Document library
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- Author:
- Ruth Loseby
Research project on discount rates
Details of the initial call for research. Call for proposals for research project on discount rates Background The Management Board of The Actuarial Profession wishes to undertake a thought leadership cross-practice research project on discount ... read more >>
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- Author:
- D. Besar, P. Booth, K.K. Chan, A.K.L. MIlne and J. Pickles
- Source:
- Sessional Paper
Systemic risk in financial services
The recent banking crisis has reminded us of how risks materialising in one part of the financial system can have a widespread impact, affecting other financial markets and institutions and the broader economy. This paper, prepared on behalf of the ... read more >>
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- Author:
- Continuous Mortality Investigation
CMI Working paper 42. CMI life office mortality experience 2003-2006
CMI Working paper 42.CMI life office mortality experience 2003-2006 Continuous Mortality Investigation Working Paper 42 CMI Life Office Mortality Experience 2003-2006 Contents Section Page 1 The Mortality of Holders of Permanent ... read more >>
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- Author:
- Dimitrina S Dimitrova; Steven Haberman; Vladimir K Kaishev
Dependent competing risks: cause elimination and its impact on survival
The dependent competing risks model of human mortality is considered, assuming that the dependence between lifetimes is modelled by a multivariate copula function. The effect on overall survival of removing one or more causes of death is explored under two ... read more >>
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- Author:
- Robert Cowell
Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance
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 ... read more >>
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- Author:
- Di Kuang; Bent Nielsen; Jens Perch Nielsen
Robust forecasting in the extended chain-ladder model
Chain-ladder-type models extended with a calendar 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 ... read more >>
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- Author:
- Yaniv Zaks
Optimal premiums based on utility function and solvency
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 ... read more >>
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- Author:
- Continuous Mortality Investigation
Continuous Mortality Investigation annual review 2008-2009
A summary of work undertaken by the Continuous Mortality Investigation over the past year together with future plans CMI Annual Review 200 8-2009 A summary of work undertaken by the CMI over the past year together with some of our future plans ... read more >>
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- Author:
- Di Kuang; Bent Nielsen; Jens Perch Nielsen
Chain-ladder as maximum likelihood revisited
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. ... read more >>
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- Author:
- Neil Robjohns; Brian Wilson
- Source:
- Mortality and Longