of a loss distribution. It has been demonstrated that the distribution of large claims of several lines of insurance have Pareto-type tails. As a result, estimating the tail index, which is a measure of the heavy-tailedness of a distribution, has received a great deal of attention. Although numerous tail index estimators have been proposed in the literature, many of them require detailed knowledge of individual losses and are thus inappropriate for insurance data in partitioned form. In this study we bridge this gap by developing a tail index estimator suitable for partitioned loss data. This estimator is robust in the sense that no particular global density is assumed for the loss distribution. Instead we focus only on fitting the model in the tail of the distribution where it is believed that the Pareto-type form holds. Strengths and weaknesses of the proposed estimator are explored through simulation and an application of the estimator to real world partitioned insurance data is given.

Finance

Optimal Consumption and Insurance : A Continuous-time Markov Chain Approach. Kraft, Holger; Steffensen, Mogens. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 38423 ASTIN Bulletin (2008) 38 (1) : 231-257. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are in this article modelled in a continuous-time multistate Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes optimal positions against the risk of dying; in another model the individual takes optimal positions against the risk of losing income as a consequence of disability or unemployment. Dynamic financial analysis in the insurance industry. Shiu, Yung-Ming. Shelved at: Per: Geneva (Oxf) 39028 Geneva Papers on Risk and Insurance (2009) 34 (2) : 175-196. Abstract: Although dynamic financial analysis (DFA) has gradually gained attention over the recent years, knowledge is scant about the practices in the insurance industry. The objective of this paper is to provide insights into the practices. The investigation is conducted via a field study in five U.K. insurance companies. An example is given to illustrate how DFA works in general. The results highlight key matters that actuaries emphasise when carrying out dynamic financial analysis. This paper sets out important implications that insurance regulators and the actuarial profession can take into account as they refine their supervisory and regulatory regime.

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Financialanalysis

Dynamic financial analysis in the insurance industry. Shiu, Yung-Ming. Shelved at: Per: Geneva (Oxf) 39028 Geneva Papers on Risk and Insurance (2009) 34 (2) : 175-196. Abstract: Although dynamic financial analysis (DFA) has gradually gained attention over the recent years, knowledge is scant about the practices in the insurance industry. The objective of this paper is to provide insights into the practices. The investigation is conducted via a field study in five U.K. insurance companies. An example is given to illustrate how DFA works in general. The results highlight key matters that actuaries emphasise when carrying out dynamic financial analysis. This paper sets out important implications that insurance regulators and the actuarial profession can take into account as they refine their supervisory and regulatory regime.

Financialcrises

World insurance in 2008: life premiums fall in the industrialised countries - strong growth in the emerging countries. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. [Faculty: SIG/SWI] 69778 Sigma (2009) 3 URL: http://www.swissre.com/pws/research%20publications/sigma%20ins.%20research/sigma_no_3_2009.html Contents: Executive summary 2. Global economy: in the wake of the global financial crisis 3. World insurance: premiums and the industry's capital fall 4. Industrialised countries: life business contracts, non-life more resilient 5. Emerging markets: robust growth continued in most markets 6. Methodology and data 7. Statistical appendix The financial crisis, systemic risk, and the future of insurance regulation. Harrington, Scott E. - - No. pages: 35. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71775 Journal of Risk and Insurance (2009) 76 (4) : 785-819. Abstract: This article considers the role of American International Group (AIG) and the insurance sector in the 20072009 financial crisis and the implications for insurance regulation. Following an overview of the causes of the crisis, I explore the events and policies that contributed to federal government intervention to prevent bankruptcy of AIG and the scope of federal assistance to AIG. I discuss the extent to which insurance in general poses systemic risk and whether a systemic risk regulator is desirable for insurers or other nonbank financial institutions. The last two sections of the article address the financial crisis's implications for proposed optional and/or mandatory federal chartering and regulation of insurers and for insurance regulation in general. Opportunities in Adversity - the Future of Takaful : The World Takaful Report 2009. Ernst & Young. - - Ernst & Young, 2009. - No. pages: 54. 72095 URL: http://www.ey.com/Publication/vwLUAssets/The_World_Takaful_Report_2009_IFRS/$FILE/The%20World%20 Takaful%20report%202009.pdf Contents: Contents include: -- Introduction to Takaful -- Global Takaful Markets - Takaful continues to show strong growth in underpenetrated insurance markets. -- The Financial Crisis - Takaful operators that successfully manage their business risks will be well placed to take advantage of emerging opportunities. -- Sustaining the Future - Latent demand will continue to fuel long-term future growth.

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Abstract: "Notwithstanding the effects of the crisis in the international financial markets, major opportunities continue to exist in the international arena for Takaful products. The market still remains under-penetrated with large untapped potential still to be realised in key countries. The EY World Takaful Report offers detailed insights into these markets and opportunities. This years Report will probe how the Islamic insurance industry can catalyse the next phase of growth, providing industry leaders with new insights as they seek to renew their business strategies in a challenging global economic climate." How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter. Impavido, Gregorio; Tower, Ian. - - International Monetary Fund, 2009. - (IMF Working Paper WP/09/151). - No. pages: 57. 72321 URL: http://www.imf.org/external/pubs/ft/wp/2009/wp09151.pdf Contents: Contents include: -- The Role of Pension Plans and Insurance Companies -- Key Pensions and Insurance Characteristics -- The Nature of Assets and Liabilities -- Risk Sharing and Transmission Channels to the Rest of the Economy Abstract: This paper discusses the key sources of vulnerabilities for pension plans and insurance companies in light of the global financial crisis of 2008. It also discusses how these institutional investors transit shocks to the rest of the financial sector and economy. The crisis has re-ignited the policy debate on key issues such as: 1) the need for countercyclical funding and solvency rules; 2) the tradeoffs implied in marked based valuation rules; 3) the need to protect contributors towards retirement from excessive market volatility; 4) the need to strengthen group supervision for large complex financial institutions including insurance and pensions; and 5) the need to revisit the resolution and crisis management framework for insurance and pensions. Current topics : General insurance. Edler, Clare; Lakhani, Tanvi. - - Edinburgh: - Faculty of Actuaries Students' Society, 2008. - No. pages: 46. 72657 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2008-fass-generalinsurance Contents: UK floods 07C and 07E -- Sub prime lending and the credit crunch -- Personal injury update -- Asbestos update -- Reserving through the softening market - how can actuaries do better? -- Reserving uncertainty -- Capital and Solvency II -- Part VII transfers Abstract: This paper aims to provide the reader with an overview of the current issues and trends seen in recent times in the general insurance industry. We start by giving an overview of the UK insurance market and how it has evolved since 1996. The remainder is split into four main themes: Market developments, Claims, Modelling techniques, Regulation Lime Street, Wall Street and Main Street [copies of slides only] Fulcher, Graham; Marcuson, Alex; Securitisation Working Party; Sub-Prime Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72742 Sub-prime - background and reserving approaches [copies of slides only] Koslover, Paul. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72779 Current topics : General insurance. Jenkins, Tim; Rakow, James. - - Edinburgh: - Faculty of Actuaries Students' Society, 2010. 72874 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2010-fass-generalinsurance Contents: Personal injury update -- UK asbestos update -- Solvency II -- Recessionary issues -Market cycles

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How to price in a recession [copies of slides only] Recession Working Party; Beardsworth, Julian; Black, Simon; Hillon, James; Loughnane, Laurence. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72935 Effect of the Credit Crunch on non-life insurance [copies of slides only] Ellis, Phil; Fulcher, Graham. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72948 The Impact of the Current Financial Crisis on the Run-off Market [copies of slides only] Newbury, Karen; Goodlud, Steve. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72991 Lessons Learned from the Financial Crisis [copies of slides only] Hess, Thomas. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72993 How to Thrive in Recession and Recovery [copies of slides only] Geddes, Paul. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 73005 EU anti-discrimination policy's impact on insurance risk management: A parallel with the US sub-prime crisis. Petkantchin, Valentin. - - No. pages: 6. [Faculty: Journals - General] 73128 Pensions: An International Journal (2010) 15 (3) : 155-160. Abstract: The European Union (EU) authorities get more and more involved in tackling discrimination by issuing regulations aimed at equal treatment of people in the EU. This article analyses their economic effects on sound risk management, on insurance companies and consumers alike. As public policies against discrimination in the last decades have been identified as one of the causes for the excessive risk taking in the US mortgage lending market, the article also makes a parallel between this market and risk management in the EU insurance sector. Keywords: insurance; anti-discrimination; EU regulation; adverse selection; moral hazard; US subprime crisis Regulatory issues in insurance. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, [Faculty: SIG/SWI] 73150 Sigma (2010) 3 URL: http://www.swissre.com Contents: The role of insurance in the economy -- Regulatory issues emerging from the crisis -Global regulatory trends Abstract: While the insurance industry weathered the financial crisis relatively well, acting as a source of stability in the global financial system, the turmoil exposed flaws in the way insurers are regulated. Swiss Re's latest sigma study "Regulatory issues in insurance" finds that improvements could be made to the regulatory environment for insurers, but warns against a potentially damaging over-reaction to the crisis. What Effect Did AIG's Bailout, and the Preceding Events, Have on Its Competitors? Egginton, Jared F; Hilliard, James I; Liebenberg, Andre P; Liebenberg, Ivonne A. - - No. pages: 25. [Faculty: RIS/MAN] 73285 Risk Management and Insurance Review (2010) 13 (2) : 225-249.

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Abstract: We examine the effect of American International Group's (AIG) bailout, and the events leading up to it, on its insurance industry rivals. The reaction of rivals to AIG-related events depends on the relative strength of two competing effects. The contagion effect implies that rival returns will decrease following negative events affecting AIG. In contrast, competitive effects will occur if investors expect that rivals will be able to benefit from AIG's downfall. Using three-factor multivariate regression model event study methodology, we find evidence of both effects around several key dates in AIG's decline. Managing performance in a recovery : The World Takaful Report 2010. Ernst & Young. - - Ernst & Young, 2010. - No. pages: 76. 73304 URL: http://www.ey.com/Publication/vwLUAssets/World_Takaful_Report_2010/$FILE/EY-WTR-2010Report.pdf Abstract: "As the global recession cautiously starts to give way to signs of recovery, industry experts are increasingly predicting substantial growth opportunities for Takaful operators. The Ernst & Young World Takaful Report 2010 is launched at this opportune time and it will provide pointers on how the Islamic insurance industry can catalyse the next phase of growth as well as provide industry leaders with new insights as they seek to realign their business models to the realities of a challenging economic climate. The 2010 report will feature an extensive re-assessment of last year's findings, with fresh perspectives on new issues shaping the industry given the current market conditions and responses being adopted by the leading players internationally." Insurance and credit crisis: impact and ten consequences for risk management and supervision. Eling, Martin; Schmeiser, Hato. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39858 Geneva Papers on Risk and Insurance (2010) 35 (1) : 9-34. Abstract: Although the insurance industry is less affected than the banking industry, the credit crisis has revealed room for improvement in its risk management and supervision. Based on this observation, we formulate ten consequences for risk management and insurance regulation. Many of these reflect current discussions in academia and practice, but we also add a number of new ideas that have not yet been the focus of discussion. Among these are specific aspects of agency and portfolio theory, a concept for a controlled run-off for insolvent insurers, new principles in stress testing, improved communication aspects, market discipline, and accountability. Another contribution of this paper is to embed the current practitioners discussion in the recent academic literature, for example, with regard to the regulation of financial conglomerates. Insurance regulation and the global financial crisis: a problem of low probability events. O'Brien, Christopher. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39859 Geneva Papers on Risk and Insurance (2010) 35 (1) : 35-52. Abstract: We consider probabilistic approaches and stress tests as methods for regulators to set the minimum solvency margin for insurers. Each method has advantages and disadvantages. We assess the implications of the global financial crisis for each method, concentrating on life insurers. We have concerns that the probabilities used in probabilistic approaches are not robust. Regulators may find it beneficial to focus on the use of stress tests, although there are lessons to learn from the global financial crisis about the design and use of such tests. On the impact of the financial crisis on the dividend policy of the European insurance industry. Reddeman, Sebastian; Graf von der Schulenburg, J.-Matthias; Basse, Tobias. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39860 Geneva Papers on Risk and Insurance (2010) 35 (1) : 53-62. Abstract: The financial crisis has led to controversial discussions about the capital base of the European insurance industry. Dividend cuts have been suggested to preserve capital. However, some observers seem to fear that investors could interpret a reduction of dividends as a sign of future problems. The empirical evidence reported here does not indicate that dividend smoothing or dividend signalling are relevant economic phenomena examining the dividend policy of the European insurance industry. Therefore, insurance companies should not be too concerned about the negative

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consequences of dividend cuts. On the impact of the financial crisis on the dividend policy of the European insurance industry. Reddeman, Sebastian; Basse, Tobias; von der Schulenburg, Johann-Mattias Graf. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39861 Geneva Papers on Risk and Insurance (2010) 35 (1) : 53-62. Abstract: The financial crisis has led to controversial discussions about the capital base of the European insurance industry. Dividend cuts have been suggested to preserve capital. However, some observers seem to fear that investors could interpret a reduction of dividends as a sign of future problems. The empirical evidence reported here does not indicate that dividend smoothing or dividend signalling are relevant economic phenomena examining the dividend policy of the European insurance industry. Therefore, insurance companies should not be too concerned about the negative consequences of dividend cuts. Lessons learned from the financial crisis for risk management: contrasting developments in insurance and banking. Lehmann, Axel P; Hofmann, Daniel M. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39862 Geneva Papers on Risk and Insurance (2010) 35 (1) : 63-78. Abstract: The article analyses implications for risk management in insurance arising from the current financial crisis. After a brief comparison of the insurance to the banking world, we discuss the root causes of the current financial crisis with a particular focus on risk management and incentives. Against the backdrop of this discussion, lessons are derived from an insurance risk management point of view. In particular, the article pleads for a pronounced external and forward-looking approach to supplement the traditional methodology, which tends to be more inward-looking and ultimately backward-oriented. Insurance, systemic risk and the financial crisis. Baluch, Faisal; Mutenga, Stanley; Parsons, Chris. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39984 Geneva Papers on Risk and Insurance (2011) 36 (1) : 126-163. Abstract: In this paper we assess the impact of the financial crisis on insurance markets and the role of the insurance industry in the crisis itself. We examine some previous insurance crises and consider the effect of the crisis on insurance riskthe liabilities arising from contracts that insurers underwrite. We then analyse the effects of the crisis on the performance of insurers in different markets and assess the extent of systemic risk in insurance. We conclude that, while systemic risk remains lower in insurance than in the banking sector, it is not negligible and has grown in recent years, partly as a consequence of insurers increasing links with banks and their recent focus on non-(traditional) insurance activities, including structured finance. We conclude by considering the structural changes in the insurance industry that are likely to result from the crisis, including possible effects on bancassurance activity, and offer some thoughts on changes in the regulation of insurance markets that might ensue.

Financialinstitutions

Why are insurance companies different? : The limits of convergence among financial institutions. Beltratti, Andrea; Corvino, Giuseppe. Shelved at: Per: Geneva (Oxf) 39035 Geneva Papers on Risk and Insurance (2008) 33 (3) : 363-388. Abstract: Banks and insurance companies maintain structural differences, limiting the extent of convergence due to factors such as demographics, the structure of liabilities, the scale of operations, regulation and accounting practices and distribution channels. Demography directly affects the needs of consumers regarding the risks to be covered; the structure of liabilities is important due to the limited possibilities to hedge many of them; the securitization process has been less relevant for insurance companies than for other financial intermediaries; regulation is different and implemented by different authorities; accounting is usually carried out on a price basis in the banking sector and

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on a cost basis in the insurance sector; and distribution channels require different expertise. A simulation model highlights the role of some of these factors and the peculiarities of managing insurance companies. An analysis of organisational, market and socio-cultural factors affecting the supply of insurance and other financial services by microfinance institutions in developing economies. Kwon, W Jean. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39866 Geneva Papers on Risk and Insurance (2010) 35 (1) : 130-160. Abstract: This article first investigates the microfinance - principally microinsurance - market at the global level and the business structure of over 600 microfinance institutions (MFIs) in 83 countries that were in operation during 1998-2007. It then empirically examines the impact of organisational, market and socio-cultural factors on the supply of insurance, lending and savings services by MFIs in developing countries. Findings from a series of probit analyses indicate that a rise in the financial expense ratio, loan repayments in arrears, years of operation, number of borrowers, woman borrower ratio, life insurance penetration ratio and family size positively affect MFIs' willingness to expand their operations, certainly to microinsurance business. In contrast, they are likely to stay away from the insurance market when their loan asset ratio, bad loan write-off ratio or average loan size in comparison to GNI per capita is on the rise. It seems MFIs focus on lending service in Muslim populous countries. Finally, we find no evidence that presence of insurance affects availability of savings service, and vice versa, in the microfinance market.

Financialinstruments

Convergence of insurance and financial markets: hybrid and securitized risk-transfer solutions. Cummins, J David; Weiss, Mary A. - - No. pages: 52. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71003 Journal of Risk and Insurance (2009) 76 (3) : 493-545. Abstract: One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors. Convergence has been driven by the increase in the frequency and severity of catastrophic risk, market inefficiencies created by (re)insurance underwriting cycles, advances in computing and communications technologies, the emergence of enterprise risk management, and other factors. These developments have led to the development of hybrid insurance/financial instruments that blend elements of financial contracts with traditional reinsurance as well as new financial instruments patterned on asset-backed securities, futures, and options that provide direct access to capital markets. This article provides a survey and overview of the hybrid and pure financial markets instruments and provides new information on the pricing and returns on contracts such as industry loss warranties and Cat bonds.

Financialmarkets

A study of the interaction of insurance and financial markets : efficiency and full insurance coverage. PenalvaZuasti, Jose. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38289 Journal of Risk and Insurance (2008) 75 (2) : 313-342. Abstract: The first contribution of this article is to provide a framework, a model together with a corresponding equilibrium notion, suitable for the study of the interaction between insurance and dynamic financial markets. Our central result is that in equilibrium risk-averse agents purchase full insurance coverage, despite unfair insurance prices. We identify three conditions that explain this result: (1) insurance contracts are priced competitively, (2) financial prices include a risk premium only for undiversifiable risk, and (3) financial markets are effectively complete. An implication is that in this model disasters can be insured by fully assessable stock insurance companies.

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Convergence of insurance and financial markets: hybrid and securitized risk-transfer solutions. Cummins, J David; Weiss, Mary A. - - No. pages: 52. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71003 Journal of Risk and Insurance (2009) 76 (3) : 493-545. Abstract: One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors. Convergence has been driven by the increase in the frequency and severity of catastrophic risk, market inefficiencies created by (re)insurance underwriting cycles, advances in computing and communications technologies, the emergence of enterprise risk management, and other factors. These developments have led to the development of hybrid insurance/financial instruments that blend elements of financial contracts with traditional reinsurance as well as new financial instruments patterned on asset-backed securities, futures, and options that provide direct access to capital markets. This article provides a survey and overview of the hybrid and pure financial markets instruments and provides new information on the pricing and returns on contracts such as industry loss warranties and Cat bonds. Nonlinear cointegration relationships between non-life insurance premiums and financial markets. Jawadi, Fredj; Bruneau, Catherine; Sghaier, Nadia. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71014 Journal of Risk and Insurance (2009) 76 (3) : 753-783. Abstract: The aim of this article is to study the adjustment dynamics of the non-life insurance premium (NLIP) and test its dependence to the financial markets in five countries (Canada, France, Japan, the United Kingdom, and the United States). First, we justify the linkage between the insurance and the financial markets by the underwriting cycle theory and financial models of insurance pricing. Second, we examine the relationship between the NLIP, the interest rate, and the stock price using the recent developments of nonlinear econometrics. We use threshold cointegration models: the switching transition error correction models (STECM). We show that STECM perform better than a linear error correction model (LECM) to reproduce the NLIP dynamics. Our empirical results show that the adjustment of the NLIP in France, Japan, and the United States is rather discontinuous, asymmetrical, and nonlinear. Moreover, we suggest a strong evidence of significant linkages between insurance and financial markets, show two regimes for the NLIP, and find that the NLIP adjustment toward equilibrium is time varying with a convergence speed that varies according to the insurance disequilibrium size.

Financialreports

Analysing earnings and risks. Foroughi, Kamran. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39658 The Actuary (2010) July : 34-35. URL: http://www.the-actuary.org.uk Abstract: Kamran Foroughi proposes some enhancements to insurers' financial reporting statements to aid understanding.

Financialriskanalysis

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf Contents: Introduction - 4 Focus on Emerging Issues in Global Risk - 6 Assessing Global Risks in 2008 - 20 Networked World, Networked Risks - 25

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Financial Markets, Risk Transfer and Risk Mitigation - 30 Structuring Mitigation at the State and International Level: Taking the Country Risk Officer Forward 36 Conclusion - 39 Appendix 1: Taxonomy of Global Risk: Trends, Issues of Concern, Risks - 41 Appendix 2: Risk Assessments - 45 Contributors - 52 Participants - 53 The financial risks of climate change Examining the financial implications of climate change using climate models and insurance catastrophe risk models. Dailey, Peter; Huddleston, Matt; Brown, Simon; Fasking, Dennis. - - London: - Association of British Insurers, 2009. - (ABI Research paper no 19). - No. pages: 107. 71689 URL: http://www.abi.org.uk/Publications/ABI_Publications_The_Financial_Risks_of_Climate_Change_e45.aspx Abstract: This study makes several groundbreaking advances in the area of climate impact assessment by using state-of-the-art modelling techniques combined with expert knowledge in the fields of climate, meteorology, hydrology and actuarial science. The report provides a detailed analysis of the potential impact from a changing climate on insured risk for insurers and other stakeholders through its effects on precipitation-induced inland floods in Great Britain, winter windstorms in the United Kingdom, and typhoons in China.

Financialservices

Bancassurance : tapping into the banking strength. Teunissen, Mark. Shelved at: Per: Geneva (Oxf) 39037 Geneva Papers on Risk and Insurance (2008) 33 (3) : 408-417. Abstract: One of the most significant changes in the financial services sector over the past few years has been the appearance and development of bancassurance. Indeed, the distribution of insurance products through banks is gradually becoming widespread in many parts of the world. This article aims to shed more light on this emerging distribution channel. Although bancassurance has not developed at an equal pace throughout the world, it is evident that it provides clear benefits for insurers, banks and customers and is expected to continue to grow. WTO and the Chinese insurance industry. Leverty, J Tyler; Lin, Yijia; Zhou, Hao. Shelved at: Per: Geneva (Oxf) 39301 Geneva Papers on Risk and Insurance (2009) 34 (3) : 440-465. Abstract: This paper provides new information on the impact of the entry of foreign firms on a financial services industry by examining the Chinese insurance industry surrounding China's accession to the World Trade Organization (WTO). Our analysis reveals that insurers experienced significant growth in total factor productivity over the sample period. We also observe a structural improvement in efficiency after WTO accession, but geographic and product market restrictions placed on foreign firms reduce these positive effects. Overall, the results are consistent with there being a significant increase in social welfare during our sample period, but they also lend support for further deregulation. Captives : reserving, regulation and innovation in international financial centres [copies of slides only] Morris, Ian; Poulding, Mike. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72745 Challenging Times [copies of slides only] Orr, James; Desai, Vishal. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72930

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Financialstatements

Insurance company performance 2008 : A statistical summary of the top 250 UK insurers : Part 1. University of Nottingham Insurance Centre. - - London: - Thesys Information Ltd, 2008. - No. pages: 195. Shelved at: BU/ELCB (Oxf) 38394 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Insurance company performance 2008 : A statistical summary of the top 250 UK insurers : Part 2. University of Nottingham Insurance Centre. - - London: - Thesys Information Ltd, 2008. - No. pages: 221. Shelved at: BU/ELCB (Oxf) [Faculty: 368 UNI] 38483 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Part II is divided into two main sections, with data taken from the FSA returns. Tables 17-24 show the UK premium income for general insurance, and tables 2533 show long term premium income, commissions and expenses, and an analysis of solvency for long term business. Insurance company performance 2009 : A statistical summary of the top 250 UK insurers : Part 1. Centre for Risk and Insurance Studies Nottingham University. - - Nottingham: - Nottingham University Business School, 2008. - No. pages: 162. Shelved at: Strg box OX1; BU/ELCB (Oxf) 39235 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Insurance company performance 2009 : A statistical summary of the top 250 UK insurers : Part 2. Centre for Risk and Insurance Studies Nottingham University. - - London: - Thesys Information Ltd, 2009. - No. pages: 221. Shelved at: BU/ELCB (Oxf) 39236 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Part II is divided into two main sections, with data taken from the FSA returns. Tables 17-24 show the UK premium income for general insurance, and tables 2533 show long term premium income, commissions and expenses, and an analysis of solvency for long term business.

Fireinsurance

Empirical evidence for advantageous selection in the commercial fire insurance market. Wang, Kili C; Huang, Rachel J; Tzeng, Larry Y. Shelved at: Per: Geneva (Oxf) 39291 Geneva Risk and Insurance Review (2009) 34(1) : 1-19. Abstract: De Meza and Webb (2001) indicated that individuals with a higher degree of risk aversion would demand more insurance and invest in self-protection to reduce risk probability when both the preference type and investment in self-protection are hidden from insurers. They referred to the negative correlation between market insurance and risk type as advantageous selection. However, the relationship between risk type and the degree of risk aversion is debatable in both theoretical and empirical research. This paper therefore proposes that advantageous selection could be supported

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from another angle by directly examining the relationships that exist among market insurance, selfprotection, and risk probability. By focusing on the commercial fire insurance market, information on the purchase of market insurance, investment in self-protection, and fire accident records is handcollected by means of a unique survey. It is found that firms purchasing market insurance have a greater tendency to channel efforts into self-protection. It is also found that firms expending effort on self-protection are less likely to suffer a fire accident. Furthermore, it is found that firms with commercial fire insurance have less chance of suffering a fire accident than those without such insurance. Each of the above three findings jointly supports the view that advantageous selection could play a critical role in the commercial fire insurance market.

Floods

Flood Hazards, Insurance Rates, and Amenities: Evidence From the Coastal Housing Market. Bin, Okmyung; Kruse, Jamie Brown; Landry, Craig E. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38132 Journal of Risk and Insurance (2008) 75 (1) : 63-82. Abstract: This study employs the hedonic property price method to examine the effects of flood hazard on coastal property values. We utilize Geographic Information System data on National Flood Insurance Program flood zones and residential property sales from Carteret County, North Carolina. Our results indicate that location within a flood zone lowers property value. Price differentials for flood risk and the capitalized value of flood insurance premiums are roughly equivalentboth exhibiting a nonlinear relationship in flood probability. Our results support the conclusion that flood zone designation and insurance premiums convey risk information to potential buyers in the coastal housing market. Insurers in hot water? Lowe, Julian. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38756 The Actuary (2008) December : 10. URL: http://www.the-actuary.org.uk Abstract: Insurers need to grasp the nettle of increasing flood risk. Come rain or shine : Evidence on flood insurance purchases in Florida. Michel-Kerjan, Erwann; Kousky, Carolyn. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39627 Journal of Risk and Insurance (2010) 77 (2) : 369-397. Abstract: This article provides a detailed analysis of the operation of the National Flood Insurance Program (NFIP) in Florida, which accounts for 40 percent of the NFIP portfolio. We study the demand for flood insurance with a data set of more than 7.5 million NFIP policies-in-force (the largest ever studied) for the years 20002005, as well as all NFIP claims filed in Florida. We answer four questions: What are the characteristics of the buyers of flood insurance? What types of contracts (deductibles and coverage levels) are purchased? What are the determinants of claims payments? How are prices determined and how much does NFIP insurance cost? GIRO Flood Risks Working Party. GIRO Flood Risks Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). - No. pages: 121. 72701 Contents: Contents include: -- Insurance aspects of floods 3.1 Rating and underwriting issues 19 3.2 Flood models 28 3.3 Mitigation before and after floods 38 3.4 Producing estimates of flood costs 42 3.5 Reinsurance and capital issues 50 3.6 Claims handling / loss adjuster issues 57 3.7 ABI Statement of Principles 59

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3.8 Pitt and Insurance 64 3.9 Our survey says .... 67 3.10 Lessons from overseas ? -- Non-insurance aspects of floods 4.1 The human impact of floods 71 4.2 All you ever wanted to know about sewers .... 73 4.3 Let's talk about dams 75 4.4 Flood mitigation 78 4.5 Roles and responsibilities of ... interested parties 83 4.6 Information about potential flood risk for the public 89 4.7 Flood and the perception of risk 90 4.8 Flood and climate change 91 4.9 Pitt and Non-insurance UK Flood and Storm Catastrophe Modelling [copies of slides only] Sanders, David. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72984

Forecasting

Chain Ladder Forecast Efficiency. Taylor, Greg. - - Victoria: - University of Melbourne, 2009. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 183). - No. pages: 22. Shelved at: online only [Faculty: online only] 69974 URL: http://econ.unimelb.edu.au/SITE/actwww/ActHome.shtml Abstract: The paper considers two models of a claim triangle, for both of which the chain ladder algorithm for loss reserving is maximum likelihood. Section 4 examines the relation between them in terms of fitted values and forecasts. Later sections consider the prediction efficiency of the CL algorithm. For one model, the algorithm is found to be minimum variance unbiased; for the other, it is biased but, if corrected for bias, is also minimum variance unbiased (Section 5). The minimum variance unbiased estimators are also minimum prediction error unbiased forecasts (Section 6). Keywords: Chain ladder, maximum likelihood, minimum prediction error, minimum variance unbiased estimator, over-dispersed Poisson. The Munich chain-ladder method: a Bayesian approach. De Alba, Enrique. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-07). - No. pages: 32. Shelved at: Online only [Faculty: Online only] 69981 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In non-life insurance the traditional chain-ladder method for claims reserving is widely used and its results frequently serve as benchmark. From the actuarial point of view, reserving is a problem of estimation, or more precisely, forecasting. As in many fields the estimation or prediction methods can range from very simple deterministic techniques to some very sophisticated ones, based on stochastic models. This has also been the case with the chain-ladder method. In its initial form it is a simple deterministic procedure, but it has given rise to numerous developments that intend to provide stochastic formulations that in some way reproduce those of the deterministic scheme while satisfying stochastic assumptions that allow the user to evaluate his results. One of the most recent formulations of the chain-ladder method is the Munich Chain Ladder (MCL) which is aimed at optimizing the simultaneous use of paid and incurred claims data. While both of these sources of claims data should lead to the same ultimate claims they typically produce different results. To date several modifications to this method have been proposed. In this paper we present a Bayesian approach to the MCL and compare the results to other formulations. Computations are carried out via MCMC using WinBUGS. Robust forecasting in the extended chain-ladder model. Kuang, D; Nielsen, B; Nielsen, J P. - - London: - Cass Business School, 2009. - No. pages: 20. 39498 URL: http://www.actuaries.org.uk/research-and-resources/documents/robust-forecasting-extended-chainladder-model

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Abstract: Chain-ladder-type models extended with a calender effect are used for reserving in general insurance. We consider forecasting of reserves in a situation where the calendar parameters change out of sample. It is shown that methods for forecasting non-stationary time series are helpful. External information, if present, may help investigators choose between ro-bust forecasts. The techniques are illustrated using a reserving dataset from general insurance. Keywords: Calendar effect, canonical parameter, extended chain-ladder, identification problem, robust forecasting. Emerging Risks : The future: in space and on earth [copies of slides only] Maynard, Trevor. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73534 URL: http://www.actuaries.org.uk/research-and-resources/documents/pl7-future-space-and-earth

Formulae

The fall and rise of the standard formula [copies of slides only] Tse, Vivian; Paul, David. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45014 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b9-david-paul.pdf

France

Nonlinear cointegration relationships between non-life insurance premiums and financial markets. Jawadi, Fredj; Bruneau, Catherine; Sghaier, Nadia. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71014 Journal of Risk and Insurance (2009) 76 (3) : 753-783. Abstract: The aim of this article is to study the adjustment dynamics of the non-life insurance premium (NLIP) and test its dependence to the financial markets in five countries (Canada, France, Japan, the United Kingdom, and the United States). First, we justify the linkage between the insurance and the financial markets by the underwriting cycle theory and financial models of insurance pricing. Second, we examine the relationship between the NLIP, the interest rate, and the stock price using the recent developments of nonlinear econometrics. We use threshold cointegration models: the switching transition error correction models (STECM). We show that STECM perform better than a linear error correction model (LECM) to reproduce the NLIP dynamics. Our empirical results show that the adjustment of the NLIP in France, Japan, and the United States is rather discontinuous, asymmetrical, and nonlinear. Moreover, we suggest a strong evidence of significant linkages between insurance and financial markets, show two regimes for the NLIP, and find that the NLIP adjustment toward equilibrium is time varying with a convergence speed that varies according to the insurance disequilibrium size.

Fraud

The role of repetition and observability in deterring insurance fraud. Krawczyk, Michal. Shelved at: Per: Geneva (Oxf) 39294 Geneva Risk and Insurance Review (2009) 34 (1) : 74-87. Abstract: In this paper, I analyze an inspection game between an insurer and an infinite sequence of policyholders, who can try to misrepresent relevant information in order to obtain coverage or lower insurance premium. Because claim-auditing is costly for the insurer, ex-post moral hazard problem arises. I find that the repeated game effect serves as a commitment device, allowing the insurer to

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deter fraud completely (for sufficiently high discount rate) but only when the policyholders observe past auditing strategies. Under weaker observability conditions, only partial efficiency gains are generally possible. I conclude that the insurers should spend resources on signaling their anti-fraud attempts to the potential policyholders. Similar conclusions can be drawn with respect to conceptually similar problems, such as tax evasion. Assessing consumer fraud risk in insurance claims: An unsupervised learning technique using discrete and continuous predictor variables. Ai, Jing; Brockett, Patrick L; Golden, Linda L. - - Society of Actuaries, - No. pages: 21. Shelved at: Per: NASA (Ox); Per NASA (Leon) [Faculty: NOR/AMEX] 72022 North American Actuarial Journal (2009) 13 (4) : 438-458. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: We present an unsupervised learning method for classifying consumer insurance claims according to their suspiciousness of fraud vs nonfraud. The predictor variables contained within a claim file that are used in this analysis can be binary, ordinal categorical, or continuous variates. They are constructed such that the ordinal position of the response to the predictor variable bears a monotonic relationship with the fraud suspicion of the claim. Thus, although no individual variable is of itself assumed to be determinative of fraud, each of the individual variables gives a "hint" or indication as to the suspiciousness of fraud for the overall claim file. The presented method statistically concatenates the totality of these "hints" to make an overall assessment of the ranking of fraud risk for the claim files without using any a priori fraud-classified or -labeled subset of data. We first present a scoring method for the predictor variables that puts all the variables (whether binary "red flag indicators", ordinal categorical variables with different categories of possible response values, or continuous variables) onto a common -1 to 1 scale for comparison and further use. This allows us to aggregate variables with disparate numbers of potential values. We next show how to concatenate the individual variables and obtain a measure of variable worth for fraud detection, and then how to obtain an overall holistic claim file suspicion value capable of being used to rank the claim files for determining which claims to pay and the order in which investigate claims further for fraud. The proposed method provides three useful outputs not usually available with other unsupervised methods: (1) an ordinal measure of overall claim file fraud suspicion level, (2) a measure of the importance of each individual predictor variable in determining the overall suspicion levels of claims, and (3) a classification function capable of being applied to existing claims as well as new incoming claims. The overall claim file score is also available to be correlated with exogenous variables such as claimant demographics or high-volume physician or lawyer involvement. We illustrate that the incorporation of continuous variables in their continuous form helps classification and that the method has internal and external validity via empirical analysis of real data sets. A detailed application to automobile bodily injury fraud detection is presented. Outwitting the Fraudsters : The story so far [copies of slides only] Insurance Fraud Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72951 Fraud as an emerging risk : The impact of change in technology [copies of slides only] Barton, Catherine; Mallison, Nicolas. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Actuarial impact - rising to the challenge Annual GIRO Convention, Celtic Manor, Newport). 73586 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/pl7-catherine-barton-nicolas-mallison.pdf Proactive data-driven counter fraud: Mining for digital gold [copies of slides only] Barton, Catherine. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45037 URL: http://www.actuaries.org.uk/research-and-resources/documents/d11-proactive-data-driven-counter-fraudmining-digital-gold-slides The Economics of Insurance Fraud Investigation: Evidence of a Nash Equilibrium. D'Arcy, Stephen P; Derrig, Richard A; Weisberg, Herbert I. Shelved at: Per: Variance 45068 Variance (2011) 4 (2) : 170-190.

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URL: http://www.variancejournal.org/issues Abstract: The behavior of competing insurance companies investigating insurance fraud follows one of several Nash Equilibria under which companies consider the claim savings, net of investigation cost, on a portion, or all, of the total claim. This behavior can reduce the effectiveness of investigations when two or more competing insurers are involved. Cost savings are reduced if the suboptimal equilibrium prevails, and may instead induce fraudulent claim behavior and lead to higher insurance premiums. Alternative cooperative and noncooperative arrangements are examined that could reduce or eliminate this potential inefficiency. Empirically, an examination of Massachusetts no-fault auto bodily injury liability claim data for independent medical examinations shows that (1) investigation produces a net total savings as high as eight percent; (2) the investigation frequency is likely in excess of the theoretical optimal; and (3) predictive modeling of claim suspicion scores can significantly enhance the net savings arising from independent medical examinations.

Fundmanagement

Minimizing the ruin probability through capital injections. Nie, Ciyu; Dickson, David C M; Li, Shuanming. - Victoria: - University of Melbourne, 2010. - (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 206). - No. pages: 20. 73356 URL: http://www.economics.unimelb.edu.au/downloads/Nie_Dickson_Li.pdf Abstract: We consider an insurer who has a fixed amount of funds allocated as the initial surplus for a risk portfolio, so that the probability of ultimate ruin for this portfolio is at a known level. We consider the question of whether the insurer can reduce this ultimate ruin probability by allocating part of the initial funds to the purchase of a reinsurance contract. This reinsurance contract would restore the insurer's surplus to a positive level k every time the surplus fell between 0 and k. The insurer's objective is to choose the level k that minimizes the ultimate ruin probability. Using different examples of reinsurance premium calculation and claim size distribution we show that this objective can be achieved, often with a substantial reduction in the ultimate ruin probability from the situation when there is no reinsurance. We also show that by purchasing reinsurance the insurer can release funds for other purposes without altering its ultimate ruin probability. Keywords: ruin probability; capital injections; lower barrier

Funds

Pricing and hedging of discrete dynamic guaranteed funds. Tse, Wai-Man; Chang, Eric C; Li, Leong Kwan; Mok, Henri M K. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38305 Journal of Risk and Insurance (2008) 75 (1) : 167-192. Abstract: We derive a risk-neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We propose a dynamic hedging strategy by adding a gamma factor to the conventional delta. Simulation results demonstrate that, when hedging discretely, the risk-neutral gamma-adjusted-delta strategy outperforms the dynamic delta hedging strategy by reducing the expected hedging error, lowering the hedging error variability, and improving the self-financing possibility. The discrete dynamic delta-only hedging not only causes potential overcharge to clients but also could be costly to the issuers. We show that a naive application of continuous-time hedging formula to a discrete-time hedging setting tends to worsen these possibilities.

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Futurestudies

Innovation [copies of slides only] Harbage, Robin A. - - Institute of Actuaries and Faculty of Actuaries, 2009. (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 73000

Fuzzylogic

Fuzzy Clustering Study on the Structure of Insurance Policies [abstract only] Kou, Y. - 2008. Shelved at: Online only [Faculty: Online only] 38537 Actuarial Research Clearing House (ARCH) (2008) 1 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss1.aspx Abstract: In this study, we propose using a fuzzy clustering method for analyzing and classifying insurance policies. By identifying and comparing the similarities and dissimilarities among the vast number of insurance policies, this method can provide additional insights on the characteristics of these policies. This in turns can have important implications on improving the pricing of the existence policies and also on the underwriting of future insurance policies. The advantages of our proposed approach are demonstrated by using a simulated example.

GAAP

International Diversity in Measuring the Fair Value of General Insurance Contracts. Klumpes, Paul J M; Reibel, Andres; White, Martin; Newman, Andrew; Charles, John; Cook, Paul; Shah, Shreyas; Malde, Shailesh; Grami, Sarwar; Simmons, David. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 General Insurance Convention, 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). - No. pages: 51. 73003 URL: http://www.actuaries.org.uk/research-and-resources/documents/international-diversity-measuring-fairvalue-general-insurance-cont Abstract: This paper discusses international diversity in accounting for insurance contracts as reported under SII and IFRS. Relative to SII, IFRS allow considerable diversity in practice and insurance firms to match income to expenses over the term of an insurance contract in order to provide a more realistic basis for reporting to shareholders. However those GAAPs do not employ a coherent and consistent view of how to measure the fair value of a life insurance firms business. The International Accounting Standards Board (IASB) has tentatively concluded that fair value should be used in accounting for insurance contracts. This paper discusses how existing GAAPs differ from fair values, simulates their impact on the profits emerging on a simple endowment policy, and proposes we also consider Solvency II as providing a broader conceptual fair value based framework within which additional risk-related disclosures can address currently unresolved conceptual and practical problems in implementing fair value for insurance contracts and related financial instruments.

Gender

Age and Gender Effects on Auto Liability Insurance Payouts. Doerpinghaus, Helen I; Schmit, Joan T; Jia-Hsing Ye, Jason. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38588 Journal of Risk and Insurance (2008) 75 (3) : 527-550. Abstract: We examine the relationship between claimant demographic characteristics (specifically, gender, age, and marital status) and the relative size of automobile third-party settlements. We present three possible theories to explain differences in payouts associated with gender and age:

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variations in risk attitudes, variations in negotiating costs, and discrimination. Results of empirical testing are consistent with differences in settlement amounts, particularly with respect to gender. These differences are examined and discussed along with suggestions for future research. Guidance on the publication of data associated with the use of gender in the assessment of insurance risks. London: - HM Treasury, 2008. - No. pages: 16. 72625 URL: http://webarchive.nationalarchives.gov.uk/+/http://www.hmtreasury.gov.uk/d/consult_insurance070308.pdf Abstract: Section 45(3)(a) of the 1975 Act (and Article 46(3) of the 1976 Order) permits discrimination in insurance between men and women in relation to premiums or benefits, under contracts entered into after 5 April 2008, subject to the conditions set out in the legislation. One condition is that the use of sex as a factor in the assessment of risk is based on relevant and accurate actuarial and statistical data; a second condition is that the data must be compiled, published (whether in full or summary form) and regularly updated in accordance with guidance issued by the Treasury. This guidance note constitutes the Treasury guidance on how data should be compiled, published and regularly updated. The Gender Directive : Age discrimination? : Free market pricing issues [copies of slides only] Williams, Nathan; Carpenter, Nigel. - - London: - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Pricing seminar 2008 Royal College of Physicians, London, 13 June 2008). 72809 More equal than others. Thomas, Guy. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 45112 The Actuary (2011) March : 30-31. URL: http://www.the-actuary.org.uk Abstract: Guy Thomas argues that some gender selection increases the societal benefits of insurance.

Generalinsurance

Plunkett's Insurance Industry Almanac 2008 : The only comprehensive guide to the insurance industry. Plunkett, Jack W. - - 4th ed. - Houston: - Plunkett research ltd, 2008. - No. pages: 456. Shelved at: BU (Oxf) 38117 Contents: Insurance Industry Glossary -- Major trends affecting the Insurance industry -- Insurance industry statistics -- Important insurance industry contacts -- The insurance 300: major for-profit firms Abstract: General source for researchers. The data and areas of interest covered are ranging from the insurance industry growth in China, to regulatory initiatives in the U.S., to emerging technology, to an in-depth look at the major for-profit firms (the Insurance 300) within the many industry sectors that make up the insurance system. Enterprise risk management from the general insurance actuarial perspective. Tripp, Michael H; Chan, C; Haria, Sejal; Hilary, Neil; Morgan, Kathryn A; Orros, George C; Perry, Geoff; Tahir-Thomson, Kartina. - Institute of Actuaries and Faculty of Actuaries, 2008. - No. pages: 93. Shelved at: ifp 04/08 (Oxf); UHG/AA/BX pam (Oxf) [Faculty: JOU/INS] 69341 URL: http://www.actuaries.org.uk/research-and-resources/documents/enterprise-risk-management-generalinsurance-actuarial-perspective Abstract: The authors have reviewed over 60 texts on the subject of Enterprise Risk Management (ERM). In this paper they set out a summary of ERM based on three of those sources, selected for their relevance and breadth of view. The paper observes that the approaches described vary widely in nature. A separate `on-line' source is provided which summarises key reading from the 60 texts. Combining findings from these texts with the authors' own experiences, the paper suggests some best practice checklists, designed to enable organisations to take stock of their current ERM

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framework. It discusses other aspects of ERM for practitioners, including extreme events, opportunity management and the link with corporate strategy. The paper looks at immediate and longer-term implications for actuaries in the United Kingdom, and then poses questions about future professional development and education. It suggests an emerging role for the `ERM Actuary', and finally it suggests future work to progress the development of ERM and the actuaries' role. The alchemy of risk. Bowser, Marcus; MacDonald, Jon. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38386 The Actuary (2008) July : 30-31. URL: http://www.the-actuary.org.uk Abstract: Article on how insurers can manage risk effectively and use it to generate profit The road to Solvency II. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38455 The Actuary (2008) August : 30-33. URL: http://www.the-actuary.org.uk Abstract: Article on the third roundtable event, which looked at ongoing issues surrounding the Solvency II directive and its impact on the insurance industry and beyond. Valuation of asset for the purpose of Insurance. Qaiser, R. Shelved at: Per: Bimaquest (Oxf) 38465 Bimaquest (2008) 8 (2) : 38-47. Abstract: Discussion of asset valuation methods in general and its application to general insurance industry in arriving at an adequate sum insured in the fire and engineering classes of business. General Insurance Pricing seminar 2008. Faculty of Actuaries; Institute of Actuaries. - 2008. Shelved at: online only 38471 Abstract: Practical pricing for commercial lines. An introduction - Martin Cross What do London Market Actuaries price? - Ana Mata and Wendy Russell The gender directive - age discrimination and free market pricing issues - Nathan Williams Demand modelling in personal lines - James Tanser Application of predictive modelling in commercial lines - Ryan Warren Estimating the predictive distribution for risk premiums using Bootstrapping - Derek Bain Principles of non-proportional reinsurance technical pricing - Tom Wright Conflicting objectives. Putting commercial lines pricing in context - David O'Connor ISO industry data - how it works in the US and what might be done in the UK - Beth Fitzgerald Predictive modelling for commercial insurance - James Guszcza Capital allocation in pricing - Martin Cairns Price optimisation - a European case study - Mark Airey and Francisco Gomez-Alvado Understanding the customer value chain - Michael Brockman Marine hull pricing - Tom Jowett Current issues in General Insurance 2008. Institute of Actuaries; Faculty of Actuaries. - 2008. Shelved at: online only 38472 Contents: ROC. Effectiveness of reserving methods working party - Steven Fisher -- Prospects for personal lines insurance - David Brown -- Solvency II - key messages - Tim Edwards -- Lloyd's Henry Johnson -- Capital setting at Lloyd's - Veekash Badal -- Current issue in the Irish insurance market - Paul Duffy -- Embedding ICA in the organisation. A risk manager's perspective - Mark White -- Responses to the soft market - Vincent Branch -- Lloyd's - Henry Johnson -- GRIP update Duncan Anderson -- Sub-prime and the credit crunch including lessons for non-life actuaries - Paul Fulcher -- Implications of sub-prime for non-life insurance - Graham Fulcher APRA's Expert Judgment Ratings and Solvency Cover of Australian General Insurers. Sharpe, Ian G; Stadnik, Andrei. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38591 Journal of Risk and Insurance (2008) 75 (3) : 593-616.

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Abstract: The Australian Prudential Regulation Authority's (APRA's) supervisors use expert judgment to rate the risk of failure of general insurers (GIs). Using statistical data, we model the determinants of GI ratings and solvency cover and find: (1) sufficient predictive power in statistical data to identify GIs for earlier review and assist in quality assurance of APRA's ratings and (2) that profitability, solvency cover, investment, and underwriting risk play different roles in rating foreign branch and Australian-incorporated GIs. We conclude that supervisors generally correctly incorporate our a priori expectations of the effects of risk indicators on GI risk into their ratings. UK Insurance - Key facts. Association of British Insurers. - - London: - Association of British Insurers, 2008. No. pages: 16. Shelved at: online only 38621 URL: http://www.abi.org.uk/BookShop/ResearchReports/Key%20facts%202008.pdf Abstract: Key facts about the UK insurance industry and its contribution both to the economy and society. Unless otherwise specified, figures relate to 2007. World insurance in 2007: emerging markets leading the way. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2008. Shelved at: online only 38631 Sigma (2008) 6 URL: http://www.swissre.com/pws/research%20publications/sigma%20ins.%20research/sigma_no_3_2008_rev.html Growing Challenge of Obesity in the Insurance Industry. Thiagarajah, Ranee. - 2008. Shelved at: Online only [Faculty: Online only] 38679 Actuarial Research Clearing House (ARCH) (2008) 2 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss2.aspx Abstract: This paper highlights the menace of overweight and obesity which are on the rise. Health care systems and insurance industries are directly affected. Liability claims are on waiting. The food related damage claims are costly. Insurers are therefore driven to find a solution: classify overweight and obesity as a group, adjust their premium to reflect the cost, and justify the classification and the adjustments. Key Words: Obesity Effects, Liability Claims, Insurance Cost A simple model of insurance market dynamics. Taylor, Greg C. - - Victoria: - University of Melbourne, 2008. (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 167). - No. pages: 33. Shelved at: BU/JH pam (Oxf) [Faculty: UNI/MEL] 69383 URL: http://www.economics.unimelb.edu.au/actwww/wps2008.shtml Abstract: The purpose of the paper is to construct and study a simple but realistic model of an insurance market. The model has a minimalist construction in the sense that the number of parameters defining it is strictly limited and the elimination of any one of them would destroy its realism. There are, in fact, 11 essential parameters. Each of the parameters has a physical interpretation. Some determine competitive effects within the market, some barriers to entry, and so on. The effect of each on various aspects of the market is examined in the presence of simulated loss experience. The aspects of the market considered include stability of premium rates, profitability, market concentration, and others. Some of the parameters are capable of use as regulatory controls. Two parameters, in addition to the original 11, are explicit price controls. Despite its simplicity, the model displays considerably complex behaviour. Some results are intuitive but some are not. For this reason, regulatory controls need to be applied with great caution lest they induce perverse effects, possibly even the reverse of those intended. The effect of the parameters on market behaviour is first studied in the absence of catastrophic events from the loss experience. Subsequently, the effect of a single such event is studied. Insurers in hot water? Lowe, Julian. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38756 The Actuary (2008) December : 10. URL: http://www.the-actuary.org.uk

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Abstract: Insurers need to grasp the nettle of increasing flood risk. Supply chain business interruption: creating an insurance product. Schramm, Martin. Shelved at: Per: IRP 38769 Insurance Research and Practice (2008) 6 : i-viii. URL: http://www.cii.co.uk/knowledge/journal/ Abstract: This paper is based on research which helped a global insurer understand the implications when offering a supply chain business interruption (SCBI) insurance product to a FTSE-listed energy corporation. The paper deals with supply chain risks to corporate customers and to what extent those risks can be insured. The conclusion is that supply chain risks are insurable. Market risk, interest rate risk, and interdependencies in insurer stock returns : a system-GARCH model. Carson, James M; Elyasiani, Elyas; Mansur, Iqbal. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38773 Journal of Risk and Insurance (2008) 75 (4) : 873-891. Abstract: We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident and health (A&H) insurers, followed by life (Life) and property and casualty (P&C) insurers; interest rate sensitivity is negative and greatest for Life insurers; and interdependencies in returns are significant with the magnitude being strongest between P&C and A&H insurers. The implication is that greatest diversification benefits arise between Life and the other segments of the insurance industry. Market risk and interest rate risk for diversified firms are smaller than those for nondiversified firms for both product and geographic diversification. The market structure - performance relationship in the international insurance sector. Pope, Nat; Ma, Yu-Luen. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38776 Journal of Risk and Insurance (2008) 75 (4) : 947-966. Abstract: This article tests the applicability of the structureconductperformance (SCP) hypothesis in the international nonlife insurance marketplace. We employ a panel data regression methodology that includes 23 nations (developed and developing countries) over the time period of 1996 to 2003. The results reveal that the interaction of market liberalization and market concentration shares a complex relationship with market profitability. Our results show that the expectations associated with the SCP hypothesis are supported when the levels of liberalization are low. However, for markets that are highly liberalized the presence of foreign insurers significantly alters the dynamics of nonlife insurance markets. General Insurance Convention 2008 : 35th Annual GIRO convention papers, Hilton Sorrento Palace, Italy. General Insurance Study Group. - 2008. - No. pages: 419. Shelved at: gic (Oxf); gic (Lon) [Faculty: 368 INS] 38844 Contents: Defence against the dark arts : a practical handbook for reserving actuaries / Lis Gibson -Demand modelling working party / James Tanser, John Light, Sophia Mealy, Owen Morris -- Flood risks working party -- Integrating pricing and capital modelling working party -- A mixing severity model incorporating three sources of data for operational risk quantification / Jim Gustafsson -Reserving: making allowance for changes in terms & conditions and other coverage issues -Securitisation of Non-life insurance working party -- The implications of the underwriting and reserving cycles for reserving Understanding the essence of non-life insurance business. Rao, G V. Shelved at: Per: Bimaquest (Oxf) 38887 Bimaquest (2009) 9 (1) : 27-33. World Insurance Report 2009. Capgemini; Efma. - - Capgemini, 2009. Shelved at: BU/50 (Oxf) 38895

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Abstract: Now in its third year, the World Insurance Report 2009 from Capgemini and Efma focuses on the theme of multi-distribution. Building on the findings from the 2008 report that insurers can increase market access and share of wallet through multi-distribution, this years report investigates the capabilities being developed and strategies that leading insurers are adopting to achieve success in multi-distribution. Based on research covering 59 interviews with senior executives from leading global insures and over 2,250 distributors surveys, the World Insurance Report 2009 draws data covering 17 countries: Austria, Australia, Belgium, Denmark, France, Germany, India, Italy, Japan, the Netherlands, Norway, Poland, Portugal, Spain, Switzerland, the United Kingdom, and the United States. The report assesses insurance companies multi-distribution maturity, investigates key multidistribution challenges, highlights leading practice, and proposes approaches to overcome these challenges. The World Insurance Report 2009 will bring further insight and thought leadership to one of the most important strategic issues facing insurance sector today.

The effects of tort reform on medical malpractice insurers' ultimate losses. Born, Patricia; Viscusi, W Kip; Tom Baker. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38946 Journal of Risk and Insurance (2009) 76 (1) : 197-219. Abstract: Whereas the literature evaluating the effect of tort reforms has focused on the impact of reforms on insurers' reported incurred losses, this article examines the ultimate effects of reforms using the developed losses from a comprehensive sample of insurers writing medical malpractice insurance from 1984 to 2003. Noneconomic damages caps are particularly influential in reducing medical malpractice losses and increasing insurer profitability. The long-run effects of these reforms are greater than insurers' expected effects; for example, 5- and 7-year developed loss ratios are below the initially reported incurred loss ratios for those years following the enactment of noneconomic damages caps. Analyses of reported losses consequently understate the ultimate effects of tort reforms. The quantile regressions show that reforms have the greatest effects for the firms that are at the high end of the loss distribution. Industry report : 2008/09 customer impact survey. Association of British Insurers. - - Association of British Insurers, 2009. - No. pages: 31. 38950 URL: http://www.customerimpact.org/media/12171/200809%20customer%20impact%20survey%20industry%20report%20final.pdf Abstract: Customer Impact was launched in March 2006. The Schemes objective is to improve outcomes for customers of the UKs life, pensions and investment industry. A key component is an annual survey of customer views of the industry. This report outlines the results of the third full survey conducted under the Scheme. The report investigates the way insurance firms have invested during the economic slowdown. The 2008-09 Customer Impact Survey Industry Report reveals that companies are "performing well" in many areas. In particular, life insurance, pensions and investment companies are achieving excellent customer service standards, despite the pressure of the recession, with progress also being made on sales and post-sales. A brief history of insurance. Fulcher, Graham. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38964 The Actuary (2009) March : 30-31. URL: http://www.the-actuary.org.uk Abstract: Graham Fulcher explores the evolution of risk sharing in non-life insurance over the past 4000 years. Brave new world. Hagen, Anne. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38991 The Actuary (2009) April : 24-25. URL: http://www.the-actuary.org.uk Abstract: Anne Hagen believes that Solvency II will mean new opportunities for actuaries working within the insurance industry.

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Recursions for convolutions and compound distributions with insurance applications. Sundt, Bjorn; Vernic, Raluca. - - Heidelberg: - Springer-Verlag, 2009. - (EAA Lecture Notes). - No. pages: 345. Shelved at: UG (Oxf) 39006 Abstract: Since 1980, methods for recursive evaluation of aggregate claims distributions have received extensive attention in the actuarial literature. This book gives a unified survey of the theory and is intended to be self-contained to a large extent. As the methodology is applicable also outside the actuarial field, it is presented in a general setting, but actuarial applications are used for motivation. The book is divided into two parts. Part I is devoted to univariate distributions, whereas in Part II, the methodology is extended to multivariate settings. Primarily intended as a monograph, this book can also be used as text for courses on the graduate level. Suggested outlines for such courses are given. The book is of interest for actuaries and statisticians working within the insurance and finance industry, as well as for people in other fields like operations research and reliability theory. Underwriting in a soft market : Open forum, High Holburn, 8 January 2009. - Institute of Actuaries and Faculty of Actuaries, 2009. 39019 Contents: Underwriting in a soft market - an underwriter's perspective / Keith Purvis -- Underwriting in a soft market: An actuary's perspective / Phil Ellis Dynamic financial analysis in the insurance industry. Shiu, Yung-Ming. Shelved at: Per: Geneva (Oxf) 39028 Geneva Papers on Risk and Insurance (2009) 34 (2) : 175-196. Abstract: Although dynamic financial analysis (DFA) has gradually gained attention over the recent years, knowledge is scant about the practices in the insurance industry. The objective of this paper is to provide insights into the practices. The investigation is conducted via a field study in five U.K. insurance companies. An example is given to illustrate how DFA works in general. The results highlight key matters that actuaries emphasise when carrying out dynamic financial analysis. This paper sets out important implications that insurance regulators and the actuarial profession can take into account as they refine their supervisory and regulatory regime. Maintaining stakeholder trust in difficult times: some fundamental reflections in light of the credit crisis. Schanz, Kai-Uwe. Shelved at: Per: Geneva (Oxf) 39032 Geneva Papers on Risk and Insurance (2009) 34 (2) : 260-270. Abstract: Against the backdrop of the credit crisis, the paper looks into the crucial role of trust and reputation in the insurance industry. We also offer some specific recommendations for management to consider in order to preserve these indispensable intangible assets in times of evaporating confidence, freezing credit markets and contracting economies. Admittedly, compared with banks, insurers are less vulnerable to a life-threatening, sudden withdrawal of trust as policyholders pay premiums upfront and, generally, exercise no direct influence on the level of claims. However, from a longer-term perspective, maintaining trust in the industry in general and in their respective company in particular can be viewed as the most fundamental objective an insurer's management has to meet. The relevance of portfolio management action for solvency measurement. Konig, Alexander; Brohm, Axel. Shelved at: Per: Geneva (Oxf) 39039 Geneva Papers on Risk and Insurance (2008) 33 (3) : 440-463. Abstract: Solvency II aims at capturing the true risk landscape of an insurer with immediate consequences for the regulatory capital required. One key element of every risk management approach is the so-called reversibility option available to the insurer's management that involves the change of a decision taken in the past in order to adapt to a modified risk landscape. This paper analyses the effects of simple strategies formulated by the insurer's management in an ex ante setting and carried out during the solvency assessment period on the Value at Risk (VaR) of a twostock portfolio. We show that the effect of even simple strategies is non-negligible for the portfolio's VaR and hence for the required capital when using an internal model under Solvency II. The issue discussed affects both Pillars I and II of Solvency II and will therefore be one focal point of discussion between insurers and regulators when reviewing internal models.

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Why insurers fail : the dynamics of property and casualty insurance insolvency in Canada. Leadbetter, Darrell; Dibra, Suela. Shelved at: Per: Geneva (Oxf) 39040 Geneva Papers on Risk and Insurance (2008) 33 (3) : 464-488. Abstract: We analyze the involuntary exit of 35 property and casualty insurance companies from the Canadian insurance market over the 19602005 period, and consistent with other jurisdictions, find evidence that inadequate pricing and deficient loss reserves are the leading cause of insurer insolvency. Overall, we find that the operating environment generally provides the catalyst for insolvency, either through turbulent financial markets or reduced profitability in the industry, but most causes of involuntary exit can however be linked back to three sources within an institution: the quality and experience of governance/management, internal operational processes and risk appetite. Further, other than inadequate pricing, our results, when compared with the few studies in various jurisdictions, indicate there are few universal causes of involuntary exit across jurisdictions, and hence supervisory approaches to insurer insolvency should be flexible and adaptable to the environment. The Chinese insurance market : estimating its long-term growth and size. Zheng, Wei; Liu, Yongdong; Dickinson, Gerry. Shelved at: Per: Geneva (Oxf) 39041 Geneva Papers on Risk and Insurance (2008) 33 (3) : 489-506. Abstract: The mid-term and long-term growth potential of China's insurance industry is a subject of significant interest to governments, business and academia. In this paper, the "world insurance growth curve" is used in conjunction with estimates of China's future GDP growth to estimate the growth and size of China's insurance industry for the period 20062020. There are clearly other factors social, political, cultural, demographic and market structure that also have an impact, but other empirical studies have shown that the key factor in the long term is growth and development of the overall economy. Assuming that China's GDP grows over that period at a rate of 69 percent per year, we conclude that the possible range of China's insurance industry growth rate would be 7.7 17.9 percent, with a more likely range of 9.814.8 percent. In the median scenario, the average annual real growth rate for China's insurance industry during the period 20062020 would be 12.3 percent. Thus, by the year 2020, the size of China's insurance market would be 5.7 times of that of 2005, and the overall insurance penetration would be 5.6 percent, with 4 percent for life insurance and 1.6 percent for non-life insurance. The growth rate of China's insurance industry during the period 20062020 would be almost double the world average and by 2020, China's share of the world insurance market would be about 4.0 percent. Global climate change in the wider context of sustainability. Stahel, Walter R. Shelved at: Per: Geneva (Oxf) 39042 Geneva Papers on Risk and Insurance (2008) 33 (3) : 507-529. Abstract: Over the last few years, the political discussion on global change has become focused on the Intergovernmental Panel on Climate Change (IPCC) reports and anthropogenic CO2 emissions, as well as on scientific data of climate change, and on new rules and regulation. This paper puts CO2 emissions into the wider context of sustainability. This broadens the view and changes the focus to issues of global ethics and the necessity for industrial countries to drastically reduce their resource consumption. Insurance companies can influence global climate change (GCC) directly through their investment and underwriting strategies, but also in daily operations. An overview and examples are given in the paper. The biggest impact insurance might have is in helping to speed up the adaptation to GCC, for instance by making available its pool of knowledge in prevention measures through risk engineering services. By promoting a stricter application of the concept of "insurability of risks", politicians could exploit the link between insurance, technological innovation and sustainable development to develop numerous opportunities within the market economy. A rapid adaptation to the challenges of GCC will give industrialised countries a competitiveness pull, or enable less developed countries to leapfrog industrialised countries. But the key to a new vision of the future may be the development of a holistic view of nature, man and climate, and science and technology as a source of innovative ideas and solutions. The emergence of cross-border insurance groups within Europe with centralised risk management. Schoenmaker, Dirk; Oosterloo, Sander; Winkels, Otto. -

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Shelved at: Per: Geneva (Oxf) 39043 Geneva Papers on Risk and Insurance (2008) 33 (3) : 530-546. Abstract: This paper analyses the degree of internationalisation of insurance business. Using a novel data set of 25 large EU insurance groups, we find that the insurance industry has a strong international orientation. About 55 percent of the business of these large insurance groups is conducted abroad. The cross-border activities are predominantly within Europe (3035 percent) and less so in the rest of the world (2025 percent). Next, this paper examines the impact of internationalisation on the organisational structure. We find a clear trend towards centralising risk and capital management activities within large insurance groups, though insurance remains at the same time a local business. Applying the hub and spoke model, we identify which functions are executed at the centre (hub) and which functions are performed at the level of the local business units (spokes). Case against age restrictions : Letters to the editor. Thomas, Guy. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39095 The Actuary (2009) May : 6. URL: http://www.the-actuary.org.uk Abstract: Letter referring to the ABI claim regarding age discrimination in insurance. General Insurance: R you ready? Chalk, Alan; Giannitrapan, Marco; Stables, Debbie. Shelved at: online only [Faculty: online only] 69727 The Actuary (2008) December URL: http://www.the-actuary.org.uk Abstract: Alan Chalk, Marco Giannitrapan and Debbie Stables look at a potential solution for general insurance pricing using the R software Insurance: Out with the old... Shah, Shreyas. Shelved at: online only [Faculty: online only] 69738 The Actuary (2008) September URL: http://www.the-actuary.org.uk Abstract: Shreyas Shah discusses the IFRS Phase II proposals and suggests that the way general insurance liabilities are measured will change significantly On the possibility of profitable self-selection contracts in competitive insurance markets. Snow, Arthur. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39155 Journal of Risk and Insurance (2009) 76 (2) : 249-259. Abstract: Several studies extend the RothschildStiglitz model of competitive insurance contracting with adverse selection by incorporating additional dimensions of private information and conclude that some insurers may earn positive profit in a separating, self-selection equilibrium, provided each insurer is restricted to making a single contract offer. The main result of this article is that these profitable configurations are not sustainable when individual insurers can offer multiple contracts. It is also shown that the ability to offer multiple contracts overturns equilibria that have applicants from different risk classes pooled as well as those where profits are dissipated by a fixed entry cost. Time deductibles as screening devices : competitive markets. Spreeuw, Jaap; Karlsson, Martin. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39156 Journal of Risk and Insurance (2009) 76 (2) : 261-278. Abstract: Seminal papers on asymmetric information in competitive insurance markets, analyzing the monetary deductible as a screening device, show that any existing equilibrium is of a separating type. High risks buy complete insurance, whereas low risks buy partial insuranceand this result holds for the Nash behavior as well as for the Wilson foresight. In this article, we analyze the strength of screening based on limitations to the period of coverage of the contract. We show that in this case (1) the Nash equilibrium may entail low risks not purchasing any insurance at all, and (2) under the Wilson foresight, a pooling equilibrium may exist.

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Insurance markets with differential information. Seog, S Hun. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39157 Journal of Risk and Insurance (2009) 76 (2) : 279-294. Abstract: This article attempts to understand the outcomes when each party of an insurance contract simultaneously has superior information. I assume that policyholders have superior information about specific risks while insurers have superior information about general risks. I find that low-general-risk policyholders purchase insurance, while high-general-risk policyholders are self-insured. Among the low-general-risk policyholders, high-specific-risk policyholders purchase full insurance, while lowspecific-risk policyholders purchase partial insurance. When insurers can strategically publicize their information, efficiency is improved because high-general-risk policyholders purchase actuarially fair insurance. The market segmentation is also found based on the general-risk type and the publicizing of information. Adverse selection and the opaqueness of insurers. Zhang, Tao; Cox, Larry A; van Ness, Robert A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39158 Journal of Risk and Insurance (2009) 76 (2) : 295-321. Abstract: While adverse selection problems between insureds and insurers are well known to insurance researchers, few explore adverse selection in the insurance industry from a capital markets perspective. This study examines adverse selection in the quoted prices of insurers' common stocks with a particular focus on the opacity of both asset portfolios and underwriting liabilities. We find that more opaque underwriting lines result in greater adverse selection costs for property-casualty (P-C) insurers. A similar effect is not apparent for life-health (L-H) insurers and we find no effect of asset opaqueness on adverse selection for either L-H or P-C insurers. On the role of patience in an insurance market with asymmetric information. Sonnenholzner, Michael; Wambach, Achim. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39159 Journal of Risk and Insurance (2009) 76 (2) : 323-341. Abstract: We analyze a two-period competitive insurance market that is characterized by the simultaneous presence of moral hazard and adverse selection with regard to consumer time preferences. It is shown that there exists an equilibrium in which patient consumers use high effort and buy an insurance contract with high coverage, whereas impatient consumers use low effort and buy a contract with low coverage or even remain uninsured. This finding may help to explain why the opposite of adverse selection with regard to risk types can sometimes be observed empirically. Multidimensional credibility with time effects : an application to commercial business lines. Englund, Martin; Gustafsson, Jim; Nielsen, Jens Perch; Thuring, Fredrik. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39164 Journal of Risk and Insurance (2009) 76 (2) : 443-453. Abstract: This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently. A costly affair, but nevertheless, the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience rating improves this sophisticated pricing method as much as it originally improved pricing compared with a trivial flat rate. Hence, it is very important to take advantage of available customer experience. We verify that recent developments in multivariate credibility theory improve the prediction significantly, and we contribute to this theory with new robust estimation methods for time (in-)dependency. How can the insurance industry promote climate change adaptation? : A case study from the UK. Surminski, Swenja. Shelved at: online only 39225 ThinkPiece (2009) 18 (May) URL: http://www.cii.co.uk/downloaddata/TP18_Surminski_Adaptation_20May2009.pdf Abstract: An overview of the insurance industrys recent work promoting adaptation in the face of a new range of climate-related risks.

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Emerging markets. North, Michael; Thurston, Colin. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39249 The Actuary (2009) July : 28-29. URL: http://www.the-actuary.org.uk Abstract: Article describing how the Saudi Arabian insurance market is evolving. Solvency II - the journey ahead. Ruparelia, Ash; Care, Richard. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39251 The Actuary (2009) July : 32-34. URL: http://www.the-actuary.org.uk Abstract: Article looking at the steps insurance companies need to take to be ready for Solvency II. Actuarial applications of a hierarchical insurance claim model. Frees, Edward W; Shi, Peng Shi; Valdez, Emiliano A. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 39281 ASTIN Bulletin (2009) 39 (1) : 165-197. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: This paper demonstrates actuarial applications of modern statistical methods that are applied to detailed, micro-level automobile insurance records. We consider 1993-2001 data consisting of policy and claims files from a major Singaporean insurance company. A hierarchical statistical model, developed in prior work (Frees and Valdez (2008)), is fit using the micro-level data. This model allows us to study the accident frequency, loss type and severity jointly and to incorporate individual characteristics such as age, gender and driving history that explain heterogeneity among policyholders. Based on this hierarchical model, one can analyze the risk profile of either a single policy (microlevel) or a portfolio of business (macro-level). This paper investigates three types of actuarial applications. First, we demonstrate the calculation of the predictive mean of losses for individual risk rating. This allows the actuary to differentiate prices based on policyholder characteristics. The nonlinear effects of coverage modifications such as deductibles, policy limits and coinsurance are quantified. Moreover, our flexible structure allows us to 'unbundle' contracts and price more primitive elements of the contract, such as coverage type. The second application concerns the predictive distribution of a portfolio of business. We demonstrate the calculation of various risk measures, including value at risk and conditional tail expectation, that are useful in determining economic capital for insurance companies. Third, we examine the effects of several reinsurance treaties. Specifically, we show the predictive loss distributions for both the insurer and reinsurer under quota share and excess-of-loss reinsurance agreements. In addition, we present an example of portfolio reinsurance, in which the combined effect of reinsurance agreements on the risk characteristics of ceding and reinsuring company are described. Empirical evidence for advantageous selection in the commercial fire insurance market. Wang, Kili C; Huang, Rachel J; Tzeng, Larry Y. Shelved at: Per: Geneva (Oxf) 39291 Geneva Risk and Insurance Review (2009) 34(1) : 1-19. Abstract: De Meza and Webb (2001) indicated that individuals with a higher degree of risk aversion would demand more insurance and invest in self-protection to reduce risk probability when both the preference type and investment in self-protection are hidden from insurers. They referred to the negative correlation between market insurance and risk type as advantageous selection. However, the relationship between risk type and the degree of risk aversion is debatable in both theoretical and empirical research. This paper therefore proposes that advantageous selection could be supported from another angle by directly examining the relationships that exist among market insurance, selfprotection, and risk probability. By focusing on the commercial fire insurance market, information on the purchase of market insurance, investment in self-protection, and fire accident records is handcollected by means of a unique survey. It is found that firms purchasing market insurance have a greater tendency to channel efforts into self-protection. It is also found that firms expending effort on self-protection are less likely to suffer a fire accident. Furthermore, it is found that firms with commercial fire insurance have less chance of suffering a fire accident than those without such insurance. Each of the above three findings jointly supports the view that advantageous selection could play a critical role in the commercial fire insurance market.

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Bargaining power and efficiency in insurance contracts. Quiggin, John; Chambers, Robert G. Shelved at: Per: Geneva (Oxf) 39293 Geneva Risk and Insurance Review (2009) 34 (1) : 47-73. Abstract: Insurance contracts are frequently modelled as principalagent relationships. The purpose of this paper is to examine the interaction between differential bargaining power and the efficiency of insurance contracts. The analysis is undertaken in a framework of state-contingent production, which allows us to consider, as separate choices, the level of effort committed by the client and the riskiness of the equilibrium state-contingent production vector. Our central result is that, in the presence of hold-up problems, the exercise of monopoly power by insurers leads clients to undertake socially costly self-protection, leading to suboptimal levels of insurance. Clients can exploit information asymmetries to offset the bargaining power of the insurer, but this process is also socially costly. Hence, competitive markets for insurance will yield a Pareto-superior outcome to the constrained Pareto-optimum reached in markets where insurers have monopoly power. More generally, in a bargaining situation, an increase in the bargaining power of clients will increase social welfare. The role of repetition and observability in deterring insurance fraud. Krawczyk, Michal. Shelved at: Per: Geneva (Oxf) 39294 Geneva Risk and Insurance Review (2009) 34 (1) : 74-87. Abstract: In this paper, I analyze an inspection game between an insurer and an infinite sequence of policyholders, who can try to misrepresent relevant information in order to obtain coverage or lower insurance premium. Because claim-auditing is costly for the insurer, ex-post moral hazard problem arises. I find that the repeated game effect serves as a commitment device, allowing the insurer to deter fraud completely (for sufficiently high discount rate) but only when the policyholders observe past auditing strategies. Under weaker observability conditions, only partial efficiency gains are generally possible. I conclude that the insurers should spend resources on signaling their anti-fraud attempts to the potential policyholders. Similar conclusions can be drawn with respect to conceptually similar problems, such as tax evasion. A global review of insurance industry responses to climate change. Mills, Evan. Shelved at: Per: Geneva (Oxf) 39296 Geneva Papers on Risk and Insurance (2009) 34 (3) : 323-359. Abstract: A vanguard of insurers is adapting its business model to the realities of climate change. In many ways, insurers are still catching up both to mainstream science and to their customers, which, in response to climate change and energy volatility, are increasingly changing the way they construct buildings, transport people and goods, design products and produce energy. Customers, as well as regulators and shareholders, are eager to see insurers provide more products and services that respond to the "greening" of the global economy, expand their efforts to improve disaster resilience and otherwise be proactive about the climate change threat. Insurers are increasingly recognising the issue as one of "enterprise risk management" (ERM), one cutting across the domains of underwriting, asset management and corporate governance. Their responses are becoming correspondingly sophisticated. Based on a review of more than 300 source documents, plus a direct survey of insurance companies, we have identified 643 specific activities from 244 insurance entities from 29 countries, representing a 50 per cent year-over-year increase in activity. These entities collectively represent $1.2 trillion in annual premiums and $13 trillion in assets, while employing 2.2 million people. In addition to activities on the part of 189 insurers, eight reinsurers, 20 intermediaries and 27 insurance organisations, we identified 34 non-insurance entities that have collaborated in these efforts. Challenges and opportunities include bringing promising products and services to scale, continuing to identify and fill market and coverage gaps and identifying and confirming the veracity of green improvements. There is also need for convergence between sustainability and disaster resilience, greater engagement by insurers in adaptation to unavoidable climate changes and to clarify the role that regulators will play in moving the market. It has not yet been demonstrated how some insurance lines might respond to climate change and a number of market segments have not yet been served with a single green insurance product or service. As insurer activities obtain more prominence, they also will be subject to more scrutiny and expectations that they are not simply greenwashing.

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Adaption to climate change : Threats and opportunities for the insurance industry. Herweijer, Celine; Ranger, Nicola; Ward, Robert E T. Shelved at: Per: Geneva (Oxf) 39297 Geneva Papers on Risk and Insurance (2009) 34 (3) : 360-380. Abstract: In this paper we explore why adaptation to climate change is such a critical issue to the commercial success of the private insurance industry. We highlight both the risks arising from inadequate adaptation to the impacts of climate change, and the opportunities presented by playing a role in the global response to adaptation. We demonstrate that the success, or not, of adaptation to the impacts of climate change will be relevant to both the underwriting and investment operations of (re)insurance companies. In the short term, climate change will affect underwriting practices by necessitating risk quantification approaches that include a forward-looking view of risk that is not purely grounded in historical experience. In the longer term, insufficient adaptation in areas of rising risk could threaten the concept of insurability itself, by limiting the availability and affordability of private insurance coverage. Furthermore, we demonstrate that activities that incentivise and enable adaptation not only give rise to commercial opportunities and reputational reward, but are increasingly necessary for the sustainability of the industry. Insurance, developing countries and climate change. Linnerooth-Bayer, Joanne; Warner, Koko; Bals, Christoph; Hoppe, Peter; Burton, Ian; Loster, Thomas; Haas, Armin. Shelved at: Per: Geneva (Oxf) 39298 Geneva Papers on Risk and Insurance (2009) 34 (3) : 381-400. Abstract: By providing financial security against droughts, floods, tropical cyclones and other forms of weather extremes, insurance instruments present an opportunity for developing countries in their concurrent efforts to reduce poverty and adapt to climate change. By pricing risk, insurance provides incentives for reducing risks and adapting to climate change; if these premiums are not affordable to the most vulnerable, donors can combine premium support with risk-reduction measures. In this paper, we examine the costs, benefits and risks of public-private (and donor supported) insurance programmes that offer affordable economic security to vulnerable communities and governments. Insurance mechanisms are of particular interest to climate negotiators seeking strategies that help vulnerable countries adapt to increasing severity and frequency of weather disasters, and we examine the case for including insurance mechanisms in a climate adaptation strategy expected to be agreed in Copenhagen in 2009. We present a proposal for this purpose that has been recently put forward by the Munich Climate Insurance Initiative (MCII), which calls for international solidarity for very low probability and high consequence weather-related events (high-risk layer). For middlelayer risks the MCII proposal calls for international support to promote sustainable, affordable and incentive-compatible insurance programmes that serve the poor without crowding out private sector involvement. Weather index insurance and climate change : Opportunities and challenges in lower income countries. Collier, Benjamin; Skees, Jerry; Barnett, Barry. Shelved at: Per: Geneva (Oxf) 39299 Geneva Papers on Risk and Insurance (2009) 34 (3) : 401-424. Abstract: Weather index insurance underwrites a weather risk, typically highly correlated with agricultural production losses, as a proxy for economic loss and is gaining popularity in lower income countries. This instrument, although subject to basis risk and high start-up costs, should reduce costs over traditional agricultural insurance. Multilateral institutions have suggested that weather index insurance could enhance the ability of stakeholders in lower income countries to adapt to climate change. While weather index insurance could have several benefits in this context (e.g. providing a safety net to vulnerable households and price signals regarding the weather risk), climate change impacts increase the price of insurance due to increasing weather risk. Uncertainty about the extent of regional impacts compounds pricing difficulties. Policy recommendations for insurance market development include funding risk assessments, start-up costs and the extreme layer of risk. General premium subsidies are cautioned against as they may actually slow household adaptation. Measuring non-catastrophic weather risks for businesses. Pres, Juliusz. Shelved at: Per: Geneva (Oxf) 39300 Geneva Papers on Risk and Insurance (2009) 34 (3) : 425-439. Abstract: While many published articles touch on the problem of using weather derivatives as tools

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for non-catastrophic weather-risk management, few studies have looked at the problem of appropriate risk measurement. This paper aims to present and evaluate all available methods used to identify and estimate the impact of non-catastrophic weather upon commercial enterprises. Correctly defining these parameters fundamentally affects building weather cover. Analysis of already existing methods of weather-risk measurement for businesses, as presented in the literature, has shown a few disadvantages. This paper proposes an improved approach to weather risk measurement one based on an extended econometric model. We have empirically tested all the methods proposed herein and present our conclusions. WTO and the Chinese insurance industry. Leverty, J Tyler; Lin, Yijia; Zhou, Hao. Shelved at: Per: Geneva (Oxf) 39301 Geneva Papers on Risk and Insurance (2009) 34 (3) : 440-465. Abstract: This paper provides new information on the impact of the entry of foreign firms on a financial services industry by examining the Chinese insurance industry surrounding China's accession to the World Trade Organization (WTO). Our analysis reveals that insurers experienced significant growth in total factor productivity over the sample period. We also observe a structural improvement in efficiency after WTO accession, but geographic and product market restrictions placed on foreign firms reduce these positive effects. Overall, the results are consistent with there being a significant increase in social welfare during our sample period, but they also lend support for further deregulation. Impact of packing on marine insurance. Iyer, Gayatri. Shelved at: Per: Bimaquest (Oxf) 39308 Bimaquest (2009) 9 (2) : 21-32. Abstract: Packing and packaging find mention in exclusion no 4.3 of the Institute Cargo Clauses. The Group of London Underwriters have revised these clauses with effect from 1/1/2009. The wordings of exclusion no 4.3 have undergone some changes. It is pertinent to note that the spirit of the exclusion, that is 'The insured is responsible for ensuring that the cargo is adequately and suitably packed' remains the same. This only reflects the importance of Packing vis a vis Marine Cargo. Through this article, and attempt has been made to analyse the subtle changes in Excl 4.3 effected through ICC 1/1/2009 and examine the aspect of suitable and sufficient Packing vis a vis Marine Cargo Insurance. Recycling denials management into revenue cycle in general insurance business - a missed requirement. Pathak, Girijesh. Shelved at: Per: Bimaquest (Oxf) 39309 Bimaquest (2009) 9 (2) : 33-37. Abstract: Denial of claims has impact on business from retail insurance products. It may help in meeting the bottom line but, if not managed effectively, can also make meeting the top line very difficult. And effective denial management requires data capture and analysis at different stages of Insurance cycle. These processes have been automated or are being automated in Insurance companies. To strengthen the analytics, Business Intelligence (BI) solutions are being preferred. In most of the projects related to such technology implementation, the focus somehow gets restricted to the common processes and the problems faced in that. However, some systematic effort in determining the possibility-based requirement has great potential for return. Denial management is one of such requirement, which is commonly overlooked during technology implementation. This article discusses about that and also tries to list some most important key performance indicators (KPI) related to denial management. This can provide a useful start in requirement determination in any Business Intelligence implementation project in Insurance company. Nonlife actuarial models : Theory, methods and evaluation. Tse, Yiu-Kuen. - - Cambridge: - Cambridge University Press, 2009. - (International Series on Actuarial Science). - No. pages: 524. Shelved at: BX/UGJ/TK (Oxf) [Faculty: 368.01 TSE] 39313 URL: http://www.openathens.net/ Contents: Claim-frequency distribution -- Claim-severity distribution -- Aggregate-loss models -- Risk measures -- Ruin theory -- Classical credibility -- Buhlmann credibility -- Bayesian approach -Empirical implementation of credibility -- Model estimation and types of data -- Nonparametric model estimation -- Parametric model estimation -- Model evaluation and selection -- Basic Monte Carlo

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methods -- Applications of Monte Carlo methods -- Review of statistical tools Abstract: Gives complete syllabus coverage for Exam C of the Society of Actuaries (SOA), while emphasizing the concepts and practical application of nonlife actuarial models. Topics include: modeling of losses, risk and ruin theory, credibility theory and applications, and empirical implementation of loss models. Also covers more recent topics such as risk measures and bootstrapping. Horses for courses. Sher, Martin; Schneider, Mark. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39326 The Actuary (2009) August : 28-29. URL: http://www.the-actuary.org.uk Abstract: Article discussing the range of IT solutions being adopted by insurers as they face new financial modelling challenges. Pakistan uncovered. Jamal, Ahsan. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39328 The Actuary (2009) August : 33. URL: http://www.the-actuary.org.uk Abstract: In the first of an occasional series looking at overseas markets, Ahsan Jamal provides an overview of the general insurance sector in Pakistan. The handbook of insurance-linked securities. Barrieu, Pauline; Albertini, Luca. - - John Wiley & Sons Ltd, 2009. - No. pages: 372. [Faculty: 332.632 22 HAN] 69801 Contents: Introduction 2. Non-life securitisation: market overview, background and evolution 3. Cedants' perspectives on non-life securitisation 4. Choice of triggers 5. Basis risk from the cedant's perspective 6. Rating methodology 7. Risk modelling and the role and benefits of cat indices 8. Legal issues 9. The investor perspective (non-life) 10. ILS portfolio monitoring systems 11. The evolution and future of reinsurance sidecars 12. Case study: a cat bond transation by SCOR (Atlas) 13. Case study: Swiss Re's new natural catastrophe protection program (Vega) 14. General features of life insurance-linked securitisation 15. Cedant's perspectives on life securitisation 16. Rating methodology 17. Life securitisation: risk modelling 18. Life insurance securitisation: legal issues 19. The investor perspective (Life) 20. Longevity securitisation: specific challenges and transactions 21. Longevity risk transfer: indices and capital market solutions 22. Case study: a cat mortality bond by AXA (OSIRIS) 23. Case study: some embedded value and XXX securitisations 24. The UK taxation treatment of insurance-linked securities 25. The US federal income taxation treatment of insurance-linked securities 26. Regulatory issues and solvency capital requirements Risky Business: Insurance and Society. Haste, Andy. - - London: - Chartered Insurance Institute. CII, 2009. No. pages: 4. Shelved at: online only [Faculty: online only] 39353 URL: http://www.cii.co.uk/downloaddata/TP23_HasteRSA_Managing_Risk_18Aug2009.pdf Abstract: This article, the first of a series of four on risk and insurance, explores the basic elements of risk management, the value it can add to peoples freedom and choices and the future challenges

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that insurers face in taking on and assessing levels of risk. Insurance provides an important and often forgotten social value to consumers and businesses. Its benefits range from providing security in the face of potentially catastrophic losses at home or abroad to providing freedom from liability allowing firms to explore new and dynamic fields. While the basic principle of providing peace of mind has stayed the same for over 300 years, the processes for doing this have become increasingly sophisticated. New techniques such as accurate flood mapping and telematics technology have resulted in more competitive propositions in both commercial and personal lines. Insurance has also had the effect of influencing behaviour, such as incentivising safer or more climate-friendly consumers or more sustainable business practices. Looking ahead, insurers and government will need to develop mutual working and understanding. In the area of climate change, underwriters must contend with the need to develop realistic risk modelling for related scenarios despite not being aware of their full impact or likelihood. Meanwhile, policymakers must consider the unintended consequences that otherwise well-intentioned legislation could hold for insurers. Modeling and management of nonlinear dependenciescopulas in dynamic financial analysis. Eling, Martin; Toplek, Denis. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71010 Journal of Risk and Insurance (2009) 76 (3) : 651-681. Abstract: We study the influence of nonlinear dependencies on a non-life insurer's risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis framework and conduct numerical tests. We also test risk management strategies in response to adverse outcomes. Nonlinear dependencies have a crucial influence on the insurer's risk profile that can hardly be affected by the analyzed management strategies. We find large differences in risk assessment for the ruin probability and for the expected policyholder deficit. This has important implications for insurers, regulators, and rating agencies that use these measures as a foundation for internal risk models, capital standards, and ratings. Nonlinear cointegration relationships between non-life insurance premiums and financial markets. Jawadi, Fredj; Bruneau, Catherine; Sghaier, Nadia. - - No. pages: 30. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71014 Journal of Risk and Insurance (2009) 76 (3) : 753-783. Abstract: The aim of this article is to study the adjustment dynamics of the non-life insurance premium (NLIP) and test its dependence to the financial markets in five countries (Canada, France, Japan, the United Kingdom, and the United States). First, we justify the linkage between the insurance and the financial markets by the underwriting cycle theory and financial models of insurance pricing. Second, we examine the relationship between the NLIP, the interest rate, and the stock price using the recent developments of nonlinear econometrics. We use threshold cointegration models: the switching transition error correction models (STECM). We show that STECM perform better than a linear error correction model (LECM) to reproduce the NLIP dynamics. Our empirical results show that the adjustment of the NLIP in France, Japan, and the United States is rather discontinuous, asymmetrical, and nonlinear. Moreover, we suggest a strong evidence of significant linkages between insurance and financial markets, show two regimes for the NLIP, and find that the NLIP adjustment toward equilibrium is time varying with a convergence speed that varies according to the insurance disequilibrium size. Piracy : An ancient risk with modern faces: An insurers perspective from Allianz Global Corporate & Specialty. Allianz Global Corporate & Specialty AG. - - Munich: - Allianz Global Corporate & Specialty AG, 2009. - No. pages: 20. Shelved at: Online only [Faculty: Online only] 71662 URL: http://www.agcs.allianz.com/en/media/company_updates/update_article/news19.html?hits=piracy Abstract: Allianz Global Corporate & Specialty (AGCS) suggests that special war insurance policies should be used to meet the needs of ships in high risk areas. AGCS also identifies a number of practical responses that crews can take when passing through piracy zones, and the study also points out that whilst piracy may be on the rise off Somalia and other parts of Africa, it is declining in other areas, but still poses a real threat to shipping and trade. Currently many vessels are insured for piracy as part of their standard hull and machinery insurance policies, which are not specifically designed to address security-related risks such as piracy. This means that some ship-owners are paying for piracy coverage when they do not need it because they are not sailing through piracy zones. So-called war insurance provides special cover for ships

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exposed to piracy risks on a per transit basis, meaning that it can be specifically underwritten to handle various exposures besides damage to the vessel and therefore can be priced more flexibly. GI: A brief history of GI supervision. Kalia, Ravi. - - Staple Inn Actuarial Society, Shelved at: Online only [Faculty: Online only] 71753 The Actuary (2009) December URL: http://www.the-actuary.org.uk/871264 Abstract: Ravi Kalia considers how the UK regulatory environment for general insurance has developed over time An Empirical assessment of reinsurance risk. van Lelyveld, Iman; Liedorp, Franka; Kampman, Manuel. - Amsterdam: - De Nederlandsche Bank, 2009. - (DNB Working Paper No. 201 February 2009). - No. pages: 31. 71936 URL: http://www.dnb.nl/en/binaries/Working%20paper%20201_tcm47-212957.pdf Abstract: We analyse the effect of failing reinsurance cover on the stability of Dutch insurers. As insurers often reinsure themselves with other (re)insurers, losses could spread contagiously through the sector. Using a unique and confidential data set on reinsurance exposures, we perform a scenario analysis to measure contagion risks. Based on current exposures, we find no evidence of systemic risk in the Netherlands, even if multiple reinsurance companies fail simultaneously. Next, we analyse to what extent the financial position of individual primary insurers is affected following a particular shock, considering solvency, capital and profit levels. The life insurance industry is hardly affected by reinsurance failures. The non-life industry, however, is vulnerable to a crisis in the European reinsurance market. We also find that members of smaller insurance groups are particularly exposed. Keywords : reinsurance, contagion, simulation The global state of sustainable insurance: Understanding and integrating environmental, social and governance factors in insurance. United Nations Environment Programme Finance Initiative Insurance Working Group. - Geneva: - United Nations Environment Programme, 2009. - No. pages: 112. 72010 URL: http://www.unepfi.org/fileadmin/documents/global-state-of-sustainable-insurance.pdf Abstract: This report is based on the pioneering global survey conducted in 2009 by the UNEP FI Insurance Working Group and its Academic Working Group on the understanding and integration of environmental, social and governance (ESG) factors in insurance underwriting and product development. The comprehensive survey covered a wide spectrum of ESG factors, primarily: - Environmental - climate change, biodiversity loss & ecosystem degradation, water management, pollution - Social - financial inclusion, human rights, emerging manmade health risks, ageing populations - Governance - regulations, disclosure, ethics & principles, alignment of interests The survey generated nearly 2,700 pages of data from 60 territories worldwide and from respondents with over 3,800 years of cumulative insurance experience. This report represents the analysis of broad themes that emerged from survey results. A Growth Theory for the Insurance Industry. Nektarios, Milton. - - No. pages: 8. [Faculty: RIS/MAN] 72288 Risk Management and Insurance Review (2010) 13 (1) : 45-60. Abstract: Insurance economics models of statics and comparative statics assume that the process of economic adjustment must inevitably lead to equilibrium. The question of attainability of equilibrium has not been addressed so far. This is the domain of dynamic analysis. In this article, we develop a model of economic growth for the insurance industry. The production function of the insurance industry is based on the assumption that the output, "incurred losses," is a function of "invested assets" and "other labor and nonlabor inputs." The latter grow at the rate n, a proxy of the growth rate of insurance expenses. The assetsinputs ratio, r, characterizes the steady-state growth path that the insurance industry eventually attains. The adjustment process takes place through the assetslosses ratio, v, which is affected by the insurance leverage, the loss ratio, and the insurance exposure of the insurance industry. An insurance industry that has reached a steady state will have

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its output growing at the rate n +p, where p is the growth rate of average productivity. The incremental reserve ratio, s, determines definitely a steady-state growth path for the insurance industry. An increase or decrease in s may move the insurance industry to a higher or lower growth path. We suggest that this analysis provides a stronger theoretical context for analyzing dynamic phenomena in the insurance industry. Computational intelligence techniques for general insurance. Parodi, Pietro. - 2009. - (Specialist Applications Dissertation). - No. pages: 161. Shelved at: BX/EEQ (Oxf) [Faculty: 519.287 PAR] 39457 URL: http://www.actuaries.org.uk/research-and-resources/documents/computational-intelligence-techniquesgeneral-insurance Contents: SA0 Research dissertation Abstract: This paper is an attempt to answer the question "What is the proper framework for understanding risk?" in the context of general insurance. It argues that although actuaries and other risk professionals tend to deal with risk in the context of classical statistics and by resorting to subjective judgment to compensate the inadequacies of this framework, understanding risk is actually an 'ecological' problem and it is more fruitful to look at risk in the context of computational intelligence. Closing the gap. Bale, Stephen. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39470 The Actuary (2010) April : 39-41. URL: http://www.the-actuary.org.uk Abstract: Stephen Bale looks at consumers' attitude to insurance products with reference to the Retail Distribution Review and suggests some approaches to closing the protection gap. Non-life insurance pricing with generalized linear models. Ohlsson, Esbjrn; Johansson, Bjrn. - - Berlin: Springer, 2010. - (EAA Lecture Notes). - No. pages: 174. Shelved at: BX/UNB (Oxf) [Faculty: 368.011 OHL] 39487 Abstract: Setting the price of a non-life insurance policy involves the statistical analysis of insurance data, taking into consideration various properties of the insured object and the policy holder. Introduced by British actuaries, generalized linear models (GLMs) have by now become a standard approach used for pricing in many countries. The book focuses on methods based on GLMs that have been found useful in actuarial practice. Basic theory of GLMs in an insurance setting is presented, with useful extensions that are not in common use. The book can be used in actuarial education designed to meet the European Core Syllabus and is written for actuarial students as well as practicing actuaries. To support the readers, it contains case studies using real data of some complexity. Getting into gear. Beamond-Pepler, Eleanor. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39578 The Actuary (2010) June : 41. URL: http://www.the-actuary.org.uk Abstract: Eleanor Beamond-Pepler looks at what the fifth Solvency II Quantitative Impact Study (QIS5) means for the insurance industry. Taxing times for Solvency II. Fannin, Trevor; Rendell, Andrew. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39579 The Actuary (2010) June : 42-43. URL: http://www.the-actuary.org.uk Abstract: Article that takes a look at the impact of taxation on insurance companies under Solvency II. Insurance market effects of risk management metrics. Bernard, Carole; Tian, Weidong. Shelved at: Per: Geneva (Oxf) 39619

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Geneva Risk and Insurance Review (2010) 35 (1) : 47-80. Abstract: We extend the classical analysis on optimal insurance design to the case when the insurer implements regulatory requirements (Value-at-Risk). Presumably, regulators impose some risk management requirement such as VaR to reduce the insurers insolvency risk, as well as to improve the insurance market stability. We show that VaR requirements may better protect the insured and improve economic efficiency, but have stringent negative effects on the insurance market. Our analysis reveals that the insured are better protected in the event of greater loss irrespective of the optimal design from either the insured or the insurer perspective. However, in the presence of the VaR requirement on the insurer, the insurer's insolvency risk might be increased and there are moral hazard issues in the insurance market because the optimal contract is discontinuous. Current topics : General insurance. Edler, Clare; Lakhani, Tanvi. - - Edinburgh: - Faculty of Actuaries Students' Society, 2008. - No. pages: 46. 72657 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2008-fass-generalinsurance Contents: UK floods 07C and 07E -- Sub prime lending and the credit crunch -- Personal injury update -- Asbestos update -- Reserving through the softening market - how can actuaries do better? -- Reserving uncertainty -- Capital and Solvency II -- Part VII transfers Abstract: This paper aims to provide the reader with an overview of the current issues and trends seen in recent times in the general insurance industry. We start by giving an overview of the UK insurance market and how it has evolved since 1996. The remainder is split into four main themes: Market developments, Claims, Modelling techniques, Regulation Testing for adverse selection in insurance markets. Cohen, Alma; Siegelman, Peter. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39634 Journal of Risk and Insurance (2010) 77 (1) : 39-84. Abstract: This article reviews and evaluates the empirical literature on adverse selection in insurance markets. We focus on empirical work that seeks to test the basic coveragerisk prediction of adverse selection theorythat is, that policyholders who purchase more insurance coverage tend to be riskier. The analysis of this body of work, we argue, indicates that whether such a correlation exists varies across insurance markets and pools of insurance policies. We discuss various reasons why a coveragerisk correlation may not be found in some pools of insurance policies. The presence of a coveragerisk correlation can be explained either by moral hazard or adverse selection, and we discuss methods for distinguishing between them. Finally, we review the evidence on learning by policyholders and insurers. A simple model of insurance market dynamics [copies of slides only] Taylor, Greg. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72760 Micro-level stochastic loss. Antonio, Katrien; Plat, Richard. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39675 The Actuary (2010) August : 26-27. URL: http://www.the-actuary.org.uk Abstract: Katrien Antonio and Richard Plat introduce a stochastic reserving methodology for general insurance based on the projection of individual claims processes. Effect of the Credit Crunch on non-life insurance [copies of slides only] Ellis, Phil; Fulcher, Graham. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72948 Insurance theory and practice. Thoyts, Rob. - - Routledge, 2010. - No. pages: 384. Shelved at: BU (Oxf) 39694

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Contents: Introduction -- 1. Insurance as a Risk Transfer Mechanism -- 2. Fundamental Legal Principles of Insurance -- 3. The Insurance Contract -- 4. Financial and Accounting Principles -- 5. The Structure and Regulation of the UK Insurance Market -- 6. Lloyd's of London -- 7. Reinsurance -8. Insurance Intermediaries -- 9. Claims Handling -- 10. Life Assurance -- 11. Pensions -- 12. Policyholder and Third Party Protection -- 13. Alternative Insurance Systems -- 14. The Role of Insurance in Risk Management Abstract: This book provides a comprehensive overview of the theory, functioning, management and legal background of the insurance industry. Written in accessible, non-technical style, Insurance Theory and Practice begins with an examination of the insurance concept, its guiding principles and legal rules before moving on to an analysis of the market, its players and their roles and relationships. The book covers the underlying ideas behind insurance transactions, together with the legal and financial principles that permit these concepts to function in the real world. General Insurance Convention 2009 : Actuarial models : Getting the balance right : 36th Annual GIRO convention papers, Edinburgh International Conference Centre. General Insurance Study Group. - 2009. No. pages: 419. Shelved at: gic (Oxf) 39722 Contents: What is a 1-in-200? -- UK tax legislation for general insurance technical provisions -International diversity in measuring the fair value of general insurance contracts -- Schemes of arrangement and business transfers -- Winner's curse (main report & appendices) A platform for risk management. Khosla, Reetu. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39734 The Actuary (2010) September : 25. URL: http://www.the-actuary.org.uk Abstract: Reetu Khosla takes a look at the impact of a business process management solution on risk mitigation within the insurance market. Little by little. Brown, Tracey; Morgan, Lisa. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39782 The Actuary (2010) October : 36-37. URL: http://www.the-actuary.org.uk Abstract: Tracey Brown talks to Lisa Morgan about the emergence of microinsurance and its benefits for developing countries Lessons learned from the financial crisis for risk management: contrasting developments in insurance and banking. Lehmann, Axel P; Hofmann, Daniel M. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39862 Geneva Papers on Risk and Insurance (2010) 35 (1) : 63-78. Abstract: The article analyses implications for risk management in insurance arising from the current financial crisis. After a brief comparison of the insurance to the banking world, we discuss the root causes of the current financial crisis with a particular focus on risk management and incentives. Against the backdrop of this discussion, lessons are derived from an insurance risk management point of view. In particular, the article pleads for a pronounced external and forward-looking approach to supplement the traditional methodology, which tends to be more inward-looking and ultimately backward-oriented. Successful business strategies for insurers entering and growing in emerging markets. Berry-Stlzle, Thomas R; Hoyt, Robert E; Wende, Sabine. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39865 Geneva Papers on Risk and Insurance (2010) 35 (1) : 110-129. Abstract: Entering new markets and growing in existing ones is an area of major interest within the insurance industry across the globe. Insurance market growth rates in emerging markets are far in excess of those available in most developed countries. While these growth rates have attracted new and existing firms to these markets, corporate managers face a number of important strategic

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decisions as they consider establishing or expanding operations in emerging markets. This study evaluates the impact of several strategies on insurer performance in emerging markets. The main findings suggest that overall, successful business strategies for insurers entering or growing in emerging markets involve a high growth rate, increased size and more emphasis on life insurance. When performance is adjusted for risk, lower financial leverage and mutual organisational form are associated with better performance. However, differences in successful business strategies arise across countries when we control for country-level economic and market characteristics. An analysis of organisational, market and socio-cultural factors affecting the supply of insurance and other financial services by microfinance institutions in developing economies. Kwon, W Jean. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39866 Geneva Papers on Risk and Insurance (2010) 35 (1) : 130-160. Abstract: This article first investigates the microfinance - principally microinsurance - market at the global level and the business structure of over 600 microfinance institutions (MFIs) in 83 countries that were in operation during 1998-2007. It then empirically examines the impact of organisational, market and socio-cultural factors on the supply of insurance, lending and savings services by MFIs in developing countries. Findings from a series of probit analyses indicate that a rise in the financial expense ratio, loan repayments in arrears, years of operation, number of borrowers, woman borrower ratio, life insurance penetration ratio and family size positively affect MFIs' willingness to expand their operations, certainly to microinsurance business. In contrast, they are likely to stay away from the insurance market when their loan asset ratio, bad loan write-off ratio or average loan size in comparison to GNI per capita is on the rise. It seems MFIs focus on lending service in Muslim populous countries. Finally, we find no evidence that presence of insurance affects availability of savings service, and vice versa, in the microfinance market. The cost efficiency of Takaful insurance companies. Kader, Hale Abdul; Adams, Mike; Hardwick, Philip. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39867 Geneva Papers on Risk and Insurance (2010) 35 (1) : 161-181. Abstract: This study examines the cost efficiancy of non-life Takaful insurance firms operating in 10 Islamic countries. Non-parametric data envelopment analysis is used to compute cost efficiency scores and a second-stage logit transformation regression model is then estimated to test the influence of corporate characteristics on these efficiencies. We find that non-executive directors and separating the Chief Executive Officer and Chairman functions do not improve cost efficiency. However, board size, firm size and product specialisation have positive effects of the cost efficiency of Takaful insurers. In contrast, the regulatory environment is found not to be statistically significant in terms of improving cost efficiency. We conclude that our results could have important commercial and policy implications. An empirical analysis of non-life insurance consumption stationarity. Lee, Chien-Chiang; Hsu, Yi-Chung; Lee, Chi-Chuan. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39888 Geneva Papers on Risk and Insurance (2010) 35 (2) : 266-289. Abstract: This paper explores whether the stationarity hypothesis of non-life insurance consumptions is supported during the period 1979-20005 for 31 countries. The stationarity of insurance consumption has important implications for modelling and forecasting insurance activities. On a global scale, this paper first implements the recent panel seemingly unrelated regressions augmented Dickey-Fuller root test, which allows us to account for possible cross-country effects and to identify how many and which countries of the panel contain a unit root. The main conclusion is that whether non-life insurance consumptions are stationary or not will be affected by different regions and their levels of development. Overall, our empirical results illustrate that non-life insurance consumptions in these countries are a mixture of stationary (integrated of order zero) and nonstationary (integrated of order one) processes. Higher risk aversion, lower income level and lower level of insurance market development may lead to non-stationarity. Finally, for the estimated halflives of Africa, the degrees of mean reversion are greater than those for Europe and America.

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A Malmquist index for the Greek insurance industry. Nektarios, Milton; Barros, Carlos Pestana. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39890 Geneva Papers on Risk and Insurance (2010) 35 (2) : 309-324. Abstract: The objective of this paper is to estimate the effects of deregulation after the implementation of the Third Insurance Directive in the Greek insurance market. Efficiency and productivity measures are estimated by means of data envelopment analysis, applied to a sample of almost all Greek insurance companies, for the product 1994-2003. The companies are separated into three groups: life, non-life and mixed insurance companies, and a Malmquist index is estimated for each group. The Malmquist index is decomposed into technical efficiency change (pure technical and scale efficiency) and technological change. It is found that the life sector experienced an average annual productivity growth of 16.1 per cent, the non-life sector had a rate of 6.5 per cent and the group of mixed insurance companies had the lowest productivity of 3.3 per cent. Sustainable business, sustainable planet - a Japanese insurance perspective. Sato, Masatoshi; Seki, Masao. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39891 Geneva Papers on Risk and Insurance (2010) 35 (2) : 325-335. Abstract: Climate change is a major issue of unprecedented proportions that will have far-reaching impacts on society and the economy, as the ohenomenon will trigger an increase in flooding, drought and other natural disasters. For the insurance industry, climate change poses a great risk to management because an increase in natural disasters will lead to an increase in insurance payments. Taking their advantage as insurers, insurance companies should contribute toward the realisation of a low-carbon society and a climate-resilient society through their core business by means of mitigation and adaptation strategies. To achieve this goal, education is paramount, as it is the foundation of all our endeavours. For a business to grow in a sustainable manner, it is vital that the society itself develops in a sustainable manner. All organisations and individuals must embody the spirit of sustainable development in their own activities. The need for a multi-level approach to climate change - an Australian insurance perspective. Wilkins, Michael. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39892 Geneva Papers on Risk and Insurance (2010) 35 (2) : 336-348. Abstract: Insurance is all about risk management and risk mitigation. A significant component of this risk equation is an ability to manage the variability of weather events. Climate modelling has shown that it only takes small changes in the mean climate to generate large changes in extreme weather. This has profound implications for the insurance industry, because a less-predictable climate impacts the industry's capacity to accurately calculate and price products. The insurance industry's response to climate change will determine the shape of the industry for decades to come. However, insurance companies acting alone, or even collectively, will have only limited impact in achieving success over the long term. This paper outlines a multi-level approach required by the insurance industry to make a real and lasting difference, including engaging governments; assisting and educating communities to be more aware and resilient; incentivising customers through advocacy, product innovation and appropriate product offerings; and leading by example and providing employees with the education and tools to facilitate action both at work and at home. Hidden overconfidence and advantageous selection. Huang, Rachel J; Liu, Yu-Jane; Tzeng, Larry Y. Shelved at: Per: Geneva (Oxf) 39924 Geneva Risk and Insurance Review (2010) 35 (2) : 93-107. Abstract: Theories of adverse selection and moral hazard predict the occurrence of the risk and the coverage of the insurance should be positively correlated, whereas empirical researches find little support of it. This paper provides a theoretical model of hidden overconfidence and demonstrates that a competitive insurance market may settle on separating equilibrium with advantageous selection predicting a negative relationship between risk and coverage. By assuming heterogeneity in risk perception and hidden action on self-protection, we find that, in equilibrium, the rational type of individual takes precautions to reduce the loss probability, whereas the overconfident type of individual will not make any effort. In the separating equilibrium, the insurer provides a product with high coverage to attract rational type of individual (low risk), and a product with low coverage for

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overconfident type of individual (high risk). In addition, other types of equilibrium such as adverse selection or linear premium rate are also found. Extreme value analysis for partitioned insurance losses. Henry, John B; Hsieh, Ping-Hung. Shelved at: Per: Variance 39959 Variance (2009) 3 (2) : 214-238. URL: http://www.variancejournal.org/issues Abstract: The heavy-tailed nature of insurance claims requires that special attention be put into the analysis of the tail behavior of a loss distribution. It has been demonstrated that the distribution of large claims of several lines of insurance have Pareto-type tails. As a result, estimating the tail index, which is a measure of the heavy-tailedness of a distribution, has received a great deal of attention. Although numerous tail index estimators have been proposed in the literature, many of them require detailed knowledge of individual losses and are thus inappropriate for insurance data in partitioned form. In this study we bridge this gap by developing a tail index estimator suitable for partitioned loss data. This estimator is robust in the sense that no particular global density is assumed for the loss distribution. Instead we focus only on fitting the model in the tail of the distribution where it is believed that the Pareto-type form holds. Strengths and weaknesses of the proposed estimator are explored through simulation and an application of the estimator to real world partitioned insurance data is given. The impact of corporate governance on the efficiency performance of the Thai non-life insurance industry. Hsu, Wen-Yen; Petchsakulwong, Pongpitch. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39969 Geneva Papers on Risk and Insurance (2010) 35 (Suppl. 1) : S28-S49. Contents: Special issue on insurance in Asia. Abstract: This paper examines the relation between corporate governance and efficiency performance of public non-life insurance companies in Thailand over the period 20002007. Data envelopment analysis is used to compute an insurer's efficiency performance including technical, allocative, cost, and revenue efficiency. We then employ truncated bootstrapped regression to test the relation between efficiency performance and corporate governance. The results show that the characteristics of corporate governance influence the efficiency performance of non-life insurers. In particular, board independence, diligence, and firm size have a positive impact on the efficiency performance of the Thai non-life insurance companies. However, audit committee size, diligence, divergence between voting rights and cash flow rights, board tenure, board age, as well as board ownership have a negative impact on the efficiency performance. Finally, our empirical evidence also indicates that there is an unclear relation between an insurer's efficiency performance and the board size, the proportion of financial expertise on an audit committee, and the board compensation. Liberalisation and market concentration impact on performance of the non-life insurance industry: the evidence from Eastern Europe. Njegomir, Vladimir; Stojic, Dragan. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39982 Geneva Papers on Risk and Insurance (2011) 36 (1) : 94-106. Abstract: The aim of this paper is to examine market structure, conduct and performance relationship (S-C-P) hypothesis for the non-life insurance industry in Eastern European countries. Additionally, we examine the effect of liberalisation on market structure and performance. We use the countryspecific fixed effects models for panel data for the period 20042008 allowing each cross-sectional unit to have a different intercept term serving as an unobserved random variable that is potentially correlated with the observed regressors. Three models are presented, each placing market structure, liberalisation and profitability in a distinct environment defined by related control variables. The research results support the S-C-P hypothesis in all of the observed models, showing evidence of strong influence of market structure and liberalisation on market profitability. These results could be useful in decision-making for both governments and insurance companies. Bayesian multivariate Poisson models for insurance ratemaking. Bermudez, Lluis; Karlis, Dimitris. Shelved at: Per: IME (Oxf) 40017 Insurance: Mathematics & Economics (2011) 48 (2) : 226-236. Abstract: When actuaries face the problem of pricing an insurance contract that contains different

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types of coverage, such as a motor insurance or a homeowners insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different multivariate Poisson regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to date, mainly because of their computational difficulties. Bayesian inference based on MCMC helps to resolve this problem (and also allows us to derive, for several quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claim. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models together with their zero-inflated versions. Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums. Sendov, Hristo S; Wang, Ying; Zitikis, Ricardas. Shelved at: Per: IME (Oxf) 40020 Insurance: Mathematics & Economics (2011) 48 (2) : 257-264. Abstract: The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to be. This property, usually called the loading monotonicity, is satisfied by premiums that appear in the literature. The increased interest in constructing new insurance premiums has raised a question as to what weight functions would produce loading-monotonic premiums. In this paper, we demonstrate a decisive role of log-supermodularity or, equivalently, of total positivity of order 2 (TP2) in answering this question. As a consequence, we establishat a strokethe loading monotonicity of a number of well-known insurance premiums, and offer a host of further weight functions, and consequently of premiums, thus illustrating the power of the herein suggested methodology for constructing loading-monotonic insurance premiums. Analytical pricing of the unit-linked endowment with guarantees and periodic premiums. Hurlimann, Werner. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 40036 ASTIN Bulletin (2010) 40 (2) : 631-653. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: We consider the unit-linked endowment with guarantee and periodic premiums, where at each premium payment date the insurance company invests a certain fraction of the premium into a risky reference portfolio. In the dual random environment of stochastic interest rates with deterministic volatilities and mortality risk, and for a fixed guarantee, simple analytical lower and upper bounds for the fair periodic premium are explicitly derived. We also consider contracts with guaranteed minimum benefits that vary over time and we obtain tight lower and upper bounds for both fair periodic premiums and guaranteed minimum benefits that increase over time. The numerical illustrations of our results reveal that the analytical bounds are very tight. Moreover, the simple, fast and very reliable analytical numerical calculations with controlled accuracy avoid time consuming Monte Carlo calculations and are almost always preferred by practitioners. Some analytical closed-form solutions for one- and two-year maturity dates are also stated. High standards. Becker, Greg. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 40068 The Actuary (2011) January : 28-29. URL: http://www.the-actuary.org.uk Abstract: Greg Becker discusses the success of the South Africal Zimele insurance standard, and asks whether there is potential for other markets to adopt similar schemes. Ripple effect. Dodson, Antony; Rensburg, Hannes van. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 40069 The Actuary (2011) January : 20-22. URL: http://www.the-actuary.org.uk Abstract: Antony Dodson and Hannes van Rensburg look at the spillover effect of environmental disasters on the energy insurance market.

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Running it off. Czapiewski, Colin. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 40081 The Actuary (2011) February : 26-27. URL: http://www.the-actuary.org.uk Abstract: Colin Czapiewski believes Solvency II will have a significant impact on run-off insurers, affecting their capital requirements far more than insurers that continue to write new business. ERM for Emerging Risks in General Insurance. Orros, George C. - 2010. - (GIRO Conference and Exhibition 2010). - No. pages: 43. 40092 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a3-george-orros-paper.pdf Abstract: This paper is focussed on ERM for emerging risks in general insurance in our world of unknown unknowns and the emergence of unexpected risks over time. It illustrates how Chief Risk Officers can focus, with an ERM framework on risk and opportunity management, balancing risks against opportunities, whilst being resilient against unknown unknowns and their emergence over time as known unknowns and known knowns. The findings were based on real case studies and review the lessons learned and the early warning indicators that could (and perhaps should) have been used in order to detect the emerging risks in a timely manner and influenced the CRO function to have taken appropriate remedial action. Meaningful intervals [copies of slides only] Zehnwirth, Ben. - - Institute of Actuaries and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45001 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a05-ben-zehnwirth.pdf The actuarys role in the ORSA [copies of slides only] Gosrani, Visesh; Shah, Niraj; Badal, Veekash; Smerald, Chris. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45002 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a06-dean-swallow.pdf Lloyds update [copies of slides only] Johnson, Henry; Kirk, Jerome. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact rising to the challenge). 45003 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a07-henry-johnson.pdf One year volatility and risk margins - the regulatory view [copies of slides only] Orr, James; Hawes, Wendy. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45004 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a08-james-orr-wendy-hawes.pdf Piracy [copies of slides only] Farr, Darren; Colomb, Yves. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45005 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-a11-darren-farr.pdf Opening the black box: how actuarial algorithms work and why they sometimes fail [copies of slides only] Tanser, James; Bland, Richard. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45006 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b1-james-tanser-richard-bland.pdf Being at the sharp end of an ARROW visit [copies of slides only] Sheaf, Simon; Sperrin, Jonathan. - - Institute

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and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45007 URL: http://www.actuaries.org.uk/research-and-resources/documents/b02-being-sharp-end-arrow-visit Equitas Part VII business transfer [copies of slides only] Ruffini, Emiliano; Kaufman, Allan. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45008 URL: http://www.actuaries.org.uk/research-and-resources/documents/b03-equitas-part-vii-business-transfer Dealing with sparse data - practical challenges and techniques [copies of slides only] Chhabra, Ajay; Parodi, Pietro. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45009 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b04-ajay-chhabra-pietro-parodi.pdf Price optimisation 2.0 [copies of slides only] Jones, Stephen; Korner, Michael. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45010 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b05-stephen-jones-michael-korner.pdf Defining the scope of your internal model [copies of slides only] Cairns, Martin. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45011 URL: http://www.actuaries.org.uk/research-and-resources/documents/b06-defining-scope-your-internal-modelexample-model UK motor insurance cycle (using regulatory returns, 1980 onwards). Understanding the cause of market price changes [copies of slides only] Figg, Paul. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45012 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b07-paul-figg.pdf Pricing risk excess reinsurance [copies of slides only] McLoughlin, Fiachra; Jones, Tony. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45013 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b8-fiachra-mcloughlin-tony-jones.pdf The fall and rise of the standard formula [copies of slides only] Tse, Vivian; Paul, David. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45014 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b9-david-paul.pdf How big is too big; a review of the application of the new tax rules for GI reserves [copies of slides only] Gibson, Lis; White, Martin. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45015 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b10-lis-gibson-martin-white.pdf Update from the UK asbestos working party [copies of slides only] Brooks, Robert; Michaels, Darren; Whiting, Andy; Robertson-Dunn, Stephen. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45016

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URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-b11-robert-brooks-darren-michaels.pdf Abstract: Robert Brooks; Darren Michaels; Andy Whiting; Stephen Robertson-Dunn Crop microinsurance - tackling poverty - one insurance policy at a time [copies of slides only] Mookerjee, Agrotosh; Clarke, Daniel. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45017 Abstract: Agrotosh Mookerjee; Daniel Clarke Price change monitoring in the Lloyds market [copies of slides only] Gesmann, Markus; Conlon, Patrick. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45018 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-c2-markus-gesmann-patrickconlon.pdf Data in the context of Solvency II: an example [copies of slides only] Brossart, Fabrice; Lynch, Martin. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45019 URL: http://www.actuaries.org.uk/research-and-resources/documents/c03-data-context-solvency-ii-example-0 Third party motor claims [copies of slides only] Brown, David; Murphy, Karl; Black, Simon; Mitchell, Grant; Edwards, Jonathan. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45020 URL: http://www.actuaries.org.uk/research-and-resources/documents/c04-third-party-motor-claims Regularisation: an efficient and simple method for rating factor selection [copies of slides only] Parodi, Pietro. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45021 URL: http://www.actuaries.org.uk/research-and-resources/documents/c06-regularisation-efficient-and-simplemethod-rating-factor-select Limits to growth [copies of slides only] Bettis, Oliver. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45022 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-c7-oliver-bettis.pdf Solvency II balance sheets in simulation-based capital models [copies of slides only] England, Peter; McGuinness, Andrew. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45023 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-c08-peter-england.pdf The modelling of reinsurance credit risk [copies of slides only] Shaw, Richard. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45024 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-c09-richard-shaw.pdf Challenges for GI actuaries [copies of slides only] Solvency II IMAP Working Party; Strudwick, Melinda; Menezes, Dave. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge).

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45025 URL: http://www.actuaries.org.uk/research-and-resources/documents/c10-challenges-gi-actuaries-slides QIS5 current issues [copies of slides only] Simmons, David; Theaker, David. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45026 URL: http://www.actuaries.org.uk/research-and-resources/documents/c12-qis5-current-issues Solvency II and technical provisions dealing with the risk margin [copies of slides only] Felisky, Kendra; AkohArrey, Ayuk; Cabrera, Elizabeth. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45028 URL: http://www.actuaries.org.uk/research-and-resources/documents/d02-solvency-ii-and-technical-provisionsdealing-risk-margin-slides A link between the one year and ultimate perspective on insurance risk [copies of slides only] White, Stuart; Margetts, Simon. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45029 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-d03-stuart-white-simon-margetts.pdf Strategic asset allocation and Solvency II [copies of slides only] Andr, Axel. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45030 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-d04-axel-andre.pdf Personal lines pricing, current issues and opportunities for 2011 [copies of slides only] Chapman, Neil; Berry, John. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45031 URL: http://www.actuaries.org.uk/research-and-resources/documents/d05-personal-lines-pricing-currentissues-and-opportunities-2011-sl Statistical quality standards? Correlations? Help! [copies of slides only] Cairns, Martin; Chinyemba, Simba. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45032 URL: http://www.actuaries.org.uk/research-and-resources/documents/d06-statistical-quality-standardscorrelations-help-slides Reality of the use test [copies of slides only] Hewett, Paul; Loyens, Steven. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45033 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-d07-paul-hewitt-steven-loyens.pdf Abstract: Paul Hewett; Steven Loyens Current issues in Ireland [copies of slides only] Duffy, Paul; Murphy, Karl. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45034 URL: http://www.actuaries.org.uk/research-and-resources/documents/d08-current-issues-ireland-slides Stress testing in a time of models [copies of slides only] Sondhelm, Peter; Clark, Steven; Orr, James. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention,

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Celtic Manor, Newport Actuarial impact - rising to the challenge). 45035 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-d9-steven-clark-peter-sondhelmjames-orr.pdf Measuring the value added by technical pricing techniques in commercial lines of business [copies of slides only] Jowett, Tom; Broughton, Jonathan. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45036 URL: http://www.actuaries.org.uk/research-and-resources/documents/d10-measuring-value-added-technicalpricing-techniques-commercial-l Proactive data-driven counter fraud: Mining for digital gold [copies of slides only] Barton, Catherine. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45037 URL: http://www.actuaries.org.uk/research-and-resources/documents/d11-proactive-data-driven-counter-fraudmining-digital-gold-slides Enhanced GLMs and vehicle grouping [copies of slides only] Anderson, Duncan; Abdel-Gadir, Sami. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45038 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-e02-duncan-anderson.pdf Offshore energy insurance - where have we been, where are we now and where are we going? [copies of slides only] Dodson, Antony; van Rensburg, Hannes. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45039 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-e03-antony-dodson.pdf PPOs - be afraid, be very afraid [copies of slides only] Williams, Nathan; Claughton, Anthony; Murphy, Karl. - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45040 URL: http://www.actuaries.org.uk/research-and-resources/documents/e04-ppos-be-afraid-be-very-afraid-slides Reverse stress testing [copies of slides only] Lo, Joseph. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45041 URL: http://www.actuaries.org.uk/sites/all/files/documents/ppt/workshop-e5-joseph-lo.ppt Solvency II and long tail liabilities [copies of slides only] Zehnwirth, Ben. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45042 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-e06-ben-zehnwirth.pdf Relative entropy case studies in the application of relative entropy to economic scenario generation and catastrophe modelling [copies of slides only] Marriott, Alun; Millins, Richard. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45043 URL: http://www.actuaries.org.uk/research-and-resources/documents/e07-case-studies-application-relativeentrophy-esgs-and-catastrophe

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IFRS - all clear now? The future of insurance accounting - IFRS 4 Phase II [copies of slides only] Shah, Shreyas; Brien, Mike. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45044 URL: http://www.actuaries.org.uk/research-and-resources/documents/e08-ifrs-all-clear-now-future-insuranceaccounting-ifrs-4-phase-iiReserving for Solvency IIl: What you need to be doing NOW! [copies of slides only] Felisky, Kendra. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45045 URL: http://www.actuaries.org.uk/research-and-resources/documents/e09-reserving-solvency-ii-what-youneed-be-doing-now-slides Can we help? Banks: reserving for bad debt [copies of slides only] White, Martin. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45046 URL: http://www.actuaries.org.uk/research-and-resources/documents/e10-can-we-help-banks-reserving-baddebt-slides Solvency II risk margins cooking up a storm? [copies of slides only] Marcuson, Alex. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45047 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-e11-alex-marcuson.pdf The Economics of Insurance Fraud Investigation: Evidence of a Nash Equilibrium. D'Arcy, Stephen P; Derrig, Richard A; Weisberg, Herbert I. Shelved at: Per: Variance 45068 Variance (2011) 4 (2) : 170-190. URL: http://www.variancejournal.org/issues Abstract: The behavior of competing insurance companies investigating insurance fraud follows one of several Nash Equilibria under which companies consider the claim savings, net of investigation cost, on a portion, or all, of the total claim. This behavior can reduce the effectiveness of investigations when two or more competing insurers are involved. Cost savings are reduced if the suboptimal equilibrium prevails, and may instead induce fraudulent claim behavior and lead to higher insurance premiums. Alternative cooperative and noncooperative arrangements are examined that could reduce or eliminate this potential inefficiency. Empirically, an examination of Massachusetts no-fault auto bodily injury liability claim data for independent medical examinations shows that (1) investigation produces a net total savings as high as eight percent; (2) the investigation frequency is likely in excess of the theoretical optimal; and (3) predictive modeling of claim suspicion scores can significantly enhance the net savings arising from independent medical examinations. Yep, We're Skewed. Fleming, Kirk G. Shelved at: Per: Variance 45070 Variance (2008) 2 (2) : 179-183. URL: http://www.variancejournal.org/issues Abstract: All of us, especially those of us working in insurance, are constantly exposed to the results of small samples from skewed distributions. The majority of our customers will see small sample results below the population mean. Also, the most likely sample average value for any small sample from a skewed population will be below the mean of the skewed population being sampled. Experienced actuaries are aware of these issues. However, we have to be on guard and not fall back on easy assumptions that are appropriate for results from symmetrical distributions. The Common Shock Model for Correlated Insurance Losses. Meyers, Glenn G. Shelved at: Per: Variance 45078 Variance (2008) 2 (2) : 40-52.

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URL: http://www.variancejournal.org/issues Abstract: This paper discusses an approach to the correlation problem in which losses from different lines of insurance are linked by a common variation (or shock) in the parameters of each lines loss model. The paper begins with a simple common shock model and graphically illustrates the effect of the magnitude of the shocks on correlation. Next it describes some more general common shock models that involve common shocks to both the claim count and claim severity distributions. It derives formulas for the correlation between lines of insurance in terms of the magnitude of the common shocks and the parameters of the underlying claim count and claim severity distributions. Finally, it shows how to estimate the magnitude of the common shocks. A feature of this estimation is that it uses the data from several insurers. Underwater underwriters. Parodi, Pietro. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 45111 The Actuary (2011) March : 34-36. URL: http://www.the-actuary.org.uk Abstract: Pietro Parodi considers how actuaries can use different techniques in modelling insurance claims. More equal than others. Thomas, Guy. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 45112 The Actuary (2011) March : 30-31. URL: http://www.the-actuary.org.uk Abstract: Guy Thomas argues that some gender selection increases the societal benefits of insurance. Modern actuarial risk theory : using R. Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel. - - 2nd ed. Berlin: - Springer, 2009. - No. pages: xviii, 381 p.. Shelved at: BX/VA (Oxf) 42967 Contents: 1. Utility theory and insurance 2. The individual risk model 3. Collective risk models 4. Ruin theory 5. Premium principles and risk measures 6. Bonus-malus systems 7. Ordering of risks 8. Credibility theory 9. Generalized linear models 10. IBNR techniques 11. More on GLMs 12. The "R" in Modern ART Abstract: Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model and basic ruin theory. Other topics are risk measures and premium principles, bonus-malus systems, ordering of risks and credibility theory. It also contains some chapters about Generalized Linear Models, applied to rating and IBNR problems. As to the level of the mathematics, the book would fit in a bachelors or masters program in quantitative economics or mathematical statistics. This second and much expanded edition emphasizes the implementation of these techniques through the use of R. This free but incredibly powerful software is rapidly developing into the de facto standard for statistical computation, not just in academic circles but also in practice. With R, one can do simulations, find maximum likelihood estimators, compute distributions by inverting transforms, and much more. Redefining the deviance objective for generalised linear models. Lovick, Anthony C; Lee, Peter K W. - London: - Institute and Faculty of Actuaries, 2011. - No. pages: 28. [Faculty: JOU] 73663 URL: http://www.actuaries.org.uk/research-and-resources/documents/redefining-deviance-objectivegeneralised-linear-models

153

Abstract: This paper defines the 'Case deleted' deviance - a new objective function for evaluating Generalised Linear Models, and applies this to a number of practical examples in the pricing of general insurance. The paper details practical modifications to the standard Generalsed Linear Modelling Algorithm to allow the derivation of scaled parameters from this measure to reduce potential over fitting to historical data. These scaled parameters improve the predictiveness of the model when applied to previously unseen data points, the most likely being related to future business written. The potential for over fitting has increased due to number of factors now used, particularly in pricing personal lines business and the advent of price comparison sites which has increased the penalties of mis-estimation. New material in this paper has been included in a UK patent application No. 1020091.3. A Meta-study of the General Insurance Reserving Issues Taskforce and Reserving Oversight Committee Research in this area between 2004 and 2009. Gibson, E R; Barlow, C; Bruce, N A; Felisky, K M; Fisher, S; Hilary, N; Hilder, Ian M; Kam, Hanna; Matthews, Peter N; Winter, R. Shelved at: Per: BAJ (Oxf); Per: BAJ (Lon) [Faculty: BRI/ACT] 45281 BAJ (2011) 16 (1) : 63-80. URL: http://www.actuaries.org.uk/research-and-resources/pages/members-access-journals

Generalisedlinearmodels

Stochastic claims reserving methods in insurance. Wuthrich, Mario V; Merz, Michael. - - Chicester: - John Wiley & Sons, 2008. - No. pages: 424. Shelved at: BXD/UGJ (Oxf) 38041 Abstract: Claims reserving is central to the insurance industry. Insurance liabilities depend on a number of different risk factors which need to be predicted accurately. This prediction of risk factors and outstanding loss liabilities is the core for pricing insurance products, determining the profitability of an insurance company and for considering the financial strength (solvency) of the company. Following several high-profile company insolvencies, regulatory requirements have moved towards a risk-adjusted basis which has lead to the Solvency II developments. The key focus in the new regime is that financial companies need to analyze adverse developments in their portfolios. Reserving actuaries now have to not only estimate reserves for the outstanding loss liabilities but also to quantify possible shortfalls in these reserves that may lead to potential losses. Such an analysis requires stochastic modeling of loss liability cash flows and it can only be done within a stochastic framework. Therefore stochastic loss liability modeling and quantifying prediction uncertainties has become standard under the new legal framework for the financial industry. This book covers all the mathematical theory and practical guidance needed in order to adhere to these stochastic techniques. Starting with the basic mathematical methods, working right through to the latest developments relevant for practical applications; readers will find out how to estimate total claims reserves while at the same time predicting errors and uncertainty are quantified. Accompanying datasets demonstrate all the techniques, which are easily implemented in a spreadsheet. A practical and essential guide, this book is a must-read in the light of the new solvency requirements for the whole insurance industry Generalized Linear Models for Insurance Data. De Jong, Piet; Heller, Gillian Z. - - Cambridge University Press, 2008. - (International Series on Actuarial Science). - No. pages: 206. Shelved at: online only [Faculty: 368.01 JON] 69355 URL: http://www.openathens.net/ Contents: 1. Insurance data; 2. Response distributions; 3. Exponential family responses and estimation; 4. Linear modeling; 5. Generalized linear models; 6. Models for count data; 7. Categorical responses; 8. Continuous responses; 9. Correlated data; 10. Extensions to the Generalized linear model;

154

Abstract: This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is packageindependent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website. Non-life insurance pricing with generalized linear models. Ohlsson, Esbjrn; Johansson, Bjrn. - - Berlin: Springer, 2010. - (EAA Lecture Notes). - No. pages: 174. Shelved at: BX/UNB (Oxf) [Faculty: 368.011 OHL] 39487 Abstract: Setting the price of a non-life insurance policy involves the statistical analysis of insurance data, taking into consideration various properties of the insured object and the policy holder. Introduced by British actuaries, generalized linear models (GLMs) have by now become a standard approach used for pricing in many countries. The book focuses on methods based on GLMs that have been found useful in actuarial practice. Basic theory of GLMs in an insurance setting is presented, with useful extensions that are not in common use. The book can be used in actuarial education designed to meet the European Core Syllabus and is written for actuarial students as well as practicing actuaries. To support the readers, it contains case studies using real data of some complexity. Predictive modelling techniques in commercial lines pricing [copies of slides only] Warren, Ryan. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72748 URL: http://www.actuaries.org.uk/research-and-resources/documents/predictive-modelling-techniquescommercial-lines-pricing Redefining the deviance objective for generalised linear models. Lovick, Anthony C; Lee, Peter K W. - London: - Institute and Faculty of Actuaries, 2011. - No. pages: 28. [Faculty: JOU] 73663 URL: http://www.actuaries.org.uk/research-and-resources/documents/redefining-deviance-objectivegeneralised-linear-models Abstract: This paper defines the 'Case deleted' deviance - a new objective function for evaluating Generalised Linear Models, and applies this to a number of practical examples in the pricing of general insurance. The paper details practical modifications to the standard Generalsed Linear Modelling Algorithm to allow the derivation of scaled parameters from this measure to reduce potential over fitting to historical data. These scaled parameters improve the predictiveness of the model when applied to previously unseen data points, the most likely being related to future business written. The potential for over fitting has increased due to number of factors now used, particularly in pricing personal lines business and the advent of price comparison sites which has increased the penalties of mis-estimation. New material in this paper has been included in a UK patent application No. 1020091.3.

Geneticscreening

Effects of Genetic Testing on Insurance Pedigree Analysis and Ascertainment Adjustment. MacCalman, Laura. - - Edinburgh: - Heriot-Watt University, 2009. - (PhD Thesis, Heriot-Watt University). - No. pages: 236. 72140 URL: http://www.ma.hw.ac.uk/~angus/papers/lm_phd.pdf

155

Abstract: Recent advances in genetics have resulted in the identification of mutations responsible for a number of genetic disorders which, in turn, have led to the development of genetic tests. The use of genetic testing raises the issue of who should be allowed access to the results; in particular should insurers be allowed to use genetic test results when calculating premium rates? At the moment there is a self-imposed moratorium in the UK preventing insurers from using the results of presymptomatic genetic tests until more investigation is carried out. It is well-established that critical-illness (and sometimes life) insurance cannot be offered to mutation carriers. However such conclusions have (necessarily) been based on the published medical studies available, few of which include the detail needed to reconstruct the data. At the same time, the Genetics and Insurance Committee (GAIC) is setting out criteria that must be met if any genetic tests may be used in underwriting. These criteria cover questions of reliability that from a statistical point of view must include the estimation of insurance premiums from medical or epidemiological data. This question is rarely addressed: we address it in this thesis using pedigree data for Huntingtons Disease and BRCA1-related breast and ovarian cancer. In particular, we study the extent to which ascertainment bias, long known to affect pedigree analysis, affects the actuarial questions of pricing insurance. Having direct access to pedigree data gives us a unique opportunity to analyse how the sampling uncertainty inherent in the data translates into sampling uncertainty in actuarial quantities such as premium rates; moreover, allowing for ascertainment bias and adjustments to remove it. In particular, we are able to assess the validity of ad hoc adjustments to onset rates used by other authors.

Genetics

Multifactorial genetic disorders and adverse selection : Epidemiology meets economics. Macdonald, Angus; Tapadar, Pradip. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39639 Journal of Risk and Insurance (2010) 77 (1) : 155-182. Abstract: The focus of genetics is shifting its contribution to common, complex disorders. New genetic risk factors will be discovered, which if undisclosed may allow adverse selection. However, this should happen only if low-risk individuals would reduce their expected utility by insuring at the average price. We explore this boundary, focusing on critical illness insurance and heart attack risk. Adverse selection is, in many cases, impossible. Otherwise, it appears only for lower risk aversion and smaller insured losses, or if the genetic risk is implausibly high. We find no strong evidence that adverse selection from this source is a threat.

Geographicaldivisions

Foreign affiliates of the largest insurance groups: : location-specific advantages. Outreville, J Francois. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38295 Journal of Risk and Insurance (2008) 75 (2) : 463-491. Abstract: This article has two objectives. The first is the documentation of the relative importance of the largest insurance or reinsurance companies in the world and changes that may have occurred in the past 15 years. The second objective is to identify some of the factors that may explain the increased internationalization and most-favored locations of the world's largest insurance groups in transition and developing economies. The results of this study have important implications. First, they indicate that as expected, location-specific factors such as the size of a market, human capital, and good governance do provide an explication of the internationalization of insurance groups. Second, they also show that other factors, such as cultural distance, regulatory barriers, and competitiveness have a significant impact on the choice of countries.

156

GerberShiufunction

Analysis of a generalized penalty function in a semi-Markovian risk model. Cheung, Eric C K; Landriault, David. - - Society of Actuaries, - No. pages: 17. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 72025 North American Actuarial Journal (2009) 13 (4) : 497-513. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: In this paper an extension of the semi-Markovian risk model studied by Albrecher and Boxma (2005) is considered by allowing for general interclaim times. In such a model, we follow the ideas of Cheung et al. (2010b) and consider a generalization of the Gerber-Shiu function by incorporating two more random variables in the traditional penalty function, namely, the minimum surplus level before ruin and the surplus level immediately after the second last claim prior to ruin. It is shown that the generalized Gerber-Shiu function satisfies a matrix defective renewal equation. Detailed examples are also considered when either the interclaim times or the claim sizes are exponentially distributed. Finally, we also consider the case where the claim arrival process follows a Markovian arrival process. Probabilistic arguments are used to derive the discounted joint distribution of four random variables of interest in this risk model by capitalizing on an existing connection with a particular fluid flow process.

Germany

Empirical Risk Analysis of Pension Insurance: The Case of Germany. Gerke, Wolfgang; Mager, Ferdinand; Reinschmidt, Timo; Schmieder, Christian. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38598 Journal of Risk and Insurance (2008) 75 (3) : 763-784. Abstract: The book reserve system is the most widespread method of financing occupational pension plans in Germany. The pension liabilities are mutually insured by the Pensions-Sicherungs-Verein VVaG (PSVaG) against bankruptcy. The PSVaG recently stated that the insurance system needed to be reformed. In the future, risk-adjusted premiums as foreseen for the newly established Pension Protection Fund in the United Kingdom could become feasible. We perform a credit portfolio analysis to determine the risk profile of the PSVaG. The magnitude of a tail risk event suggests that under the current financing system it can only be smoothed out over decades. Under an expected loss pricing plan insurance premiums would vary greatly. In a marginal risk contribution approach the variation of the premiums would be less pronounced.

Determinants of efficiency and productivity in German property-liability insurance : Evidence for 1995-2006. Luhnen, Michael. Shelved at: Per: Geneva (Oxf) 39303 Geneva Papers on Risk and Insurance (2009) 34 (3) : 483-505. Abstract: This paper provides a comprehensive analysis of efficiency and productivity in the German property-liability insurance industry, a market that has experienced significant change in recent years. Using data envelopment analysis (DEA) and covering the period 19952006, we find that there is potential for the market to improve by about 20 percentage points in terms of technical efficiency and about 50 percentage points in terms of cost efficiency. Furthermore, the analysis shows moderate total factor productivity growth and low efficiency growth during the sample period. A major contribution of the paper is its analysis of six efficiency determinants firm size, distribution channels, ownership forms, product specialisation, financial leverage and premium growth using a truncated regression and bootstrapping approach to avoid invalid inference. Generalizations of common ILF [Increased Limits Factor] models. Riegel, Ulrich. Shelved at: Per: Bltter (Lon); online only 43360 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2008) 29 (heft 1) : 45-71. URL: http://www.springerlink.com/content/1864-0303/

157

Management strategies in multi-year enterprise risk management. Diers, Dorothea. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39983 Geneva Papers on Risk and Insurance (2011) 36 (1) : 107-125. Abstract: In enterprise risk management, strategies should be evaluated and managed from a multiyear view. In this paper, we present a multi-year model approach and apply a multi-year risk-capital concept to enable the company's Own Risk and Solvency Assessment as a part of enterprise risk management on a multi-year basis. We show under which assumptions an allocation method gives the right strategic incentives. We illustrate the usefulness of the concept for managerial decision support using data from a German non-life insurer. The appeal of insurance. Clark, Geoffrey; Anderson, Gregory; Thomann, Christian; Graf von der Schulenburg, J.-Matthias. - - Toronto: - University of Toronto Press, 2010. - No. pages: x, 247. Shelved at: BU/6 (Lon) 45213 Abstract: The Appeal of Insurance traces the ways in which insurance, over the past three centuries, has grown in concert with a clientele largely of its own making. Drawing on the fields of history, sociology, criminology and economics, these essays break new ground in insurance studies by illuminating the dialectical relationship between the expansion of the insurance business and the public demand for economic and social security. The winding road to industrial safety: evidence on the effects of environmental liability on accident prevention in Germany. Schwarze, Reimund; Hoffmeister, Onno. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45324 Geneva Papers on Risk and Insurance (2010) 35 (3) : 416-434. Abstract: The German Environmental Liability Law (ELL) of 1991 has introduced far-reaching civil liability for environmental damages with the aim of increasing firms efforts to prevent accidents. Previous studies find poor evidence that this goal has actually been achieved. One and a half decades after the introduction of that law, we undertake a new attempt to investigate the impact of the ELL on accident prevention. Our analysis is based on annual data on the number of environmental accidents per year, reported to the monitoring agency ZEMA, and the risk premium imposed by a large German insurer on environmental liability insurance (ELI). Examining the relationship between the ELI premium and accident prevention, we are able to model the dynamics of the adjustment process induced by the ELL. According to our results, the average number of environmental accidents per year has decreased from 35 before to 22 after the reform.

Globalwarming

Global Risks 2008 : A Global Risk Network Report. Global Risk Network; World Economic Forum; Citigroup; Marsh & McLennan Companies; Swiss Re; Wharton School Risk Center; Zurich Financial Services. - Geneva: - World Economic Forum, 2008. - No. pages: 54. Shelved at: online only [Faculty: online only] 69132 URL: http://www.weforum.org/pdf/globalrisk/report2008.pdf Contents: Introduction - 4 Focus on Emerging Issues in Global Risk - 6 Assessing Global Risks in 2008 - 20 Networked World, Networked Risks - 25 Financial Markets, Risk Transfer and Risk Mitigation - 30 Structuring Mitigation at the State and International Level: Taking the Country Risk Officer Forward 36 Conclusion - 39 Appendix 1: Taxonomy of Global Risk: Trends, Issues of Concern, Risks - 41 Appendix 2: Risk Assessments - 45 Contributors - 52 Participants - 53

158

Governance

Governance and risk management in United Kingdom insurance companies. Deighton, S P; Dix, Roger C; Graham, J R; Skinner, J M E. - - London: - The Actuarial Profession. Institute of Actuaries and Faculty of Actuaries, 2009. - No. pages: 54. Shelved at: ifp 03/09; BXP/511 pam (Oxf) [Faculty: JOU/INS] 38980 URL: http://www.actuaries.org.uk/research-and-resources/documents/governance-and-risk-management-ukinsurance-companies Abstract: For some while there has been a growing awareness from both internal and external stakeholders that the governance and risk management in United Kingdom insurance companies needed to be enhanced. The proposed European Union Solvency II Directive makes this very explicit and the current economic turmoil has put a much stronger emphasis on the whole process: it is being seen as the right thing to do, rather than simply a regulatory requirement. In this paper, the authors set out the background to and recent history of governance for UK insurance companies, and consider how enterprise risk management can bring together the various control frameworks needed to support that governance. Whilst no two companies are the same, and hence the solutions to these issues will vary, there are several common themes linked to successful implementation. Similarly, various barriers to success are identified, together with solutions to resolve them.

Guidance paper on the treatment of non-regulated entities in group-wide supervision. Insurance Groups and Cross-sectoral Issues Subcommittee. - - International Association of Insurance Supervisors, 2010. - No. pages: 24. 72466 URL: http://www.iaisweb.org/__temp/21__Final_guidance_on_non-regulated_entities.pdf Abstract: This guidance paper considers the scope of group-wide supervision and in particular the supervisory approaches to non-regulated entities whether non-operating holding companies (NOHCs) or non-regulated operating entities (NROEs) within the insurance group or financial conglomerate. It is recognised that non-regulated entities within and/or connected with the other prudentially regulated non-insurance financial groups are, in principle, the subject of regulations of the other financial sectors. This guidance paper does not directly address the treatment of crosssector entities or groups within an insurance group but it does recognise a need for insurance supervisors to assess risks to an insurance group from links to cross-sector entities and where necessary to take measures to mitigate those risks. ERM: Qualitative Implementation Guide for Insurers. Orros, George C; Howell, Jane. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72954 Abstract: This paper provides a practical ERM implementation guide for insurance companies, from a qualitative perspective. It has been designed to meet the broad requirements of relatively large insurers that would like to implement an ERM framework that is grounded in corporate governance principles and in qualitative aspects of strategic management. ERM implementation is achieved via a 6-stage, iterative process of Analysis, Risk Identification, Risk Assessment, Risk Evaluation, Risk Planning and Risk Management, each with feedback loops to ensure a robust and resilient iterative process. The authors show how these processes can be achieved efficiently and can result in a robust and resilient insurer that is well positioned to face the storms and shocks that may lie ahead. Keywords: Enterprise risk management; Risk management; Stress and scenario tests; Risk and uncertainty; Governance; Control framework; Risk modelling; Risk appetite; Risk maps; Risk exposure

Government

A cross-national study of governmental social insurance as an alternative to tort liability compensation. Kerr, Dana A; Ma, Yu-Luen; Schmit, Joan T. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39161

159

Journal of Risk and Insurance (2009) 76 (2) : 367-384. Abstract: Litigation rates in the United States have long been considered out of proportion with the remainder of the world, leading to a good deal of economic research trying to understand the causes. Much of that literature has focused on lawyer compensation rules and availability of general damage awards. Another possible reason for differences in national litigation rates is the relative generosity of government social programs. Using a sample of 24 countries over a 12-year period, we test the relationship between the size of government social program payments and liability costs as measured by liability insurance premiums, and find a strong negative relationship, controlling for income, accident rates, and a variety of other factors. The government as reinsurer of catastrophe risks? Bruggeman, Veronique; Faure, Michael G.; Fiore, Karine. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45322 Geneva Papers on Risk and Insurance (2010) 35 (3) : 369-390. Abstract: Compensation for victims of catastrophes is a hot topic in many countries today. Consequently, the legislator is increasingly intervening in the catastrophe insurance market in order to stimulate its functioning. Various forms of public-private partnerships have hence developed, although law and economics scholarship has differing views on this type of government intervention. The aim of this paper is to add to that debate by, on the one hand, discussing a few specific cases where the government acts as a reinsurer of last resort or as a primary insurer, and by, on the other hand, confronting these practical examples with five main conditions that would have to be fulfilled to make government intervention efficientor at least as little disruptive as possible: market failure, the charging of risk-based premiums, the stimulation of existing market solutions, the freedom to choose for State reinsurance and the temporary character.

Governmentfundraisingmethods

Insurance of privately financed projects. Research Study Group 259. - - London: - Insurance Institute of London, 2009. - No. pages: 185. [Faculty: 368 INS] 72048 Contents: Contents include: -- Role of key parties and key contractual documentation -Requirements of project companies -- Authority requirements -- Lender requirements -- Insurer issues in PFI -- Claims -- Regulatory framework -- International developments -- Building schools for the future (BSF) -- HM Treasury insurance guidance -- Calculation of time deductible for increase in cost of working claims Abstract: The aim of this book is to assess and analyse the role that insurance plays in transactions that are categorised as part of either the Private Finance Initiative (PFI) or the Public Private Partnership (PPP) concept, both of which are generic terms for the relationships formed between the private sector and public sectors.

GreatBritain

The appeal of insurance. Clark, Geoffrey; Anderson, Gregory; Thomann, Christian; Graf von der Schulenburg, J.-Matthias. - - Toronto: - University of Toronto Press, 2010. - No. pages: x, 247. Shelved at: BU/6 (Lon) 45213 Abstract: The Appeal of Insurance traces the ways in which insurance, over the past three centuries, has grown in concert with a clientele largely of its own making. Drawing on the fields of history, sociology, criminology and economics, these essays break new ground in insurance studies by illuminating the dialectical relationship between the expansion of the insurance business and the public demand for economic and social security.

160

Greece

A Malmquist index for the Greek insurance industry. Nektarios, Milton; Barros, Carlos Pestana. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39890 Geneva Papers on Risk and Insurance (2010) 35 (2) : 309-324. Abstract: The objective of this paper is to estimate the effects of deregulation after the implementation of the Third Insurance Directive in the Greek insurance market. Efficiency and productivity measures are estimated by means of data envelopment analysis, applied to a sample of almost all Greek insurance companies, for the product 1994-2003. The companies are separated into three groups: life, non-life and mixed insurance companies, and a Malmquist index is estimated for each group. The Malmquist index is decomposed into technical efficiency change (pure technical and scale efficiency) and technological change. It is found that the life sector experienced an average annual productivity growth of 16.1 per cent, the non-life sector had a rate of 6.5 per cent and the group of mixed insurance companies had the lowest productivity of 3.3 per cent.

Growththeory

Limits to growth [copies of slides only] Bettis, Oliver. - - Institute and Faculty of Actuaries, 2010. - (GIRO Conference and Exhibition 2010 Annual GIRO Convention, Celtic Manor, Newport Actuarial impact - rising to the challenge). 45022 URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/workshop-c7-oliver-bettis.pdf

Guarantees

An executive's handbook for understanding and risk managing unit linked guarantees : A discussion paper. Maher, J; Corrigan, J; Bentley, A; Diffey, W. - - London: - Institute and Faculty of Actuaries, 2010. - No. pages: 68. Shelved at: BXP pam (Oxf); ifp 11/10 (Oxf) [Faculty: JOU] 35988 URL: http://www.actuaries.org.uk/research-and-resources/documents/executives-handbook-understandingand-risk-managing-unit-linked-gua Abstract: The focus of this paper is the identification, and more importantly, sustainable management, of risks embedded in guarantees attaching to unit linked savings and centric guarantees that are not readily transferrable to the capital markets, insurance undertakings require the skills and resources to hedge the guarantees within their own balance sheet (or with a temporary use of packaged solutions such as reinsurance). In taking on the guarantee manufacture task insurers are departing from areas of historic competence and need to develop a comprehensive understanding of all elements of market risk replication. These include both first order market exposures as well as the material second order risis associated with market micro structure. The paper seeks to integrate this comprehensive analysis within a practitioner focused framework and concludes with a senior executive summary of 'Seven key considerations in successful guarantee manufacture'. Deregulation, insurance supervision and guaranty funds. Nektarios, Milton. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45326 Geneva Papers on Risk and Insurance (2010) 35 (3) : 452-468. Abstract: The objective of this article is twofold: first, to present a holistic approach to insurance regulation and, second, to put forward the proposition that the establishment of guaranty funds will facilitate the effectiveness of the supervisory authorities in the European insurance markets, which will go through the consolidation process. Consolidation will materialise by means of mergers and acquisitions, exits and bankruptcies. It is argued that consumer expectations, intensified competition and the convergence of financial and insurance markets require the establishment of guaranty funds in all Member States of the European Union, in order to deal with the expected increased rate of

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insurer insolvencies. Such an evolution will provide supervisory authorities with more degrees of freedom in removing earlier impaired insurers from the market, instead of waiting and exacerbating the eventual insolvency deficits. The argument is that, in addition to protecting the victims of insolvencies, such an arrangement is optimal as an insurance device, which will increase consumer confidence and market stability.

Healthandsafety

Can accident rates be reduced? : A study of the plastics and rubber industry. Mander, Dean. Shelved at: Per: IRP 38280 Insurance Research and Practice (2008) 4 : i-viii. URL: http://www.cii.co.uk/knowledge/irp/irp_2008_04.pdf Abstract: Can accident rates be reduced? To consider this I have reviewed employers' liability claims for one trade sector, comparing them to external statistics to highlight trends and find areas that could bring further improvements. If a company only experiences one claim, is it natural to think it is a 'one off'? The study produces a profile for an accident: mainly occurring in the first 2.5 years of employment, regardless of age, with inadequate risk assessment and only brief, undocumented training or instruction for a task. A further rise in accidents is seen where employment period exceeds 10 years. Both findings highlight training needs. This should be adequately documented for successful defence of a claim. In light of this, it is recommended that length of service is recorded within accident book entries and be a formal part of reporting under the Reporting of Injuries, Diseases and Dangerous Occurrences Regulations 1995 (RIDDOR). Trends could be highlighted before claims are received and this would enable individual companies to review work practices and training methods as an aid to prevention. Discussing and sharing the results could help prevent future accidents occurring. Although the study relates to the plastics and rubber sector, the issues could equally relate to other industries. Growing Challenge of Obesity in the Insurance Industry. Thiagarajah, Ranee. - 2008. Shelved at: Online only [Faculty: Online only] 38679 Actuarial Research Clearing House (ARCH) (2008) 2 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss2.aspx Abstract: This paper highlights the menace of overweight and obesity which are on the rise. Health care systems and insurance industries are directly affected. Liability claims are on waiting. The food related damage claims are costly. Insurers are therefore driven to find a solution: classify overweight and obesity as a group, adjust their premium to reflect the cost, and justify the classification and the adjustments. Key Words: Obesity Effects, Liability Claims, Insurance Cost Healthcare: What's up doc? Burge, Amanda. Shelved at: online only [Faculty: online only] 69736 The Actuary (2008) October URL: http://www.the-actuary.org.uk Abstract: One rabbit was enough to pollute the tap water in Northamptonshire. Amanda Burge observes how cryptosporidium outbreaks should have limited effects on public health, but can still cause significant losses for water authorities and insurers Insurance: In case of injury. Brockman, Mike. Shelved at: online only [Faculty: online only] 69746 The Actuary (2008) June URL: http://www.the-actuary.org.uk Abstract: Mike Brockman describes some of the key challenges in conducting the fourth UK Bodily Injury Awards Study, and how they were addressed

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Healthinsurance

Market risk, interest rate risk, and interdependencies in insurer stock returns : a system-GARCH model. Carson, James M; Elyasiani, Elyas; Mansur, Iqbal. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38773 Journal of Risk and Insurance (2008) 75 (4) : 873-891. Abstract: We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident and health (A&H) insurers, followed by life (Life) and property and casualty (P&C) insurers; interest rate sensitivity is negative and greatest for Life insurers; and interdependencies in returns are significant with the magnitude being strongest between P&C and A&H insurers. The implication is that greatest diversification benefits arise between Life and the other segments of the insurance industry. Market risk and interest rate risk for diversified firms are smaller than those for nondiversified firms for both product and geographic diversification. The private market for long-term care insurance in the United States : a review of the evidence. Brown, Jeffrey R; Finkelstein, Amy. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38938 Journal of Risk and Insurance (2009) 76 (1) : 5-29. Abstract: This article reviews the growing literature on the market for private long-term care insurance, a market notable for its small size despite the fact that long-term care expenses are potentially large and highly uncertain. After summarizing long-term care utilization and insurance coverage in the United States, the article reviews research on the supply of and the demand for private long-term care insurance. It concludes that demand-side factors impose important limits on the size of the private market and that we currently have a limited understanding of how public policies could be designed to encourage the growth of this market. Asymmetric information, long-term care insurance, and annuities : the case for bundled contracts. Webb, David C. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38940 Journal of Risk and Insurance (2009) 76 (1) : 53-85. Abstract: This article examines the markets for long-term care insurance and annuities when there is asymmetric information and there are costs of administering contracts. Individuals differ in terms of their risk aversion. Risk-averse individuals take more care of their health and are relatively high risk in the annuities market and relatively low risk in the long-term care insurance market. In the longterm care insurance market, both separating and partial-pooling equilibria are possible. However, in the stand-alone annuity market, only separating equilibria are possible. We show, consistent with the extant empirical research, that in the presence of administration costs the more risk-averse individuals may buy relatively more long-term care insurance and more annuity coverage. Under the same assumptions, we show that equilibria exist with bundled contracts that Pareto dominate the outcomes with stand-alone contracts and are robust to competition from stand-alone contracts. The remaining empirical puzzle is to explain why bundled contracts are such a small share of the voluntary annuity market. Long-term disability claims rates and the consumption-to-wealth ratio. Smoluk, H.J.. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38942 Journal of Risk and Insurance (2009) 76 (1) : 109-131. Abstract: A framework for linking long-term disability (LTD) claims rates to the macro-economy using the consumption-to-wealth ratio is developed from financial economic and option theories. Financial economic theory suggests that the consumption-to-wealth ratio reflects consumption smoothing and reveals expectations about future wealth. For individuals contemplating submitting an LTD claim, the expected payoff to exercising this insurance option is a function of their expectations about their future wealth. The lower (higher) their expectations about future wealth, the higher (lower) the expected payoff, and the higher (lower) claims rates are likely to be. Using cointegration analysis, we find that LTD claims rates and the consumption-to-wealth ratio are linked in a long-run equilibrium. When the consumption-to-wealth ratio is high (low), LTD claims rates are low (high).

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The aggregate demand for private health insurance coverage in the United States. Ahking, Francis W; giaccotto, carmelo; Santerre, Rexford E. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38943 Journal of Risk and Insurance (2009) 76 (1) : 133-157. Abstract: This article estimates the aggregate demand for private health insurance coverage in the United States using an error correction model for the period 19661999. Both short- and long-run price and income elasticities of demand are estimated. The empirical findings indicate that both private insurance enrollment and the completeness of insurance are relatively inelastic with respect to changes in price and income in the short and long run. Moreover, the results suggest that an increase in the number cyclically and frictionally uninsured generates less welfare loss than an increase in the number of structurally uninsured. Measuring selection incentives in managed care : evidence from the Massachusetts state employee insurance program. Eggleston, Karen; Bit, Anupa. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38944 Journal of Risk and Insurance (2009) 76 (1) : 159-175. Abstract: Capitation gives insurers incentive to manipulate their offerings to attract the healthy and deter the sick. We calculate the incentives for such service-specific quality distortions using managed care medical and pharmacy spending data for fiscal years 2001 and 2002 from the Massachusetts State Employee Insurance Program. Services most vulnerable to stinting are cardiac care, diabetes care, and mental health and substance abuse services. Empirically, the financial temptation to distort service quality increases nonlinearly with supply-side cost sharing. Our empirical results highlight how selection incentives work at cross-purposes with efforts to reward excellent chronic disease management. Initiatives coupling pay-for-performance with risk adjustment and mixed payment hold promise for aligning incentives with quality improvement. Dynamics of the market for medical malpractice insurance. Neale, Faith R; Eastman, Kevin L; Peterson Drake, Pamela. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38947 Journal of Risk and Insurance (2009) 76 (1) : 221-247. Abstract: Public attention has been directed recently at the market for medical malpractice insurance, yet disagreement persists over whether this market has changed and, if so, what has caused this change. In this study, we examine factors that affect the market for this insurance, including the growth in premiums, losses, and investment earnings, and loss variability. Our analysis suggests that there was significant deterioration in the market for medical malpractice insurance beginning in 1998 and culminating in 2001. We conclude that insurers' losses are the primary driver of the market deterioration during the period 1998 through 2003. Health care insurance in Japan : Beyond a binary vision of State and family. Naito, Kusuto. Shelved at: Per: ISSR (Oxf) 39261 International Social Security Review (2009) 62 (3) : 49-77. Abstract: Despite significant regional diversity in household structures and the existence of community solidarity in Japan, caring for elderly dependent persons has traditionally been considered an exclusively family, and female, responsibility. However, as a result of sociodemographic changes during the second half of the twentieth century, a public system of health care insurance was introduced in 2000. The objective of this development was to "socialize" family and female care activities. This article presents a critical analysis of Japan's health care insurance system and the context that gave rise to its introduction. An important issue is whether the system meets the needs of the elderly and their carers (family and non-family). A further issue is whether the system can take account of regional diversity, diversity in household situations (above and beyond financial concerns), and societal values and beliefs. The article concludes by arguing that demographic ageing presents a societal requirement for the ongoing adjustment of behaviour patterns and living arrangements. The effect of consumer-directed health plans on health care spending. Lo Sasso, Anthony T; Helmchen, Lorens A; Kaestner, Robert. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39635

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Journal of Risk and Insurance (2010) 77 (1) : 85-103. Abstract: We use unique data from an insurer that exclusively offers high-deductible, "consumerdirected" health plans to identify the effect of plan features, notably employer contributions to the spending account, on health care spending. Our results show that the marginal dollar contributed by the employer to the spending account is entirely spent on outpatient and pharmacy services. In contrast, out-of-pocket spending was not responsive to the amount the employer contributes to the spending account. Our results represent the first plausibly causal estimates of the components of consumer-driven health plans on health spending. The magnitudes of the effects suggest important health care spending consequences to higher employer contributions to spending accounts. Our findings are most directly relevant to health reimbursement arrangement plan designs, though our results are still of value to health savings account plan designs. Multifactorial genetic disorders and adverse selection : Epidemiology meets economics. Macdonald, Angus; Tapadar, Pradip. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39639 Journal of Risk and Insurance (2010) 77 (1) : 155-182. Abstract: The focus of genetics is shifting its contribution to common, complex disorders. New genetic risk factors will be discovered, which if undisclosed may allow adverse selection. However, this should happen only if low-risk individuals would reduce their expected utility by insuring at the average price. We explore this boundary, focusing on critical illness insurance and heart attack risk. Adverse selection is, in many cases, impossible. Otherwise, it appears only for lower risk aversion and smaller insured losses, or if the genetic risk is implausibly high. We find no strong evidence that adverse selection from this source is a threat.

Healthservices

Adverse selection, moral hazard and outlier payment policy. Mougeot, Michel; Naegelen, Florence. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38945 Journal of Risk and Insurance (2009) 76 (1) : 177-195. Abstract: In this article, we analyze the rationale for introducing outlier payments into a prospective payment system for hospitals under adverse selection and moral hazard. The payer has only two instruments: a fixed price for patients whose treatment cost is below a threshold, and a cost-sharing rule for outlier patients. We show that a fixed-price policy is optimal when the hospital is sufficiently benevolent. When the hospital is weakly benevolent, a mixed policy solving a trade-off between rent extraction, efficiency, and dumping deterrence must be preferred. We show how the optimal combination of fixed price and partially cost-based payment depends on the degree of benevolence of the hospital, the social cost of public funds, and the distribution of patients severity. The effect of consumer-directed health plans on health care spending. Lo Sasso, Anthony T; Helmchen, Lorens A; Kaestner, Robert. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39635 Journal of Risk and Insurance (2010) 77 (1) : 85-103. Abstract: We use unique data from an insurer that exclusively offers high-deductible, "consumerdirected" health plans to identify the effect of plan features, notably employer contributions to the spending account, on health care spending. Our results show that the marginal dollar contributed by the employer to the spending account is entirely spent on outpatient and pharmacy services. In contrast, out-of-pocket spending was not responsive to the amount the employer contributes to the spending account. Our results represent the first plausibly causal estimates of the components of consumer-driven health plans on health spending. The magnitudes of the effects suggest important health care spending consequences to higher employer contributions to spending accounts. Our findings are most directly relevant to health reimbursement arrangement plan designs, though our results are still of value to health savings account plan designs.

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Heartdisease

Multifactorial genetic disorders and adverse selection : Epidemiology meets economics. Macdonald, Angus; Tapadar, Pradip. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39639 Journal of Risk and Insurance (2010) 77 (1) : 155-182. Abstract: The focus of genetics is shifting its contribution to common, complex disorders. New genetic risk factors will be discovered, which if undisclosed may allow adverse selection. However, this should happen only if low-risk individuals would reduce their expected utility by insuring at the average price. We explore this boundary, focusing on critical illness insurance and heart attack risk. Adverse selection is, in many cases, impossible. Otherwise, it appears only for lower risk aversion and smaller insured losses, or if the genetic risk is implausibly high. We find no strong evidence that adverse selection from this source is a threat.

Hedging

Pricing and hedging of discrete dynamic guaranteed funds. Tse, Wai-Man; Chang, Eric C; Li, Leong Kwan; Mok, Henri M K. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38305 Journal of Risk and Insurance (2008) 75 (1) : 167-192. Abstract: We derive a risk-neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We propose a dynamic hedging strategy by adding a gamma factor to the conventional delta. Simulation results demonstrate that, when hedging discretely, the risk-neutral gamma-adjusted-delta strategy outperforms the dynamic delta hedging strategy by reducing the expected hedging error, lowering the hedging error variability, and improving the self-financing possibility. The discrete dynamic delta-only hedging not only causes potential overcharge to clients but also could be costly to the issuers. We show that a naive application of continuous-time hedging formula to a discrete-time hedging setting tends to worsen these possibilities. On pricing and hedging the no-negative-equity guarantee in equity release mechanisms. Li, Johnny Siu-Hang; Hardy, Mary R; Tan, Ken Seng. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39632 Journal of Risk and Insurance (2010) 77 (2) : 499-522. Abstract: In a roll-up mortgage, the borrower receives a loan in the form of a lump sum. The loan is rolled up with interest until the borrower dies, sells the house, or moves into long-term care permanently. The house is sold at that time, and the proceeds are used to repay the loan and interest. Most roll-up mortgages are sold with a no-negative-equity guarantee (NNEG), which caps the redemption amount at the lesser of the face amount of the loan and the sale proceeds. The core of this study is to develop a framework for pricing and managing the risks of the NNEG. Weather risk hedging in the European markets and international investment diversification. Yang, Charles C; Li, Linda Shihong; Wen, Min-Ming. Shelved at: Per: Geneva (Oxf) 45276 Geneva Risk and Insurance Review (2011) 36 (1) : 74-94. Abstract: This article analyses weather risk hedging efficiency in three European countries using weather derivatives traded at Chicago Mercantile Exchange (CME) and explores the potential of weather derivatives as a new investment asset to further diversify investors portfolios. The results document that the CME European weather contracts are generally effective in hedging the temperature risk in the three European countries. However, for a specific country, weather risk hedging using other countries weather indexes is generally not effective. Zero or little correlation among international weather indexes and stock market indexes indicates that weather derivatives should be an efficient investment diversifier. This research provides important insights to both weather risk hedgers and investors.

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Derivative hedging and insurer solvency: evidence from Taiwan. Yung-Ming, Shiu. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45327 Geneva Papers on Risk and Insurance (2010) 35 (3) : 469-483. Abstract: Using company-level panel data (20012003), this paper empirically examines whether Taiwanese insurers' use of derivatives for hedging purposes is significantly related to their solvency (as measured by solvency ratio). Contrary to the public's perception that firms with derivative programmes have a higher level of solvency if derivatives are employed for hedging purposes, our results indicate that life insurers' derivative hedging generally is not associated with solvency, while non-life insurers using derivative hedging have a lower level of solvency.

History

A brief history of insurance. Fulcher, Graham. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 38964 The Actuary (2009) March : 30-31. URL: http://www.the-actuary.org.uk Abstract: Graham Fulcher explores the evolution of risk sharing in non-life insurance over the past 4000 years. Reinsurance: a brief history. Holland, David M. Shelved at: online only 44421 The Actuary (2009) April : online. URL: http://www.the-actuary.org.uk Abstract: David Holland explores the evolution of reinsurance from its marine origins to the present day. A brief history of reinsurance. Holland, David M. - - Schaumburg: - Society of Actuaries, 2009. Shelved at: online only 44422 Reinsurance News (2009) February : 4-29. URL: http://www.soa.org/library/newsletters/reinsurance-section-news/2009/february/rsn-2009-iss65.pdf The development of international insurance. Pearson, Robin. - - London: - Pickering & Chatto, 2010. (Financial history; 15). - No. pages: 261. Shelved at: BUA/6 (Oxf) 39502 Abstract: Despite their economic and social importance, there are relatively few book-length studies of national insurance industries. This collection of nine essays by a group of international experts redresses this balance; providing an extensive geographical and thematic spread, linked via an extensive introduction. Also present is a consolidated, multilingual bibliography, allowing further research to be undertaken around the world.

Lime Street, Wall Street and Main Street [copies of slides only] Fulcher, Graham; Marcuson, Alex; Securitisation Working Party; Sub-Prime Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72742

Hospitalservices

Adverse selection, moral hazard and outlier payment policy. Mougeot, Michel; Naegelen, Florence. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38945 Journal of Risk and Insurance (2009) 76 (1) : 177-195.

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Abstract: In this article, we analyze the rationale for introducing outlier payments into a prospective payment system for hospitals under adverse selection and moral hazard. The payer has only two instruments: a fixed price for patients whose treatment cost is below a threshold, and a cost-sharing rule for outlier patients. We show that a fixed-price policy is optimal when the hospital is sufficiently benevolent. When the hospital is weakly benevolent, a mixed policy solving a trade-off between rent extraction, efficiency, and dumping deterrence must be preferred. We show how the optimal combination of fixed price and partially cost-based payment depends on the degree of benevolence of the hospital, the social cost of public funds, and the distribution of patients severity.

Householdinsurance

Florida homeowners insurance: how big is the availability problem and is there a fair solution? Burt, Locke; Carlson, Chris; Kucera, Jeff; Massie, Jim. - - No. pages: 15. [Faculty: RIS/MAN] 71565 Risk Management and Insurance Review (2009) 12 (2) : 183-197. Failure Risks in the Insurance Industry: A Quantitative Systems Analysis. Pat-Cornell, Elisabeth; Deleris, La A. - - No. pages: 14. [Faculty: RIS/MAN] 71566 Risk Management and Insurance Review (2009) 12 (2) : 199-212. Abstract: We present in this article the findings from a study on insolvency in the propertycasualty insurance industry that was commissioned by the Risk Foundation. The Risk Foundation contacted us for this work to draw from our experience in risk analysis based on systems analysis and probability. Therefore, we provide a different perspective on failure in the insurance industry by opening the "black box" to assess the contribution of different factors to the overall risk. Besides the development of a quantitative model for insolvency risk, our study for the Risk Foundation included insights from (1) unstructured interviews with 15 insurance industry experts and with six insurance regulators in different states, and (2) a statistical analysis of insolvency data (A.M. Best) covering the 1970 through 2005 period. Our focus here is centered on the practical insights that came out of the study, rather than on the technical details that led us to those insights.

Housingmarket

Estimation of housing price jump risks and their impact on the valuation of mortgage insurance contracts. Chen, Ming-Chi; Chang, Chia-Chien; Lin, Shih-Kuei; Shyu, So-De. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39628 Journal of Risk and Insurance (2010) 77 (2) : 399-422. Abstract: Housing price jump risk and the subprime crisis have drawn more attention to the precise estimation of mortgage insurance premiums. This study derives the pricing formula for mortgage insurance premiums by assuming that the housing price process follows the jump diffusion process, capturing important characteristics of abnormal shock events. This assumption is consistent with the empirical observation of the U.S. monthly national average new home returns from 1986 to 2008. Furthermore, we investigate the impact of price jump risk on mortgage insurance premiums from shock frequency of the abnormal events, abnormal mean and volatility of jump size, and normal volatility. Empirical results indicate that the abnormal volatility of jump size has the most significant impact on mortgage insurance premiums. Subprime .... impacts for capital assessment [copies of slides only] Masters, Terry; Riley, Jim; Flower, Mark; James, Gillian. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72739 General Insurance Convention (2008) URL: http://www.actuaries.org.uk/sites/all/files/documents/pdf/subprime-impacts-capital-assessment.pdf

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Hurricanes

The perfect storm: hurricanes, insurance, and regulation. Grace, Martin F; Klein, Robert W. - 2009. - No. pages: 44. [Faculty: RIS/MAN] 69455 Risk Management and Insurance Review (2009) 12 (1) : 81-124. Abstract: The intense hurricane seasons of 2004 and 2005 caused considerable instability in property insurance markets in coastal states with the greatest problems occurring in Florida and the Southeast. Insurers have substantially raised rates and decreased their exposures. While no severe hurricanes struck the United States in 2006 and 2007, market pressures remain strong given the high risk still facing coastal states. These developments generate considerable concern and controversy among various stakeholder groups. Government responses have varied. In Florida, political pressures prompted a wave of legislation and regulations to expand government underwriting and subsidization of hurricane risk and constrain insurers' rates and market adjustments. Other states' actions seem more moderate. In this context, it is important to understand how property insurance markets have been changing and governments have been responding to increased catastrophe risk. This article examines important market developments and evaluates associated government policies. We comment on how regulation is affecting the equilibration of insurance markets and offer opinions on policies that are helpful and harmful.

IBNR

Bivariate Archimedean Copulas for Individual Claim Loss Reserving Models. Zhao, XiaoBing; Zhou, Xian. - North Ryde, NSW: - Macquarie University, 2009. - (Centre for Financial Risk Working Paper 09-04). - No. pages: 30. 72482 URL: http://www.businessandeconomics.mq.edu.au/faculty_docs/Staff_Documents/CFR_09-04.pdf Abstract: The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving. In this paper, we propose to use semicompeting risks copula and semi-survival copula models to fit the dependence structure of the event times with the delays in individual claim loss model. A nonstandard two-step procedure is applied to our setting in which the associate parameter and one margin are estimated based on an ad hoc estimator of the other margin. The asymptotic properties of the estimators are established as well. A simulation study is carried out to evaluate the performance of the proposed methods. Key words: IBNR claim, individual claim loss model, Archimedean copulas, semi-competing risks, semi-survival copula.

Impairedlives

Evaluating permanent disability ratings using empirical data on earnings losses. Bhattacharya, Jayanta; Neuhauser, Frank; Reville, Robert T; Seabury, Seth A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 39642 Journal of Risk and Insurance (2010) 77 (1) : 231-260. Abstract: Workers' compensation systems are typically designed to assign higher permanent disability benefits to workers with more severe disabilities. However, little or no scientific work exists to guide the design of ratings systems to properly account for the amount of earnings power lost due to disability. In this article, we examine the effectiveness of disability ratings using matched administrative data on ratings and earnings for a large, representative sample of permanent disability claimants in California. We find that while workers with higher ratings do experience larger earnings losses on average, there are large and persistent differences in average earnings losses for similarly rated impairments in different parts of the body. We then explore how adjusting permanent disability ratings to reflect cross-impairment differences in earnings losses can affect the equity of permanent

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disability benefits. Adjusting disability ratings to account for typical earnings losses reduces crossimpairment differences substantially. The adjusted ratings result in a more equitable distribution of disability benefits across workers with different impairments.

Indexes

The role of indices in transferring insurance risks to the capital markets. Swiss Reinsurance Company. - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 46. [Faculty: SIG/SWI] 71589 Sigma (2009) 4 URL: http://www.swissre.com Contents: Executive summary -- Introduction -- Insurance-linked indices -- Instruments that transfer insurance risks to the capital markets -- Benefits and market challenges -- Market developments and outlook -- Appendix Abstract: Insurance-linked securities (ILS) and related instruments can be used to transfer insurance risks to the capital markets. These include securitisations, industry loss warranties (ILWs) and a variety of derivative contracts. These products are mainly used to transfer peak natural catastrophe risks and weather-related risks. Catastrophe or cat bonds and weather derivatives are quite commonplace and can be traded on public exchanges or privately. The markets for other products such as mortality and longevity swaps are still in an earlier stage of development. A Malmquist index for the Greek insurance industry. Nektarios, Milton; Barros, Carlos Pestana. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39890 Geneva Papers on Risk and Insurance (2010) 35 (2) : 309-324. Abstract: The objective of this paper is to estimate the effects of deregulation after the implementation of the Third Insurance Directive in the Greek insurance market. Efficiency and productivity measures are estimated by means of data envelopment analysis, applied to a sample of almost all Greek insurance companies, for the product 1994-2003. The companies are separated into three groups: life, non-life and mixed insurance companies, and a Malmquist index is estimated for each group. The Malmquist index is decomposed into technical efficiency change (pure technical and scale efficiency) and technological change. It is found that the life sector experienced an average annual productivity growth of 16.1 per cent, the non-life sector had a rate of 6.5 per cent and the group of mixed insurance companies had the lowest productivity of 3.3 per cent.

India

Challenges and opportunities for Indian motor third party insurance pool. Kumar, Jagendra. Shelved at: Per: Bimaquest (Oxf) 38466 Bimaquest (2008) 8 (2) : 48-56. Abstract: Article explaining the working of the Indian Motor Third Party Insurance Pool, which brings out the challenge and issues in administering the pool. Application of tort in liability insurance. Chattoraj, Abhijeet K. Shelved at: Per: Bimaquest (Oxf) 38886 Bimaquest (2009) 9 (1) : 20-26. Abstract: This article discusses various torts vis-a-vis liability insurance and their application in the Indian market. Tort is one of the chief sources of most liability losses. The development of international insurance. Pearson, Robin. - - London: - Pickering & Chatto, 2010. (Financial history; 15). - No. pages: 261. Shelved at: BUA/6 (Oxf) 39502

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Abstract: Despite their economic and social importance, there are relatively few book-length studies of national insurance industries. This collection of nine essays by a group of international experts redresses this balance; providing an extensive geographical and thematic spread, linked via an extensive introduction. Also present is a consolidated, multilingual bibliography, allowing further research to be undertaken around the world.

Masala, monsoons and mathematical models : working as an actuary in India [copies of slides only] Bhooee, Satnam. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72714

Industrialawareness

Can accident rates be reduced? : A study of the plastics and rubber industry. Mander, Dean. Shelved at: Per: IRP 38280 Insurance Research and Practice (2008) 4 : i-viii. URL: http://www.cii.co.uk/knowledge/irp/irp_2008_04.pdf Abstract: Can accident rates be reduced? To consider this I have reviewed employers' liability claims for one trade sector, comparing them to external statistics to highlight trends and find areas that could bring further improvements. If a company only experiences one claim, is it natural to think it is a 'one off'? The study produces a profile for an accident: mainly occurring in the first 2.5 years of employment, regardless of age, with inadequate risk assessment and only brief, undocumented training or instruction for a task. A further rise in accidents is seen where employment period exceeds 10 years. Both findings highlight training needs. This should be adequately documented for successful defence of a claim. In light of this, it is recommended that length of service is recorded within accident book entries and be a formal part of reporting under the Reporting of Injuries, Diseases and Dangerous Occurrences Regulations 1995 (RIDDOR). Trends could be highlighted before claims are received and this would enable individual companies to review work practices and training methods as an aid to prevention. Discussing and sharing the results could help prevent future accidents occurring. Although the study relates to the plastics and rubber sector, the issues could equally relate to other industries.

Inflation

The impact of inflation on insurers. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, No. pages: 31. [Faculty: SIG/SWI] 73327 Sigma (2010) 4 URL: http://www.swissre.com Contents: Understanding inflation -- How does inflation affect insurers? -- The future of inflation -Mitigating inflation risk Abstract: Recent commodity price spikes and the current easy monetary policy have increased inflation concerns. Many insurers have identified it as one of their key risks. Swiss Re's latest sigma study "The impact of inflation on insurers" finds that insurers can limit the impact of inflation on investment returns, asset valuations and future insurance liabilities by using inflation hedges, adding index clauses to contracts and buying reinsurance.

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Information

The Geneva risk and insurance review 2009: In quest of behavioural insurance. Outreville, J Francois. - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45328 Geneva Papers on Risk and Insurance (2010) 35 (3) : 484-497. Abstract: The purpose of this article is to review and summarize the papers published in The Geneva Risk and Insurance Review in 2009. Asymmetric information, adverse selection and moral hazard are the keywords in several papers in this volume. These papers highlight how applied research in insurance could help understand the behaviour of policy-holders and have important implications for the insurance industry. This is an important issue in insurance and the papers summarized in this article raise some interesting potential empirical research questions and call for a behavioural research approach applied to insurance, a field that could be defined as behavioural insurance.

Informationtechnology

Horses for courses. Sher, Martin; Schneider, Mark. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) 39326 The Actuary (2009) August : 28-29. URL: http://www.the-actuary.org.uk Abstract: Article discussing the range of IT solutions being adopted by insurers as they face new financial modelling challenges.

Insolvency

Why insurers fail : the dynamics of property and casualty insurance insolvency in Canada. Leadbetter, Darrell; Dibra, Suela. Shelved at: Per: Geneva (Oxf) 39040 Geneva Papers on Risk and Insurance (2008) 33 (3) : 464-488. Abstract: We analyze the involuntary exit of 35 property and casualty insurance companies from the Canadian insurance market over the 19602005 period, and consistent with other jurisdictions, find evidence that inadequate pricing and deficient loss reserves are the leading cause of insurer insolvency. Overall, we find that the operating environment generally provides the catalyst for insolvency, either through turbulent financial markets or reduced profitability in the industry, but most causes of involuntary exit can however be linked back to three sources within an institution: the quality and experience of governance/management, internal operational processes and risk appetite. Further, other than inadequate pricing, our results, when compared with the few studies in various jurisdictions, indicate there are few universal causes of involuntary exit across jurisdictions, and hence supervisory approaches to insurer insolvency should be flexible and adaptable to the environment. Failure Risks in the Insurance Industry: A Quantitative Systems Analysis. Pat-Cornell, Elisabeth; Deleris, La A. - - No. pages: 14. [Faculty: RIS/MAN] 71566 Risk Management and Insurance Review (2009) 12 (2) : 199-212. Abstract: We present in this article the findings from a study on insolvency in the propertycasualty insurance industry that was commissioned by the Risk Foundation. The Risk Foundation contacted us for this work to draw from our experience in risk analysis based on systems analysis and probability. Therefore, we provide a different perspective on failure in the insurance industry by opening the "black box" to assess the contribution of different factors to the overall risk. Besides the development of a quantitative model for insolvency risk, our study for the Risk Foundation included insights from (1) unstructured interviews with 15 insurance industry experts and with six insurance regulators in different states, and (2) a statistical analysis of insolvency data (A.M. Best) covering the

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1970 through 2005 period. Our focus here is centered on the practical insights that came out of the study, rather than on the technical details that led us to those insights. Deregulation, insurance supervision and guaranty funds. Nektarios, Milton. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 45326 Geneva Papers on Risk and Insurance (2010) 35 (3) : 452-468. Abstract: The objective of this article is twofold: first, to present a holistic approach to insurance regulation and, second, to put forward the proposition that the establishment of guaranty funds will facilitate the effectiveness of the supervisory authorities in the European insurance markets, which will go through the consolidation process. Consolidation will materialise by means of mergers and acquisitions, exits and bankruptcies. It is argued that consumer expectations, intensified competition and the convergence of financial and insurance markets require the establishment of guaranty funds in all Member States of the European Union, in order to deal with the expected increased rate of insurer insolvencies. Such an evolution will provide supervisory authorities with more degrees of freedom in removing earlier impaired insurers from the market, instead of waiting and exacerbating the eventual insolvency deficits. The argument is that, in addition to protecting the victims of insolvencies, such an arrangement is optimal as an insurance device, which will increase consumer confidence and market stability.

Insurance

Loss, destruction or damage of goods in the custody of a bailee related issues and concepts. Sanyal, B. Shelved at: Per: Bimaquest (Oxf) 37948 Bimaquest (2008) 8 (1) : 6-14. Abstract: In insurance claims, we often come across situations where a loss or damage has occurred in the custody of a bailee. Whereas the legal provisions relating to the carriers of goods are well known, the issues of law pertaining to a bailee of goods are rarely highlighted. The purpose of this paper is to bring forth some of the aspects relevant to this topic. Stochastic claims reserving methods in insurance. Wuthrich, Mario V; Merz, Michael. - - Chicester: - John Wiley & Sons, 2008. - No. pages: 424. Shelved at: BXD/UGJ (Oxf) 38041 Abstract: Claims reserving is central to the insurance industry. Insurance liabilities depend on a number of different risk factors which need to be predicted accurately. This prediction of risk factors and outstanding loss liabilities is the core for pricing insurance products, determining the profitability of an insurance company and for considering the financial strength (solvency) of the company. Following several high-profile company insolvencies, regulatory requirements have moved towards a risk-adjusted basis which has lead to the Solvency II developments. The key focus in the new regime is that financial companies need to analyze adverse developments in their portfolios. Reserving actuaries now have to not only estimate reserves for the outstanding loss liabilities but also to quantify possible shortfalls in these reserves that may lead to potential losses. Such an analysis requires stochastic modeling of loss liability cash flows and it can only be done within a stochastic framework. Therefore stochastic loss liability modeling and quantifying prediction uncertainties has become standard under the new legal framework for the financial industry. This book covers all the mathematical theory and practical guidance needed in order to adhere to these stochastic techniques. Starting with the basic mathematical methods, working right through to the latest developments relevant for practical applications; readers will find out how to estimate total claims reserves while at the same time predicting errors and uncertainty are quantified. Accompanying datasets demonstrate all the techniques, which are easily implemented in a spreadsheet. A practical and essential guide, this book is a must-read in the light of the new solvency requirements for the whole insurance industry Precautionary Insurance Demand With State-Dependent Background Risk. Fei, Wenan; Schlesinger, Harris. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38129 Journal of Risk and Insurance (2008) 75 (1) : 1-16. URL: http://www3.interscience.wiley.com/journal/118510220/home

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Abstract: This article considers a zero-mean background risk that is uncorrelated with insurable losses, but is not necessarily statistically independent. In particular, the size of the background risk can vary in different insurable-loss states. We show how a prudent individual will buy either more insurance or less insurance than with no background risk, depending on the relative size of the background risk in the loss states vis--vis the no-loss states. If we consider two individuals, with one more risk averse than the other, we need to compare the intensities of their precautionary motives, in addition to their measures of risk aversion, before we can determine who buys more insurance coverage in the presence of the state dependent background risk. Generalized Linear Models for Insurance Data. De Jong, Piet; Heller, Gillian Z. - - Cambridge University Press, 2008. - (International Series on Actuarial Science). - No. pages: 206. Shelved at: online only [Faculty: 368.01 JON] 69355 URL: http://www.openathens.net/ Abstract: This is the only book actuaries need to understand generalized linear models (GLMs) for insurance applications. GLMs are used in the insurance industry to support critical decisions. Until now, no text has introduced GLMs in this context or addressed the problems specific to insurance data. Using insurance data sets, this practical, rigorous book treats GLMs, covers all standard exponential family distributions, extends the methodology to correlated data structures, and discusses recent developments which go beyond the GLM. The issues in the book are specific to insurance data, such as model selection in the presence of large data sets and the handling of varying exposure times. Exercises and data-based practicals help readers to consolidate their skills, with solutions and data sets given on the companion website. Although the book is packageindependent, SAS code and output examples feature in an appendix and on the website. In addition, R code and output for all the examples are provided on the website. The journal of risk and insurance : A 75-year historical perspective. Weiss, Mary A; Qiu, Joseph. - 2008. - No. pages: 22. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 69374 Journal of Risk and Insurance (2008) 75 (2) : 253-274. Abstract: This research provides a comprehensive historical analysis of articles published in The Journal of Risk and Insurance over the 75-year period from 1932 to 2006. Historical statistics are provided including the number of articles, number of authors per article, geographic location of contributors, leading contributors, author affiliation (industry or academic), the proportion of articles that are theoretical and empirical, and topics covered. Statistics relating to the entire 75-year period are provided as well as breakdowns by decade. The results indicate that the contributors to The Journal of Risk and Insurance have become more international over time, average article length and average number of authors per article have increased over time, and empirical articles appear more frequently than theoretical articles.

An extension or Arrow's results on optimal reinsurance contract. Kaluszka, Marek; Okolewski, Andrzej. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38287 Journal of Risk and Insurance (2008) 75 (2) : 275-288. Abstract: We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited stop loss and the truncated stop loss are the optimal contracts. A study of the interaction of insurance and financial markets : efficiency and full insurance coverage. PenalvaZuasti, Jose. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38289 Journal of Risk and Insurance (2008) 75 (2) : 313-342. Abstract: The first contribution of this article is to provide a framework, a model together with a corresponding equilibrium notion, suitable for the study of the interaction between insurance and dynamic financial markets. Our central result is that in equilibrium risk-averse agents purchase full insurance coverage, despite unfair insurance prices. We identify three conditions that explain this result: (1) insurance contracts are priced competitively, (2) financial prices include a risk premium

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only for undiversifiable risk, and (3) financial markets are effectively complete. An implication is that in this model disasters can be insured by fully assessable stock insurance companies. When is a coinsurance-type insurance policy inferior or even giffen? Hau, Arthur. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38290 Journal of Risk and Insurance (2008) 75 (2) : 343-364. Abstract: This article derives the necessary and sufficient conditions for a coinsurance-type insurance policy covering a particular risk to be inferior and to be Giffen. Mossin's decreasing absolute risk aversion assumption for insurance to be inferior is avoided. The result generalizes Hoy and Robson and Briys, Dionne, and Eeckhoudt's results to the case with a continuum of states and relaxes their assumption of constant relative risk aversion. It is shown that knowledge about the distribution of risk can be used to relax assumptions on an utility function for a coinsurance-type insurance policy to be inferior and to be Giffen. Can a coherent risk measure be too subadditive? Dhaene, J; Laeven, R J A; Vanduffel, S; Darkiewicz, Grzegorz; Goovaerts, Marc J. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38291 Journal of Risk and Insurance (2008) 75 (2) : 365-386. Abstract: We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall risk increases by a merger. We propose to complement the subadditivity condition by a regulator's condition. We find that for an explicitly specified confidence level, the Value-at-Risk satisfies the regulator's condition and is the "most efficient" capital requirement in the sense that it minimizes some reasonable cost function. Within the class of concave distortion risk measures, of which the elements, in contrast to the Value-at-Risk, exhibit the subadditivity property, we find that, again for an explicitly specified confidence level, the Tail-Value-at-Risk is the optimal capital requirement satisfying the regulator's condition. CAPM and option pricing with elliptically contoured distributions. Valdez, Emiliano A; Hamada, Mahmoud. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38292 Journal of Risk and Insurance (2008) 75 (2) : 387-409. Abstract: This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling asset returns. The class of elliptically contoured distributions, which includes the more familiar Normal distribution, provides flexibility in modeling the thickness of tails associated with the possibility that asset returns take extreme values with nonnegligible probabilities. As summarized in this article, this class preserves several properties of the Normal distribution. Within this framework, we prove a new version of Stein's lemma for this class of distributions and use this result to derive the CAPM when returns are elliptical. Furthermore, using the probability distortion function approach based on the dual utility theory of choice under uncertainty, we also derive an explicit form solution to call option prices when the underlying is logelliptically distributed. The BlackScholes call option price is a special case of this general result when the underlying is log-normally distributed. Risk measurement performance of alternative distribution functions. Bali, Turan G; Theodossiou, Panayiotis. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38293 Journal of Risk and Insurance (2008) 75 (2) : 411-437. Abstract: This paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box-Cox-GEV, and four skewed fat-tailed distributions, i.e., skewed generalized error distribution (SGED), skewed generalized t (SGT), exponential generalized beta of the second kind (EGB2), and inverse hyperbolic sign (IHS) in estimating conditional and unconditional value at risk (VaR) thresholds. The results provide strong evidence that the SGT, EGB2, and IHS distributions perform as well as the more specialized extreme value distributions in modeling the tail behavior of portfolio returns. All three distributions produce similar VaR thresholds and perform better than the SGED and the normal distribution in approximating the extreme tails of the return distribution. The conditional coverage and the out-of-sample performance tests show that the actual VaR thresholds are time varying to a

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degree not captured by unconditional VaR measures. In light of the fact that VaR type measures are employed in many different types of financial and insurance applications including the determination of capital requirements, capital reserves, the setting of insurance deductibles, the setting of reinsurance cedance levels, as well as the estimation of expected claims and expected losses, these results are important to financial managers, actuaries, and insurance practitioners. The role of internal capital markets in financial intermediaries: : evidence from insurer groups. Powell, Lawrence S; Sommer, David W; Eckles, David L. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38294 Journal of Risk and Insurance (2008) 75 (2) : 439-461. Abstract: We exploit the transparency of internal capital markets (ICMs) within insurance groups to investigate the activity and efficiency of ICMs within insurance groups. Specifically, we compare the relationship between internal capital transfers and investment to that between capital from other sources and investment. The ability to track the actual ICM transactions allows for more direct analysis of ICM activity than most previous studies. Consistent with theory, we find evidence that ICMs play a significant role in the investment behavior of affiliated insurers. We then use these detailed data to execute a more direct test of ICM efficiency than currently exists in the literature. Consistent with ICM efficiency, results suggest that capital is allocated to subsidiaries with the best expected performance. Foreign affiliates of the largest insurance groups: : location-specific advantages. Outreville, J Francois. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38295 Journal of Risk and Insurance (2008) 75 (2) : 463-491. Abstract: This article has two objectives. The first is the documentation of the relative importance of the largest insurance or reinsurance companies in the world and changes that may have occurred in the past 15 years. The second objective is to identify some of the factors that may explain the increased internationalization and most-favored locations of the world's largest insurance groups in transition and developing economies. The results of this study have important implications. First, they indicate that as expected, location-specific factors such as the size of a market, human capital, and good governance do provide an explication of the internationalization of insurance groups. Second, they also show that other factors, such as cultural distance, regulatory barriers, and competitiveness have a significant impact on the choice of countries. Explaining low annuity demand: : An optimal portfolio application to Japan. Purcal, Sachi; Piggott, John. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38296 Journal of Risk and Insurance (2008) 75 (2) : 493-516. Abstract: Using an optimizing financial planning model in the tradition of Merton and Richard we explore how individuals should determine their life insurance and annuity choices, given uncertainty about investment returns and mortality. Both consumption and bequests appear as arguments in the individual's preference function. The model explicitly recognizes the existence of social security in retirement, and of loadings on insurance premiums, due to administration costs in the life insurance and annuities markets. The model sheds light on the reasons for the thinness of voluntary life annuity markets worldwide. The relative importance of pre-existing annuitization through social security, the role of bequests, and premium loadings are quantitatively assessed within a single optimizing framework. Results are presented for a model specification calibrated to Japan. A remark on 'A shortcut way of pricing default risk through zero-utility principle' Li, Jingyuan. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38297 Journal of Risk and Insurance (2008) 75 (2) : 517-519. Abstract: This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition. Natural disaster insurance and the equity-efficiency trade-off. Picard, Pierre. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38298 Journal of Risk and Insurance (2008) 75 (1) : 17-38.

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Abstract: This article investigates the role of private insurance in the prevention and mitigation of natural disasters. We characterize the equity-efficiency trade-off faced by the policymakers under imperfect information about individual prevention costs. It is shown that a competitive insurance market with actuarial rate making and compensatory tax-subsidy transfers is likely to dominate regulated uniform insurance pricing rules or state-funded assistance schemes. The model illustrates how targeted tax cuts on insurance contracts can improve the incentives to prevention while compensating individuals with high prevention costs. The article highlights the complementarity between individual incentives through tax cuts and collective incentives through grants to the local jurisdictions where risk management plans are enforced. Estimating the cost of equity for property-liability insurance companies. Wen, Min-Ming; Martin, Anna D; Lai, Gene; O'Brien, Thomas J. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38302 Journal of Risk and Insurance (2008) 75 (1) : 101-124. Abstract: Due to the highly skewed and heavy-tailed distributions associated with the insurance claims process, we evaluate the Rubinstein-Leland (RL) model for its ability to improve the cost of equity estimates of insurance companies because of its distribution-free feature. Our analyses show that there is as large as a 94-basis-point difference in the estimated cost of insurance equity between the RL model and the capital asset pricing model (CAPM) for the sample of property-liability insurers with more severe departures from normality. In addition, consistent with our hypotheses, significant differences in the market risk estimates are found for insurers with return distributions that are asymmetrically distributed, and for small insurers. Third, we find significant performance improvements from using the RL model by showing smaller values of excess return of the expected return of the portfolio to the model return for a portfolio of insurers with returns that are more skewed and for a portfolio of small insurers. Finally, our panel data analysis shows the differences in the market risk estimates are significantly influenced by firm size, degree of leverage, and degree of asymmetry. The implication is that insurers should use the RL model rather than the CAPM to estimate its cost of capital if the insurer is small (assets size is less than $2,291 million), and/or its returns are not symmetrical (the value of skewness is greater than 0.509 or less than -0.509). Informational cascade in the insurance market. Seog, S Hun. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38304 Journal of Risk and Insurance (2008) 75 (1) : 145-165. Abstract: We develop an informational cascade model based on Bikhchandani, Hirshleifer, and Welch (1992) with applications to the insurance market. We investigate the existence of cascades and the effects of public information on cascades. We apply the results to insurance markets to explain how catastrophic events may lead to demand increases, how loss shocks may lead to insurance cycles, and how the heterogeneity of policyholders affects the choice of limited tort auto insurance in Pennsylvania. Pricing and hedging of discrete dynamic guaranteed funds. Tse, Wai-Man; Chang, Eric C; Li, Leong Kwan; Mok, Henri M K. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38305 Journal of Risk and Insurance (2008) 75 (1) : 167-192. Abstract: We derive a risk-neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We propose a dynamic hedging strategy by adding a gamma factor to the conventional delta. Simulation results demonstrate that, when hedging discretely, the risk-neutral gamma-adjusted-delta strategy outperforms the dynamic delta hedging strategy by reducing the expected hedging error, lowering the hedging error variability, and improving the self-financing possibility. The discrete dynamic delta-only hedging not only causes potential overcharge to clients but also could be costly to the issuers. We show that a naive application of continuous-time hedging formula to a discrete-time hedging setting tends to worsen these possibilities. On the feasibility of insurers' investment policies. Zweifel, Peter; Auckenthaler, Christoph. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38306 Journal of Risk and Insurance (2008) 75 (1) : 193-206. Abstract: This article calls attention to a difficulty with insurers' investment policies that seems to

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have been overlooked so far. There is the distinct possibility that insurers cannot satisfy the demands of different stakeholders in terms of expected returns and volatility. While using the capital asset pricing model as the benchmark, this article distinguishes two groups of stakeholders that impose additional constraints. One is "income security" in the interest of current beneficiaries and older workers; the other is "predictability of contributions" in the interest of contributing younger workers and sponsoring employers. It defines the conditions for which the combination of these constraints results in a lack of feasibility of investment policy. Minimum deviation from the capital market line is proposed as the performance benchmark in these situations. Evaluating liquidation strategies for insurance companies. Berry-Stlzle, Thomas R. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38307 Journal of Risk and Insurance (2008) 75 (1) : 207-230. Abstract: In this article, we examine liquidation strategies and asset allocation decisions for property and casualty insurance companies for different insurance product lines. We propose a cash-flowbased liquidation model of an insurance company and analyze selling strategies for a portfolio with liquid and illiquid assets. Within this framework, we study the influence of different bid-ask spread models on the minimum capital requirement and determine a solution set consisting of an optimal initial asset allocation and an optimal liquidation strategy. We show that the initial asset allocation, in conjunction with the appropriate liquidation strategy, is an important tool in minimizing the capital committed to cover claims for a predetermined ruin probability. This interdependence is of importance to insurance companies, stakeholders, and regulators. Catastrophic Losses and Insurer Profitability: Evidence From 9/11. Chen, Xuanjuan; Doerpinghaus, Helen; Lin, Bing-Xuan; Yu, Tong. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38131 Journal of Risk and Insurance (2008) 75 (1) : 39-62. Abstract: We examine the effects of 9/11 on the insurance industry, hypothesizing a short-run claim effect, resulting from insufficient premium ex ante for catastrophic losses, and a long-run growth effect, resulting from ex post insurance supply reductions and risk updating. Following Yoon and Starks (1995) we use short- and long-run abnormal forecast revisions to measure both effects, analyzing them as a function of firm-specific characteristics. We find that firm type, loss estimates, reinsurance use, and tax position are important determinants of the short-run position. Firm type, loss estimates, financial strength, underwriting risk, and reinsurance are key determinants of the firm's long-run position. Flood Hazards, Insurance Rates, and Amenities: Evidence From the Coastal Housing Market. Bin, Okmyung; Kruse, Jamie Brown; Landry, Craig E. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38132 Journal of Risk and Insurance (2008) 75 (1) : 63-82. Abstract: This study employs the hedonic property price method to examine the effects of flood hazard on coastal property values. We utilize Geographic Information System data on National Flood Insurance Program flood zones and residential property sales from Carteret County, North Carolina. Our results indicate that location within a flood zone lowers property value. Price differentials for flood risk and the capitalized value of flood insurance premiums are roughly equivalentboth exhibiting a nonlinear relationship in flood probability. Our results support the conclusion that flood zone designation and insurance premiums convey risk information to potential buyers in the coastal housing market. Litigation Patterns in Automobile Bodily Injury Claims 19771997: Effects of Time and Tort Reforms. Browne, Mark J; Schmit, Joan T. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38133 Journal of Risk and Insurance (2008) 75 (1) : 83-100. Abstract: This study uses data from the Insurance Research Council to investigate changes in the use of attorneys and in the filing of legal claims to resolve automobile third-party bodily injury claims between 1977 and 1997. We find results consistent with the general public perception that the use of attorneys and the filing of legal claims have increased over the study period. In addition, we find evidence that tort reforms enacted by the states have slowed the rates of increase in the use of attorneys and in the filing of legal claims to resolve automobile insurance claim disputes.

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The Wealth Effect of Demutualization: Evidence From the U.S. Property-Liability and Life Insurance Industries. Lai, Gene C; McNamara, Michael J; Yu, Tong. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38135 Journal of Risk and Insurance (2008) 75 (1) : 125-144. Abstract: This study examines the wealth effect of demutualization initial public offerings (IPOs) by investigating underpricing and postconversion long-run stock performance. Our results suggest that there is more "money left on the table" for demutualized insurers than for non-demutualized insurers. We show that higher underpricing for demutualized firms can be explained by greater market demand, market sentiment, and the size of the offering. Further, contrary to previous research reporting an average underperformance of industrial IPOs, we show that demutualization IPOs outperform non-IPO firms with comparable size and book-to-market ratios and non-demutualized insurers. We present evidence that the outperformance in stock returns is mainly attributable to improvement in post-demutualization operating performance and demand at the time of the IPOs. The combined results of underpricing and long-term performance suggest that the wealth of policyholders who choose stock rather than cash or policy credits is not harmed by demutualization. Stockholders who purchase demutualized company shares either during or after the IPO have earned superior returns. Our findings are consistent with the efficiency improvement hypothesis. Mean Reversion in Net Discount Ratios: A Study in the Context of Fractionally Integrated Models. Clark, Steven P; Coggin, T Daniel; Neale, Faith R. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38140 Journal of Risk and Insurance (2008) 75 (1) : 231-247. Abstract: This article introduces a new alternative to the ongoing debate about stationarity and mean reversion of the net discount ratio. Modeling the net discount ratio as a fractionally integrated (I(d)) process, we apply recently developed frequency domain estimation procedures and find evidence that the net discount ratio is an I(d) process with 1/2 = d < 1. Although nonstationary, such series behave like stationary processes in one interesting respect; they are mean-reverting. We present results from a simulation experiment suggesting that the finding of a nonstationary, but meanreverting net discount ratio generally supports the validity of current practice in estimating economic damages in personal injury litigation. Moreover, if recognized and accounted for, the presence of long memory in the net discount ratio even offers the potential to significantly improve forecasts of the present value of future earnings. Insurance company performance 2008 : A statistical summary of the top 250 UK insurers : Part 1. University of Nottingham Insurance Centre. - - London: - Thesys Information Ltd, 2008. - No. pages: 195. Shelved at: BU/ELCB (Oxf) 38394 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). On optimal insurance in the presence of moral hazard. Karni, Edi. Shelved at: Per: Geneva (Oxf) 38395 Geneva Risk and Insurance Review (2008) 33 (1) : 1-18. Abstract: This paper expounds on the importance of identifiability of subjective probabilities in agency theory with moral hazard. An application to insurance is examined. Keywords: moral hazard, agency theory, subjective probabilities The effect of pre-commitment and past-experience in insurance choices: an experimental study. Papon, Thomas. Shelved at: Per: Geneva (Oxf) 38397 Geneva Risk and Insurance Review (2008) 33 (1) : 47-73. Abstract: This paper reports results from an experimental study that investigates insurance behaviours in low-probability, high-loss risk situations. The study reveals that insurance behaviours may depend on the length of the commitment period of insurance policies, namely the period during which individuals commit themselves to maintain the same insurance decisions. The results of this

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study also seem to support the predictions of the Dual Theory concerning the demand for coinsurance policies, that is to say the preference of individuals for extreme (null or full) levels of insurance coverage. This study also suggests that prior risk occurrences influence subsequent insurance choices. The paper provides a new possible explanation about the puzzling fact that people usually fail to obtain insurance against disaster-type risks such as natural disasters, even when premiums are close to actuarially fair levels. Optimal Consumption and Insurance : A Continuous-time Markov Chain Approach. Kraft, Holger; Steffensen, Mogens. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 38423 ASTIN Bulletin (2008) 38 (1) : 231-257. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: Personal financial decision making plays an important role in modern finance. Decision problems about consumption and insurance are in this article modelled in a continuous-time multistate Markovian framework. The optimal solution is derived and studied. The model, the problem, and its solution are exemplified by two special cases: In one model the individual takes optimal positions against the risk of dying; in another model the individual takes optimal positions against the risk of losing income as a consequence of disability or unemployment. Posterior Regret G-Minimax Estimation of Insurance Premium in Collective Risk Model. BORATYNSKA, Agata. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 38425 ASTIN Bulletin (2008) 38 (1) : 277-291. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: The collective risk model for the insurance claims is considered. The objective is to estimate a premium which is defined as a functional H specified up to an unknown parameter (the expected number of claims). Four principles of calculating a premium are applied. The Bayesian methodology, which combines the prior knowledge about a parameter with the knowledge in the form of a random sample is adopted. Two loss functions (the square-error loss function and the asymmetric loss function LINEX) are considered. Some uncertainty about a prior is assumed by introducing classes of priors. Considering one of the concepts of robust procedures the posterior regret G-minimax premiums are calculated, as an optimal robust premiums. A numerical example is presented. Insurance company performance 2008 : A statistical summary of the top 250 UK insurers : Part 2. University of Nottingham Insurance Centre. - - London: - Thesys Information Ltd, 2008. - No. pages: 221. Shelved at: BU/ELCB (Oxf) [Faculty: 368 UNI] 38483 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Part II is divided into two main sections, with data taken from the FSA returns. Tables 17-24 show the UK premium income for general insurance, and tables 2533 show long term premium income, commissions and expenses, and an analysis of solvency for long term business. Threshold control of mutual insurance with limited commitment. Yan, Jia; Liu, John J; Li, Kevin X. Shelved at: Per: IME (Oxf) 38511 Insurance: Mathematics & Economics (2008) 43 (1) : 108-115. Abstract: We study the optimal premium policy of mutual insurance when the charged premium cannot be higher than a preset rate. We provide a complete solution to the problem and use numerical simulations to illustrate how the optimal premium policy responds to changes of outside factors. The results are useful for mutual insurance firms to design premium policies and can be used to test the behavior of these firms in empirical studies. Keywords: Stochastic programming; Mutual insurance; Threshold control; Limited commitment; Diffusion process

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Valuation of EquityLinked Insurance Using Risk Measures [abstract only] Gaillardetz, P. - 2008. Shelved at: Online only [Faculty: Online only] 38536 Actuarial Research Clearing House (ARCH) (2008) 1 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss1.aspx Abstract: In this talk, we consider the pricing of equity-indexed annuities using risk measures and present dynamic hedging strategies underlying these valuations. Since these products involve mortality as well as financial risks, we combine the actuarial and financial approaches to protect insurance companies against the unhedgeable mortality risk. First, risk measures are used to determine loaded premiums for equity-indexed annuities. Capital requirements are defined by applying the risk measure on the discounted future losses of the equity-linked insurance contract. Then, using the arbitrage-free theory we seek martingale mortality probabilities such that the fair value of the contract is equal to the capital requirement at time 0. Hence, given the martingale probabilities we can extract the underlying dynamic hedging strategy for the equity-linked products. However, these replicating portfolios are based on certain assumptions and produce discrete hedging errors since the underlying hedging strategies are not self-financing. Thus, the different risk measures obtained will be compared using their respective hedging errors. Fuzzy Clustering Study on the Structure of Insurance Policies [abstract only] Kou, Y. - 2008. Shelved at: Online only [Faculty: Online only] 38537 Actuarial Research Clearing House (ARCH) (2008) 1 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss1.aspx Abstract: In this study, we propose using a fuzzy clustering method for analyzing and classifying insurance policies. By identifying and comparing the similarities and dissimilarities among the vast number of insurance policies, this method can provide additional insights on the characteristics of these policies. This in turns can have important implications on improving the pricing of the existence policies and also on the underwriting of future insurance policies. The advantages of our proposed approach are demonstrated by using a simulated example. Possibilistic Modeling for Loss Distribution and Premium Calculation. Guo, L; Huang, Z. - 2008. Shelved at: Online only [Faculty: Online only] 38539 Actuarial Research Clearing House (ARCH) (2008) 1 URL: http://www.soa.org/news-and-publications/publications/proceedings/arch/arch-2008-iss1.aspx Abstract: This paper uses the possibility distribution approach to estimate the insurance loss amount. A special class of parametric possibility distributions is used to model insurance loss variables. The parameters of the possibility distribution are estimated by combining statistical analysis of sample data and domain knowledge provided by actuarial experts. Insurance premiums are calculated using possibilistic mean and possibilistic variation. Estimation of possibility distribution of aggregate loss amount is also discussed. Key word: insurance loss distribution, premium, possibility distribution, possibilistic mean, possibilistic variation, and aggregate loss amount Survival Analysis of a Household Portfolio of Insurance Policies: How Much Time Do You Have to Stop Total Customer Defection? Brockett, Patrick L; Golden, Linda L; Guillen, Montserrat; Nielsen, Jens Perch; Parner, Jan; Perez-Martin, Ana Maria. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38596 Journal of Risk and Insurance (2008) 75 (3) : 713-737. Abstract: Customer-side influences on insurance have been relatively ignored in the literature. Using the household as the unit of analysis, this article focuses on the behavior of households having multiple policies of different types with the same insurance company, and who cancel their first policy. How long after the household's cancellation of the first policy does the insurer have to retain the customer and avoid customer defection on all policies to the competition? And, what customer characteristics are associated with customer loyalty? Using logistic regression and survival analysis techniques, an assessment is made of the probability of total customer withdrawal, and the length of time between first cancellation and subsequent customer withdrawal. Using a European database spanning 54 months of household multiple policyholder behavior, the results show that cancellation of one policy is a very strong indicator that other household policies will be canceled. Further, the insurer can have time to react to retain the customer after the first cancellation, however, this time is significantly dependent on the method used to contact the company, household demographics, and

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the nature of the household's insurance policy portfolio. Surprisingly, core customers having three or more policies in addition to the canceled policy are more vulnerable to total defection on all policies than noncore customers. Further, the potential customer repelling effects of premium increases seem to wear out after 12 months. Strategic implications of the results are presented. UK Insurance - Key facts. Association of British Insurers. - - London: - Association of British Insurers, 2008. No. pages: 16. Shelved at: online only 38621 URL: http://www.abi.org.uk/BookShop/ResearchReports/Key%20facts%202008.pdf Abstract: Key facts about the UK insurance industry and its contribution both to the economy and society. Unless otherwise specified, figures relate to 2007. A simple model of insurance market dynamics. Taylor, Greg C. - - Victoria: - University of Melbourne, 2008. (Centre for Actuarial Studies, University of Melbourne, Research Paper no. 167). - No. pages: 33. Shelved at: BU/JH pam (Oxf) [Faculty: UNI/MEL] 69383 URL: http://www.economics.unimelb.edu.au/actwww/wps2008.shtml Abstract: The purpose of the paper is to construct and study a simple but realistic model of an insurance market. The model has a minimalist construction in the sense that the number of parameters defining it is strictly limited and the elimination of any one of them would destroy its realism. There are, in fact, 11 essential parameters. Each of the parameters has a physical interpretation. Some determine competitive effects within the market, some barriers to entry, and so on. The effect of each on various aspects of the market is examined in the presence of simulated loss experience. The aspects of the market considered include stability of premium rates, profitability, market concentration, and others. Some of the parameters are capable of use as regulatory controls. Two parameters, in addition to the original 11, are explicit price controls. Despite its simplicity, the model displays considerably complex behaviour. Some results are intuitive but some are not. For this reason, regulatory controls need to be applied with great caution lest they induce perverse effects, possibly even the reverse of those intended. The effect of the parameters on market behaviour is first studied in the absence of catastrophic events from the loss experience. Subsequently, the effect of a single such event is studied. Adverse selection with frequency and severity risk: alternative risk-sharing provisions. Ligon, James A; Thistle, Paul D. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38771 Journal of Risk and Insurance (2008) 75 (4) : 825-846. Abstract: The analysis considers an insurance market with adverse selection where individuals' loss distributions may differ with respect to both the frequency and severity of loss. We show that the combination of deductibles and coinsurance can be used to sort rationed policyholders. Because of their screening properties, coinsurance and deductibles may both be equilibrium forms of risk sharing for a particular insurer facing asymmetric information, with different rationed consumers choosing different risk-sharing provisions. Market risk, interest rate risk, and interdependencies in insurer stock returns : a system-GARCH model. Carson, James M; Elyasiani, Elyas; Mansur, Iqbal. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38773 Journal of Risk and Insurance (2008) 75 (4) : 873-891. Abstract: We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident and health (A&H) insurers, followed by life (Life) and property and casualty (P&C) insurers; interest rate sensitivity is negative and greatest for Life insurers; and interdependencies in returns are significant with the magnitude being strongest between P&C and A&H insurers. The implication is that greatest diversification benefits arise between Life and the other segments of the insurance industry. Market risk and interest rate risk for diversified firms are smaller than those for nondiversified firms for both product and geographic diversification.

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Does insurance market activity promote economic growth? : A cross-country study for industrialized and developing countries. Arena, Marco. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38775 Journal of Risk and Insurance (2008) 75 (4) : 921-946. Abstract: Insurance market activity may contribute to economic growth, both as financial intermediary and provider of risk transfer and indemnification, by allowing different risks to be managed more efficiently and by mobilizing domestic savings. During the last decade, there has been faster growth in insurance market activity, particularly in emerging markets, given the process of financial liberalization and integration, which raises questions about the overall impact on economic growth. This article tests whether there is a causal relationship between insurance market activity (life and nonlife insurance) and economic growth. Using the generalized method of moments (GMM) for dynamic models of panel data for 55 countries between 1976 and 2004, I find robust evidence for this relationship. Both life and nonlife insurance have a positive and significant causal effect on economic growth. For life insurance, high-income countries drive the results, and for nonlife insurance, both high-income and developing countries drive the results. Capitalizing on catastrophe : short selling insurance stocks around hurricanes Katrina and Rita. Blau, Benjamin M; van Ness, Robert A. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38777 Journal of Risk and Insurance (2008) 75 (4) : 967-996. Abstract: We develop several hypotheses regarding short-selling activity around Hurricanes Katrina and Rita. We find that abnormal short selling does not increase until 2 trading days after the landfall of Katrina and that short-selling activity is much more significant around Rita. We find a substantial increase in short-selling activity in the trading days prior to the landfall of Rita and relatively less short-selling activity in the trading days after landfall. There is little evidence that suggests that traders short insurance stocks with more potential exposure in the Gulf region than other insurance stocks in the days before landfall. Loss coverage as a public policy objective for risk classification schemes. Thomas, R Guy. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38778 Journal of Risk and Insurance (2008) 75 (4) : 997-1018. Abstract: This article suggests that from a public policy perspective, some degree of adverse selection may be desirable in some insurance markets. The article suggests that a public policymaker should consider the criterion of "loss coverage," and that in some markets a policymaker may wish to regulate risk classification with a view to increasing loss coverage. Either too much or too little risk classification may reduce loss coverage. The concept is explored by means of examples and formulaic and graphical interpretations. An application to the UK life insurance market is considered. Consumption externality and equilibrium underinsurance. Huang, Rachel J; Tzeng, Larry Y. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 38780 Journal of Risk and Insurance (2008) 75 (4) : 1039-1054. Abstract: Relative consumption has been found to be crucial in many areas, such as asset pricing, the design of taxation, and economic growth. This article extends this line of research to the individual's insurance decision. We first define "keeping up with the Joneses" in the purchase of insurance and find that jealousy does not necessarily give rise to "keeping up with the Joneses." We also identify several sufficient conditions that cause the optimal coverage in the private market to be less than the social optimum (equilibrium underinsurance). Jealousy is found to be neither a sufficient nor a necessary condition for equilibrium underinsurance. We further show that a social welfare maximizing government could adopt a tax system to correct for the consumption externality and make individuals better off. Uncertainty management and forecasting in morbidity modelling. Robjohns, Neil; Coverson, Joan; Quantitative Finance Network. - 2008. Shelved at: online only [Faculty: online only] 38794 URL: http://www.actuaries.org.uk/research-and-resources/documents/uncertainty-management-andforecasting-morbidity-modelling

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Abstract: Estimates of morbidity and their uncertainties are currently used in variety of insurance products to structure policies and to price products. The overall aim is to provide policy holders with a high degree of certainty that their claims will be met, and to provide shareholders with the ability to assess expected returns and their uncertainty. A key aspect of the generic challenge to the Study Group lies in the nature of recorded data upon which estimates of morbidity may be based. Such data is heterogeneous and, at the detailed level, sparse particularly in causal subsets, parameterised by a wide range of human, social, economic, institutional and other factors affecting morbidity. While there are large public datasets at the highest level of integration or aggregation (necessary to preserve confidentiality of contributing institutions), morbidity estimates based on such datasets do not necessarily reflect morbidity in individuals with policies from a given company. Individual companies therefore face the challenge of combining their own detailed though often relatively sparse data with larger aggregated data to best design and administer policies that meet their obligations to both policyholders and shareholders. The Study Group was presented with two particular examples of insurance; namely, Critical Illness and Income Protection, and it was asked to suggest appropriate methods for insurance companies to improve their estimates of morbidity along with measures of its uncertainty for use in their planning and administration of policies. Background risk and the performance of insurance markets under adverse selection . Crocker, Keith J; Snow, Arthur. Shelved at: Per: Geneva (Oxf) 38801 Geneva Risk and Insurance Review (2008) 33 (2) : 137-160. Abstract: Background risk can influence the performance of insurance markets that must deal with adverse selection when applicants are risk vulnerable, since they are more averse to bearing the insurable risk as a result of their exposures to background risk. We show that background risk always results in a lower deductible for the incentive constrained contract, and that a broader range of markets attains the stable sequential equilibrium cross-subsidized pair of separating contracts. We conclude that background risk always improves the performance of markets for coverage against (insurable) foreground risks that must deal with adverse selection. We also find, however, that these improvements are never sufficient to offset the cost to insureds of bearing the background risk.

Optimal Insurance and Reinsurance Policies in the Risk Process. Golubin, A Y. Shelved at: Per: Astin Bull (Oxf) [Faculty: JOU/AST] 38802 ASTIN Bulletin (2008) 38 (2) : 383-397. URL: http://www.actuaries.org/index.cfm?lang=EN&DSP=PUBLICATIONS&ACT=ASTIN_BULLETIN Abstract: The paper examines a classical risk model where both insurance and reinsurance policies are chosen by the insurer in order to minimize the expected maximal loss. We show that the optimal control problem reduces to a static case. We found that the optimal reinsurance is excess of loss reinsurance and describe the set optimal insurance policies. Such a policy providing the minimal variance of the risk left with insured turns out to be a combination of stop loss and deductible policies. The results are illustrated by two numerical examples. Application of tort in liability insurance. Chattoraj, Abhijeet K. Shelved at: Per: Bimaquest (Oxf) 38886 Bimaquest (2009) 9 (1) : 20-26. Abstract: This article discusses various torts vis-a-vis liability insurance and their application in the Indian market. Tort is one of the chief sources of most liability losses. Scenario analysis in insurance. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 26. [Faculty: SIG/SWI] 69444 Sigma (2009) 1 URL: http://www.swissre.com/resources/bbe421004d1a73a9ad5fed6fbe56bb6a-sigma1_2009_e.pdf Abstract: Insurers are increasingly using scenario analysis to evaluate multiple risks, but the industry could do more to fully exploit state-of-the-art approaches.

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What I learned as a regulator. Vaughan, Therese M. - 2009. - No. pages: 9. [Faculty: RIS/MAN] 69450 Risk Management and Insurance Review (2009) 12 (1) : 1-9. Abstract: Presidential Address at the August 2008 annual meeting of the American Risk and Insurance Association in Portland, Oregon. Influential articles, journals and institutions in risk management and insurance. Chan, Kam C; Liano, Kartono. 2009. - No. pages: 15. [Faculty: RIS/MAN] 69456 Risk Management and Insurance Review (2009) 12 (1) : 125-139. Abstract: We use a threshold citation approach to measure the influence of articles, journals, and institutions in risk management and insurance research. The three frequently cited articles in risk management and insurance research are "Increasing Risk: I. A Definition" by Rothschild and Stiglitz (1970), "Precautionary Saving in the Small and in the Large" by Kimball (1990), and "Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information" by Rothschild and Stiglitz (1990). Journal of Risk and Insurance, Econometrica, and Journal of Political Economy are the three influential journals in risk management and insurance research. Furthermore, the five influential institutions in risk management and insurance research are the University of Pennsylvania, Harvard University, the University of Rochester, the University of Michigan, and Massachusetts Institute of Technology.

Pricing a heterogeneous portfolio based on a demand function. Zaks, Yaniv; Frostig, Esther; Levikson, Benny. - 2008. - No. pages: 10. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69467 North American Actuarial Journal (2008) 12 (1) : 65-73. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/january/naaj-2008-vol12-no1frostig-levikson.pdf Abstract: Consider a portfolio containing a number of risk classes. Each class has its own demand function, which determines the number of insureds in this class as a function of the premium. The insurer determines the premiums based on the number of insureds in each class. The market reacts by updating the number of the policyholders, then the insurer updates the premium, and so on. We show that this process has an equilibrium point, and then we characterize this point. Recursive calculation of the dividend moments in a multithreshold risk model. Badescu, Andrei; Landriault, David. - 2008. - No. pages: 16. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69468 North American Actuarial Journal (2008) 12 (1) : 74-88. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/january/naaj-2008-vol12-no1badescu-landriault.pdf Abstract: In this article, we consider the class of risk models with Markovian claim arrivals studied by Badescu et al. (2005) and Ramaswami (2006), among others. Under a multi-threshold dividend structure, we develop a recursive algorithm for the calculation of the moments of the discounted dividend payments before ruin. Capitalizing on the connection between an insurers surplus process and its corresponding fluid flow process, our approach generalizes results obtained by Albrecher and Hartinger (2007) and Zhou (2006) in the framework of the classical compound Poisson risk model (with phase-type claim sizes). Contrary to the traditional analysis of the discounted dividend payments in risk theory, we develop a sample-path-analysis procedure that allows the determination of these moments with or without ruin occurrence (separately). Numerical examples are then considered to illustrate our main results and show the contribution of each component to the moments of the discounted dividend payments. Estimating the probability of a rare event via elliptical copulas. Peng, Liang. - 2008. - No. pages: 13. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69473 North American Actuarial Journal (2008) 12 (2) : 116-128.

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URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2peng.pdf Abstract: A rare event happens with an extremely small probability but may cost billions of dollars. How to model and estimate the small probability of such an event is of importance to the insurance industry. Based on multivariate extreme value theory, methods have been proposed to extrapolate data into a far tail region. However, questions still remain open, such as the direction of extrapolation for a multivariate distribution and threshold selection for both marginals and the tail dependence function. In this paper we provide a way to estimate the probability of a rare event via modeling marginals and dependence by heavy tailed distributions and elliptical copulas, respectively. Hence, the direction of extrapolation becomes irrelevant. Moreover we employ recent threshold selection procedures to choose tuning parameters automatically. Modeling insurance claims with extreme observations: transformed Kernel density and generalized Lambda distribution. Balasooriya, Uditha; Low, Chan Kee. - 2008. - No. pages: 14. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69474 North American Actuarial Journal (2008) 12 (2) : 129-142. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2balasooriya.pdf Abstract: In modeling insurance claims, when there are extreme observations in the data, the commonly used loss distributions often are able to fit the bulk of the data well but fail to do so at the tail. One approach to overcome this problem is to focus on the extreme observations only and model them with the generalized Pareto distribution, as supported by extreme value theory. However, this approach discards useful information about the small and medium-sized claims, which is important for many actuarial purposes. In this article we consider modeling large skewed data using a highly flexible distribution, the generalized lambda distribution, and the recently proposed semiparametric transformed kernel density estimation. Our results suggest that both these approaches are credible options for the investigator when modeling insurance claims data that typically contain large extreme observations. In addition, even at the extreme tails they perform well when compared with the generalized Pareto distribution. Ruin minimization for insurers with borrowing constraints. Luo, Shangzen. - - No. pages: 32. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69475 North American Actuarial Journal (2008) 12 (2) : 143-174. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2luo.pdf Abstract: We consider an optimal dynamic control problem for an insurance company with opportunities of proportional reinsurance and investment. The company can purchase proportional reinsurance to reduce its risk level and invest its surplus in a financial market that has a BlackScholes risky asset and a risk-free asset. When investing in the risk-free asset, three practical borrowing constraints are studied individually: (B1) the borrowing rate is higher than lending (saving) rate, (B2) the dollar amount borrowed is no more than K > 0, and (B3) the proportion of the borrowed amount to the surplus level is no more than k > 0. Under each of the constraints, the objective is to minimize the probability of ruin. Classical stochastic control theory is applied to solve the problem. Specifically, the minimal ruin probability functions are obtained in closed form by solving HamiltonJacobi-Bellman (HJB) equations, and their associated optimal reinsurance-investment policies are found by verification techniques. Prediction error of the multivariate chain ladder reserving method. Merz, Michael; Wthrich, Mario V. - 2008. No. pages: 23. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (Lon) [Faculty: NOR/AME] 69476 North American Actuarial Journal (2008) 12 (2) : 175-197. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/april/naaj-2008-vol12-no2-merzwuthrich.pdf Abstract: In this paper we consider the claims reserving problem in a multivariate context: that is, we study the multivariate chain-ladder (CL) method for a portfolio of N correlated runoff triangles based

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on multivariate age-to-age factors. This method allows for a simultaneous study of individual runoff subportfolios and facilitates the derivation of an estimator for the mean square error of prediction (MSEP) for the CL predictor of the ultimate claim of the total portfolio. However, unlike the already existing approaches we replace the univariate CL predictors with multivariate ones. These multivariate CL predictors reflect the correlation structure between the subportfolios and are optimal in terms of a classical optimality criterion, which leads to an improvement of the estimator for the MSEP. Moreover, all formulas are easy to implement on a spreadsheet because they are in matrix notation. We illustrate the results by means of an example. A simple model of insurance market dynamics. Taylor, Greg. - 2008. - No. pages: 21. Shelved at: Per: NAAJ (Oxf) Per: NAAJ (LON) [Faculty: NOR/AME] 69483 North American Actuarial Journal (2008) 12 (3) : 242-262. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2008/july/naaj-2008-vol12-no3taylor.pdf Abstract: This paper constructs and studies a simple but realistic model of an insurance market. The model has a minimalist construction in the sense that the number of parameters defining it is strictly limited and the elimination of any one of them would destroy its realism. There are 11 essential parameters. Each of the parameters has a physical interpretation. Some determine competitive effects within the market, some barriers to entry, and so on. The effect of each on various aspects of the market is examined in the presence of simulated loss experience. The aspects of the market considered include stability of premium rates, profitability, and market concentration. Some of the parameters are capable of use as regulatory controls. Two parameters, in addition to the original 11, are explicit price controls. Despite its simplicity, the model displays considerably complex behavior. Some results are intuitive, but some are not. For this reason, regulatory controls need to be applied with great caution lest they induce perverse effects, possibly even the reverse of those intended. The effect of the parameters on market behavior is first studied in the absence of catastrophic events from the loss experience. Subsequently, the effect of a single such event is studied. Natural catastrophes and man-made disasters in 2008: North America and Asia suffer heavy losses. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 41. [Faculty: SIG/SWI] 69494 Sigma (2009) 2 URL: http://www.swissre.com/resources/dd6346004d4e9669ac76eecedd316cf3-sigma2_2009_e.pdf Contents: Executive summary -- Overview of catastrophes in 2008 -- Natural catastrophe insurance in Asia set to grow -- How do reinsurers protect insurers from catastrophe losses? -- Table for reporting year 2008 -- Tables showing the major losses 1970-2008 -- Terms and selection criteria Securitization of longevity risk in reverse mortgages. Wang, Liang; Valdez, Emiliano A; Piggott, John. - 2008. - No. pages: 27. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 69496 North American Actuarial Journal (2008) 12 (4) : 345-371. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: The reverse mortgage market has been expanding rapidly in developed economies in recent years. The onset of demographic transition places a rapidly rising number of households in an age window in which reverse mortgages have potential appeal. Increasing prices for residential real estate over the last decade have further stimulated interest. Reverse mortgages involve various risks from the provider's perspective that may hinder the further development of these financial products. This paper addresses one method of transferring and financing the risks associated with these products through the form of secularization. Securitization is becoming a popular and attractive alternative form of risk transfer of insurance liabilities. Here we demonstrate how to construct a secularization structure for reverse mortgages similar to the one applied in traditional insurance products. Specifically, we investigate the merits of developing survivor bonds and survivor swaps for reverse mortgage products. In the case of survivor bonds, for example, we are able to compute premiums, both analytically and numerically through simulations, and to examine how the longevity risk may be transferred to the financial investors. Our numerical calculations provide an indication of the economic benefits derived from developing survivor bonds to securitize the 'longevity risk component' of reverse mortgage products. Moreover, some sensitivity analysis of these economic

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benefits indicates that these survivor bonds provide for a promising tool for investment diversification.

Management of catastrophic risks considering the existence of early warning systems. Flores, Claudia. - - No. pages: 25. Shelved at: Per: SAJ (Oxf) [Faculty: SCA/ACT] 69507 Scandinavian Actuarial Journal (2009) 1 : 38-62. Abstract: It is crucially important to incorporate the notion of early warning systems in insurance mathematics. We develop the theory of an arrival process taking into account an early warning system, and we use it to create appropriate actuarial models. Then, we formulate a stochastic optimization problem to find an investment strategy for the management of a fund from the perspective of a risk-averse government. The solution is given using the Follmer-Schweizer strategy. Keywords: Early warning system; Government; Arrival process; Risk reserve; Stochastic optimization Optimal management of an insurer's exposure in a competitive general insurance market. Emms, Paul; Haberman, Steven. - 2009. - No. pages: 29. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 69512 North American Actuarial Journal (2009) 13 (1) : 77-105. URL: http://www.soa.org/library/journals/north-american-actuarial-journal/2009/no-01/naaj-2009-vol13-no1emms.pdf Abstract: The qualitative behavior of the optimal premium strategy is determined for an insurer in a finite and an infinite market using a deterministic general insurance model. The optimization problem leads to a system of forward-backward differential equations obtained from Pontryagins Maximum Principle. The focus of the modelling is on how this optimization problem can be simplified by the choice of demand function and the insurers objective. Phase diagrams are used to characterize the optimal control. When the demand is linear in the relative premium, the structure of the phase diagram can be determined analytically. Two types of premium strategy are identified for an insurer in an infinite market, and which is optimal depends on the existence of equilibrium points in the phase diagram. In a finite market there are four more types of premium strategy, and optimality depends on the initial exposure of the insurer and the position of a saddle point in the phase diagram. The effect of a nonlinear demand function is examined by perturbing the linear price function. An analytical optimal premium strategy is also found using inverse methods when the price function is nonlinear. Bancassurance : tapping into the banking strength. Teunissen, Mark. Shelved at: Per: Geneva (Oxf) 39037 Geneva Papers on Risk and Insurance (2008) 33 (3) : 408-417. Abstract: One of the most significant changes in the financial services sector over the past few years has been the appearance and development of bancassurance. Indeed, the distribution of insurance products through banks is gradually becoming widespread in many parts of the world. This article aims to shed more light on this emerging distribution channel. Although bancassurance has not developed at an equal pace throughout the world, it is evident that it provides clear benefits for insurers, banks and customers and is expected to continue to grow. The fatal error of Solvency II. Huerta de Soto, Jesus. Shelved at: online only [Faculty: online only] 69728 The Actuary (2008) December URL: http://www.the-actuary.org.uk Abstract: Jess Huerta de Soto provides a critical assessment of the Solvency II regime Healthcare: What's up doc? Burge, Amanda. Shelved at: online only [Faculty: online only] 69736 The Actuary (2008) October URL: http://www.the-actuary.org.uk Abstract: One rabbit was enough to pollute the tap water in Northamptonshire. Amanda Burge

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observes how cryptosporidium outbreaks should have limited effects on public health, but can still cause significant losses for water authorities and insurers Insurance: Capital modelling controls. Bonnard, Rodney; Hancock, Andrew; Gallagher, Chris. Shelved at: online only [Faculty: online only] 69745 The Actuary (2008) July URL: http://www.the-actuary.org.uk Abstract: Rodney Bonnard, Andrew Hancock and Chris Gallagher discuss the increasing need for a robust assurance environment surrounding capital modelling Insurance: In case of injury. Brockman, Mike. Shelved at: online only [Faculty: online only] 69746 The Actuary (2008) June URL: http://www.the-actuary.org.uk Abstract: Mike Brockman describes some of the key challenges in conducting the fourth UK Bodily Injury Awards Study, and how they were addressed Insurance: Ambiguity aversion (part II) Clarke, Daniel. Shelved at: online only [Faculty: online only] 69749 The Actuary (2008) May URL: http://www.the-actuary.org.uk Abstract: Daniel Clarke, the first actuary to qualify through SA0, concludes his article on ambiguity aversion Insurance: Rate monitoring. Shelved at: online only [Faculty: online only] 69756 The Actuary (2008) March URL: http://www.the-actuary.org.uk Abstract: Paul Johnson compares the different approaches to monitoring rate changes Insurance statistics yearbook 1999-2008. Organisation for Economic Co-operation and Development. - - Paris: - OECD, 2010. Shelved at: Strg box OX2; BU/735 39154 Abstract: This annual publication contains time series of insurance statistics. It contains international comparisons, and tables and methodological notes by country. Insurance company performance 2009 : A statistical summary of the top 250 UK insurers : Part 1. Centre for Risk and Insurance Studies Nottingham University. - - Nottingham: - Nottingham University Business School, 2008. - No. pages: 162. Shelved at: Strg box OX1; BU/ELCB (Oxf) 39235 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Insurance company performance 2009 : A statistical summary of the top 250 UK insurers : Part 2. Centre for Risk and Insurance Studies Nottingham University. - - London: - Thesys Information Ltd, 2009. - No. pages: 221. Shelved at: BU/ELCB (Oxf) 39236 Abstract: Detailed statistical summary of the performance of over 300 UK-regulated insurance companies. It uses data extracted from companies' Annual Reports & Accounts and from returns to the Financial Services Authority (FSA). Part II is divided into two main sections, with data taken from the FSA returns. Tables 17-24 show the UK premium income for general insurance, and tables 25-

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33 show long term premium income, commissions and expenses, and an analysis of solvency for long term business. Challenges of Solvency II implementation : Preparing for IT implementation of Solvency II regulations in insurance companies. Rusalovskiy, Artem. - - Germany: - VDM Verlag Dr Mller Aktiengesellschaft & Co. KG, 2008. - No. pages: 123. [Faculty: 368 RUS] 69771 Contents: Introduction 1. Solvency II and risk modelling 1.1 Overview of future Solvency II regulation 1.2 Introduction to risks and risk modelling 2. Pragmatic approaches to risk modelling 2.1 Underwriting risk - life 2.2 Underwriting risk - non-life 2.3 Credit risk 2.4 Market risk 2.5 Operational risk 2.6 Correlations between risks 2.7 Use of scenarios 2.8 Calculation of overall risk 3. Preparatory measures and requirements for the implementation of Solvency II 3.1 Introduction 3.2 Formulation of business requirements for the implementation of an internal model World insurance in 2008: life premiums fall in the industrialised countries - strong growth in the emerging countries. Swiss Reinsurance Company. - - Zurich: - Swiss Reinsurance Company, 2009. [Faculty: SIG/SWI] 69778 Sigma (2009) 3 URL: http://www.swissre.com/pws/research%20publications/sigma%20ins.%20research/sigma_no_3_2009.html Contents: Executive summary 2. Global economy: in the wake of the global financial crisis 3. World insurance: premiums and the industry's capital fall 4. Industrialised countries: life business contracts, non-life more resilient 5. Emerging markets: robust growth continued in most markets 6. Methodology and data 7. Statistical appendix Health care insurance in Japan : Beyond a binary vision of State and family. Naito, Kusuto. Shelved at: Per: ISSR (Oxf) 39261 International Social Security Review (2009) 62 (3) : 49-77. Abstract: Despite significant regional diversity in household structures and the existence of community solidarity in Japan, caring for elderly dependent persons has traditionally been considered an exclusively family, and female, responsibility. However, as a result of sociodemographic changes during the second half of the twentieth century, a public system of health care insurance was introduced in 2000. The objective of this development was to "socialize" family and female care activities. This article presents a critical analysis of Japan's health care insurance system and the context that gave rise to its introduction. An important issue is whether the system meets the needs of the elderly and their carers (family and non-family). A further issue is whether the system can take account of regional diversity, diversity in household situations (above and beyond financial concerns), and societal values and beliefs. The article concludes by arguing that demographic ageing presents a societal requirement for the ongoing adjustment of behaviour patterns and living arrangements. A robustification of the chain-ladder method. Verdonck, Tim; Van Wouwe, Martine; Dhaene, Jan. - 2009. Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 69808 North American Actuarial Journal (2009) 13 (2) : 280-298. URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx

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Abstract: In a non-life insurance business an insurer often needs to build up a reserve to be able to meet his or her future obligations arising from incurred but not reported completely claims. To forecast these claims reserves, a simple but generally accepted algorithm is the classical chainladder method. Recent research essentially focused on the underlying model for the claims reserves to come to appropriate bounds for the estimate of future claims reserves. Our research concentrates on scenarios with outlying data. On closer examination it is demonstrated that the forecasts for future claims reserves are very dependent on outlying observations. The paper focuses on two approaches to robustify the chain-ladder method: the first method detects and adjusts the outlying values, whereas the second method is based on a robust generalized linear model technique. In this way insurers will be able to find a reserve that is similar to the reserve they would have found if the data contained no outliers. Because the robust method flags the outliers, it is possible to examine these observation for further examination. For obtaining the corresponding standard errors the bootstrapping technique is applied. The robust chain-ladder method is applied to several run-off triangles with and without outliers, showing its excellent performance. On some mixture distributions and their extreme value behavior. Jho, Jae Hoon; Kaishev, Vladimir. - - London: - City University School of Mathematics, 2008. - (Actuarial Research Paper, City University, No 185). - No. pages: 36. 69923 URL: http://www.cass.city.ac.uk/facact/research/reports/185ARP.pdf Abstract: Modelling tail behavior of insurance risks with extreme value theory has been investigated by numerous authors in the past. Motivated by the excess of loss reinsurance contract, in this paper we introduce three mixture distribution models in the context of general insurance applications: i) the layer mixture model; ii) the linear mixture model; iii) the conditional layer mixture model, associated with a sequence of thresholds. We examine the asymptotic tail behavior of each mixture model with respect to the maximum domain of attraction of the distributional components. We show that the hazard rate function of the mixture distribution possesses some similarity in terms of mixing its components: the hazard rate function of a conditional layer mixture distribution is a simple mixture of the hazard rate functions of the distributional components, and hence the conditional layer mixture distribution can be easily obtained by mixing hazard rate functions, which is a unique property among all mixture models. Further we generalize the conditional layer mixture model to the infinite conditional layer mixture model which provides a possible solution to the threshold selection problem. A mixture distribution of continuously varying distributional components can be modeled by the limiting distribution of the infinite conditional layer mixture distribution and the resulting limiting distribution is differentiable if each distributional component is differentiable. (Re)insurance applications and numerical illustrations are also provided. Keywords: Mixture distributions; Maximum domain of attractions; Extreme value distributions; Hazard rate functions The predictive distribution for a Poisson claims model. Barnett, Glen; Tong, Angela. - - Sydney: - Macquarie University, 2008. - (Department of Actuarial Studies, Macquarie University, Research Paper no. 2008/01). No. pages: 17. Shelved at: online only [Faculty: online only] 69958 URL: http://www.acst.mq.edu.au/research/research_papers Abstract: We give a derivation of the frequentist predictive distribution for a simple Poisson model, show how this simple model may be adapted to fit a claim count triangle, and demonstrate how the predictive distribution of aggregates of future claim counts may be computed for the adapted model. Quantiles and prediction intervals are readily obtained. Quasi-Poisson models for incremental paid losses are commonly used in reserving and risk capital calculations. The results in this paper may readily be extended to that situation for a similar model to the one applied to claim counts. Risky Business: Insurance and Society. Haste, Andy. - - London: - Chartered Insurance Institute. CII, 2009. No. pages: 4. Shelved at: online only [Faculty: online only] 39353 URL: http://www.cii.co.uk/downloaddata/TP23_HasteRSA_Managing_Risk_18Aug2009.pdf Abstract: This article, the first of a series of four on risk and insurance, explores the basic elements of risk management, the value it can add to peoples freedom and choices and the future challenges that insurers face in taking on and assessing levels of risk. Insurance provides an important and

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often forgotten social value to consumers and businesses. Its benefits range from providing security in the face of potentially catastrophic losses at home or abroad to providing freedom from liability allowing firms to explore new and dynamic fields. While the basic principle of providing peace of mind has stayed the same for over 300 years, the processes for doing this have become increasingly sophisticated. New techniques such as accurate flood mapping and telematics technology have resulted in more competitive propositions in both commercial and personal lines. Insurance has also had the effect of influencing behaviour, such as incentivising safer or more climate-friendly consumers or more sustainable business practices. Looking ahead, insurers and government will need to develop mutual working and understanding. In the area of climate change, underwriters must contend with the need to develop realistic risk modelling for related scenarios despite not being aware of their full impact or likelihood. Meanwhile, policymakers must consider the unintended consequences that otherwise well-intentioned legislation could hold for insurers. Measurement and transfer of catastrophic risks : A simulation analysis. De Alba, Enrique; Zuniga, Jesus; Corzo, Marco A. Ramrez. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-03). - No. pages: 22. Shelved at: Online only [Faculty: Online only] 69977 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: When analyzing catastrophic risk, traditional measures for evaluating risk, such as the probable maximum loss (PML), value at risk (VaR), tail-VaR , and others, can become practically impossible to obtain analytically in certain types of insurance, such as earthquake, and certain types of reinsurance arrangements, specially nonproportional with reinstatements. Given the available information, it can be very difficult for an insurer to measure its risk exposure. The transfer of risk in this type of insurance is usually done through reinsurance schemes combining diverse types of contracts that can greatly reduce the extreme tail of the cedants loss distribution. This effect can be assessed mathematically. The PML is defined in terms of a very extreme quantile. Also, under standard operating conditions, insurers use several layers of non proportional reinsurance that may or may not be combined with some type of proportional reinsurance. The resulting reinsurance structures will then be very complicated to analyze and to evaluate their mitigation or transfer effects analytically, so it may be necessary to use alternative approaches, such as Monte Carlo simulation methods. This is what we do in this paper in order to measure the effect of a complex reinsurance treaty on the risk profile of an insurance company. We compute the pure risk premium, PML as well as a host of results: impact on the insured portfolio, risk transfer effect of reinsurance programs, proportion of times reinsurance is exhausted, percentage of years it was necessary to use the contractual reinstatements, etc. Since the estimators of quantiles are known to be biased, we explore the alternative of using an Extreme Value approach to complement the analysis. Keywords: Quantile, Extreme Value, Monte Carlo Methods, PML, VAR, Reinsurance. Conditional tail moments of the exponential family and its transformed distributions. Kim, Joseph H T. - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 0805). - No. pages: 28. Shelved at: Online only [Faculty: Online only] 69979 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: Tail risk measures have been extensively used in the finance and actuarial literature for setting premium and risk capital. Among others the conditional tail expectation (CTE) is a popular measure in insurance applications. This paper derives the formulas of the CTE and higher moments for the exponential family class, which extends the natural exponential family, using the canonical representation. The conditional tail moments for the distributions transformed from the exponential family are also derived using the variable transformation. With the formulas developed in this paper we know the conditional tail moments for a wide range of distributions used for actuarial modeling. Keywords: conditional tail moments; exponential family; tail risk measure Dependent risk models with bivariate phase-type distributions. Badescu, Andrei L; Cheung, Eric C. K.; Landriault, David. - - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 08-12). - No. pages: 22. Shelved at: Online only [Faculty: Online only] 69986 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In this paper, we consider an extension of the Sparre Andersen insurance risk model by relaxing one of its well-known independence assumptions. The newly proposed dependence

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structure is introduced through the premise that the joint distribution of the interclaim time and the subsequent claim size is bivariate phase-type (see e.g. Assaf et al. (1984) and Kulkarni (1989)). Relying on the existing connection between risk processes and fluid flows (see e.g. Badescu et al. (2005, 2007), Ramaswami (2006) and Ahn et al. (2007)), we construct an analytically tractable fluid flow that allows the analysis of various ruin-related quantities in the surplus process of interest. Using matrix analytic methods, we obtain an explicit expression for the Gerber-Shiu discounted penalty function (see Gerber and Shiu (1998)) when the penalty depends only on the deficit at ruin. Finally, we investigate how some ruinrelated quantities involving the surplus immediately prior to ruin can also be analyzed via our fluid flow methodology. Dividend moments in the dual model: exact and approximate approaches. Cheung, Eric C. K.; Drekic, Steve. - Ontario: - University of Waterloo, 2008. - (Institute of Insurance and Pension Research Research Report 0817). - No. pages: 27. Shelved at: Online only [Faculty: Online only] 69991 URL: http://www.stats.uwaterloo.ca/stats_navigation/IIPR/IIPR-Reports.shtml Abstract: In the classical compound Poisson risk model, it is assumed that a company (typically an insurance company) receives premium at a constant rate and pays incurred claims until ruin occurs. In contrast, for certain companies (typically those focusing on invention), it might be more appropriate to assume expenses are paid at a fixed rate and occasional random income is earned. In such cases, the surplus process of the company can be modelled as a dual of the classical compound Poisson model, as described in Avanzi et al. (2007). Assuming further that a barrier strategy is applied to such a model (i.e., any overshoot beyond a fixed level caused by an upward jump is paid out as dividend until ruin occurs), we are able to derive integro-differential equations for the moments of the total discounted dividends as well as the Laplace transform of the time of ruin. These integro-differential equations can be solved explicitly assuming the jump size distribution has a rational Laplace transform. We also propose a discrete-time analogue of the continuous-time dual model and show that the corresponding quantities can be solved for explicitly leaving the discrete jump size distribution arbitrary. While the discrete-time model can be considered as a stand-alone model, it can also serve as an approximation to the continuous-time model. Finally, we consider a generalization of the so-called Dickson-Waters modification in optimal dividends problems by maximizing the difference between the expected value of discounted dividends and the present value of a fixed penalty applied at the time of ruin. Keywords: Dual model, barrier strategy, dividend moments, time of ruin, rational Laplace transform Introduction to the SCOR-JRI special issue on new forms of risk financing and risk engineering. Cummins, J David; Dionne, Georges. - - No. pages: 4. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71001 Journal of Risk and Insurance (2009) 76 (3) : 459-462. Convergence of insurance and financial markets: hybrid and securitized risk-transfer solutions. Cummins, J David; Weiss, Mary A. - - No. pages: 52. Shelved at: Per: J.Risk Ins (Oxf) [Faculty: JOU/RIS] 71003 Journal of Risk and Insurance (2009) 76 (3) : 493-545. Abstract: One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors. Convergence has been driven by the increase in the frequency and severity of catastrophic risk, market inefficiencies created by (re)insurance underwriting cycles, advances in computing and communications technologies, the emergence of enterprise risk management, and other factors. These developments have led to the development of hybrid insurance/financial instruments that blend elements of financial contracts with traditional reinsurance as well as new financial instruments patterned on asset-backed securities, futures, and options that provide direct access to capital markets. This article provides a survey and overview of the hybrid and pure financial markets instruments and provides new information on the pricing and returns on contracts such as industry loss warranties and Cat bonds. Failure Risks in the Insurance Industry: A Quantitative Systems Analysis. Pat-Cornell, Elisabeth; Deleris, La A. - - No. pages: 14. [Faculty: RIS/MAN] 71566 Risk Management and Insurance Review (2009) 12 (2) : 199-212.

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Abstract: We present in this article the findings from a study on insolvency in the propertycasualty insurance industry that was commissioned by the Risk Foundation. The Risk Foundation contacted us for this work to draw from our experience in risk analysis based on systems analysis and probability. Therefore, we provide a different perspective on failure in the insurance industry by opening the "black box" to assess the contribution of different factors to the overall risk. Besides the development of a quantitative model for insolvency risk, our study for the Risk Foundation included insights from (1) unstructured interviews with 15 insurance industry experts and with six insurance regulators in different states, and (2) a statistical analysis of insolvency data (A.M. Best) covering the 1970 through 2005 period. Our focus here is centered on the practical insights that came out of the study, rather than on the technical details that led us to those insights. Regulation and intervention in the insurance industry : Fundamental issues. Baltensperger, E; Buomberger, P; Iuppa, A A; Keller, B; Wicki, A. - - Geneva Association, 2008. - (Geneva Report No. 01). - No. pages: 63. Shelved at: online only [Faculty: online only] 71581 URL: http://www.genevaassociation.org/Home/Results.aspx?mode=free&keyword=geneva%20report Abstract: Financial markets belong to the strongly supervised and regulated sectors of most modern economies. This applies to both banking and insurance. Traditional motives and justifications for regulation in these two industries overlap to some extent, but differ also in many ways. Financial markets have undergone extraordinary growth and structural change in recent decades, due to a variety of developments (worldwide integration of capital markets, revolution in information technology, shifting attitudes towards competition and protection in the financial services area). Along with this, existing approaches to regulation have been increasingly questioned and regulatory frameworks modified in a multitude of ways, a process very much still going on. While a very substantial body of literature concerned with the regulation of banking has developed over recent years, dealing with both its fundamental motivation and specific forms and applications of such regulation, a similar intellectual effort concerned with insurance regulation is lacking to a considerable extent. It is the aim of this paper to work towards closing this gap. The role of indices in transferring insurance risks to the capital markets. Swiss Reinsurance Company. - Zurich: - Swiss Reinsurance Company, 2009. - No. pages: 46. [Faculty: SIG/SWI] 71589 Sigma (2009) 4 URL: http://www.swissre.com Contents: Executive summary -- Introduction -- Insurance-linked indices -- Instruments that transfer insurance risks to the capital markets -- Benefits and market challenges -- Market developments and outlook -- Appendix Abstract: Insurance-linked securities (ILS) and related instruments can be used to transfer insurance risks to the capital markets. These include securitisations, industry loss warranties (ILWs) and a variety of derivative contracts. These products are mainly used to transfer peak natural catastrophe risks and weather-related risks. Catastrophe or cat bonds and weather derivatives are quite commonplace and can be traded on public exchanges or privately. The markets for other products such as mortality and longevity swaps are still in an earlier stage of development. Climate change - are you ready? : Soapbox. Maynard, Trevor. - - Staple Inn Actuarial Society, - No. pages: 1. Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 71736 The Actuary (2009) December : 8. URL: http://www.the-actuary.org.uk Abstract: Looks at the effects climate change will have on actuarial work, particularly on asset values, risk, health and mortality, and insurance. Generalizations of common ILF [Increased Limits Factor] models. Riegel, Ulrich. Shelved at: Per: Bltter (Lon); online only 43360 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2008) 29 (heft 1) : 45-71. URL: http://www.springerlink.com/content/1864-0303/

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Some further ideas concerning the interaction between insurance and investment risks. Christiansen, Marcus C; Helwich, Marko. Shelved at: Per: Bltter (Lon); online only 43362 Bltter der Deutsche Gesellschaft fr Versicherungs- und Finanzmathematik (2008) 29 (heft 2) : 253-266. URL: http://www.springerlink.com/content/1864-0303/ Closing the gap. Bale, Stephen. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39470 The Actuary (2010) April : 39-41. URL: http://www.the-actuary.org.uk Abstract: Stephen Bale looks at consumers' attitude to insurance products with reference to the Retail Distribution Review and suggests some approaches to closing the protection gap. How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter. Impavido, Gregorio; Tower, Ian. - - International Monetary Fund, 2009. - (IMF Working Paper WP/09/151). - No. pages: 57. 72321 URL: http://www.imf.org/external/pubs/ft/wp/2009/wp09151.pdf Contents: Contents include: -- The Role of Pension Plans and Insurance Companies -- Key Pensions and Insurance Characteristics -- The Nature of Assets and Liabilities -- Risk Sharing and Transmission Channels to the Rest of the Economy Abstract: This paper discusses the key sources of vulnerabilities for pension plans and insurance companies in light of the global financial crisis of 2008. It also discusses how these institutional investors transit shocks to the rest of the financial sector and economy. The crisis has re-ignited the policy debate on key issues such as: 1) the need for countercyclical funding and solvency rules; 2) the tradeoffs implied in marked based valuation rules; 3) the need to protect contributors towards retirement from excessive market volatility; 4) the need to strengthen group supervision for large complex financial institutions including insurance and pensions; and 5) the need to revisit the resolution and crisis management framework for insurance and pensions. Optimal premiums based on utility function and solvency. Zaks, Yaniv. - - London: - Cass Business School, 2009. - No. pages: 10. 39499 URL: http://www.actuaries.org.uk/research-and-resources/documents/optimal-premiums-based-utility-functionand-solvency Abstract: Consider a portfolio containing heterogeneous risks. The premiums of the policyholders might not cover the liabilities of the insurer during one period of time. This risk should be taken into account while determining the load on the net premium. On the other hand the premium that the insured pays has to be fair. This fairness is measured by a function of the difference between the risk and the premium paid. For a given small probability of insolvency, we find the premium for each class, such that the difference function is minimized. Next we formulate and solve the dual problem, which is minimizing the insolvency probability under the constraint that the distance function does not exceed a given level. This paper follows the models in two previous papers by Zaks et al. (2006) and Frostig et al. (2007). This time the calculations are made in terms of utility instead of money. We find that by choosing the appropriate utilities function it is possible to derive a wide range of premium principles as the optimal solution. Keywords: Heterogeneous portfolio; Majorization; Schur convex function; Utility function, Exponential utility function. The development of international insurance. Pearson, Robin. - - London: - Pickering & Chatto, 2010. (Financial history; 15). - No. pages: 261. Shelved at: BUA/6 (Oxf) 39502 Abstract: Despite their economic and social importance, there are relatively few book-length studies of national insurance industries. This collection of nine essays by a group of international experts redresses this balance; providing an extensive geographical and thematic spread, linked via an extensive introduction. Also present is a consolidated, multilingual bibliography, allowing further research to be undertaken around the world.

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Incentive effects of community rating in insurance markets : evidence from Massachusetts automobile insurance. Tennyson, Sharon. Shelved at: Per: Geneva (Oxf) 39618 Geneva Risk and Insurance Review (2010) 35 (1) : 19-46. Abstract: Rate regulations in insurance markets often impose cross-subsidies in insurance premiums from low-risk consumers to high-risk consumers. This paper develops the hypothesis that premium cross-subsidies affect risk taking by insurance consumers, and tests this hypothesis by examining the marginal impact of premium subsidies and overcharges on future insurance costs. The empirical analysis uses 19902003 rating cell-level data from the Massachusetts automobile insurance market, in which regulation produced large cross-subsidies across cells. Consistent with the hypothesized effects, premium subsidies are found to be significantly related to higher future insurance costs, and the opposite effects are found for premium overcharges. Non-life insurance mathematics : an introduction with the Poisson process. Mikosch, Thomas. - - 2nd ed. Springer, 2009. - No. pages: xv, 432 p. [Faculty: 368.015 MIK] 72673 Abstract: The volume offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It includes detailed discussions of the fundamental models regarding claim sizes, claim arrivals, the total claim amount, and their probabilistic properties. Throughout the volume the language of stochastic processes is used for describing the dynamics of an insurance portfolio in claim size, space and time. Special emphasis is given to the phenomena which are caused by large claims in these models. The reader learns how the underlying probabilistic structures allow determining premiums in a portfolio or in an individual policy. The second edition contains various new chapters that illustrate the use of point process techniques in non-life insurance mathematics. Poisson processes play a central role. Detailed discussions show how Poisson processes can be used to describe complex aspects in an insurance business such as delays in reporting, the settlement of claims and claims reserving. Also the chain ladder method is explained in detail. More than 150 figures and tables illustrate and visualize the theory. Every section ends with numerous exercises. An extensive bibliography, annotated with various comments sections with references to more advanced relevant literature, makes the volume broadly and easily accessible. Keywords: Poisson random measure - insurance risk - non-life insurance mathematics - point process - stochastic process (Publisher's blurb) Analysing earnings and risks. Foroughi, Kamran. - - Staple Inn Actuarial Society, Shelved at: Per: Actuary (Oxf); Per: Actuary (Lon) [Faculty: SIA/ACT] 39658 The Actuary (2010) July : 34-35. URL: http://www.the-actuary.org.uk Abstract: Kamran Foroughi proposes some enhancements to insurers' financial reporting statements to aid understanding. ROC Reserving Uncertainty Working Party [copies of slides only] Bruce, Neil; Hinder, Ian. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72728 We have lift off! : From actuary to leader [copies of slides only] Townley, Laurence; Poracchia, Alex. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72759 The case of the credulous actuary : Rediscovering the importance of judgement [copies of slides only] Graham, Mark; Glencross, Alex. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72774

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To be discontinued ... A run-off update [copies of slides only] Hindley, David; Michaels, Darren. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72780 General Insurance Practice Executive Committee Report [copies of slides only] Leigh, Julian. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72783 Who killed the spark? [copies of slides only] Obeng, Eddie. - - Institute of Actuaries and Faculty of Actuaries, 2008. - (General Insurance Convention 2008 35th Annual GIRO Convention, Hilton Sorrento Palace, Italy). 72785 Current topics : General insurance [copies of slides only] Edler, Clare. - - Edinburgh: - Faculty of Actuaries Students' Society, 2008. 72887 URL: http://www.actuaries.org.uk/research-and-resources/documents/current-topics-2008-fass-generalinsurance-slides Winners Curse [copies of slides only] The Winners Curse Working Party. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72966 Solvency II non-life modelling issues: Calculating economic capital under Solvency II [copies of slides only] Charles, John; Gray, Andrew. - - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72967 Casualty Catastrophes [copies of slides only] - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72974 Insurance in terms of basic economics [copies of slides only] - Institute of Actuaries and Faculty of Actuaries, 2009. - (General Insurance Convention, 2009 GIRO Conference and Exhibition 2009 36th Annual GIRO Convention, Edinburgh International Conference Centre, Edinburgh). 72976 EU anti-discrimination policy's impact on insurance risk management: A parallel with the US sub-prime crisis. Petkantchin, Valentin. - - No. pages: 6. [Faculty: Journals - General] 73128 Pensions: An International Journal (2010) 15 (3) : 155-160. Abstract: The European Union (EU) authorities get more and more involved in tackling discrimination by issuing regulations aimed at equal treatment of people in the EU. This article analyses their economic effects on sound risk management, on insurance companies and consumers alike. As public policies against discrimination in the last decades have been identified as one of the causes for the excessive risk taking in the US mortgage lending market, the article also makes a parallel between this market and risk management in the EU insurance sector. Keywords: insurance; anti-discrimination; EU regulation; adverse selection; moral hazard; US subprime crisis

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Discussion of "Weighted Pricing Functionals with Applications to Insurance: An Overview" Gerber, Hans U; Shiu, Elias S W. - - Society of Actuaries, Shelved at: Per: NAAJ (Oxf); Per NAAJ (Lon) [Faculty: NOR/AME] 73297 North American Actuarial Journal (2010) 14 (2) URL: http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx Abstract: A discussion of Weighted Pricing Functionals with Applications to Insurance: An Overview, Edward Furman and Ricardas Zitikis, North American Actuarial Journal, Vol. 13, No. 4, 2009. The authors are to be thanked for their survey paper. We shall present two comments, one on Section 2 and the other on Section 3. A preliminary comment is that the actuarial weighted pricing functionals in Section 2 differ substantially from the economic weighted pricing functionals in Section 3. Parallax: striving for a more resilient international financial architecture. Liedtke, Patrick M. - - Palgrave Macmillan, Shelved at: Per: Geneva (Oxf) 39855 Geneva Papers on Risk and Insurance (2010) 35 (1) : 1-8. Abstract: Editorial Insurance regulation and the global financial crisis: a problem of low probability events. O'Brien, Christopher. - Palgrave Macmillan, Shelved a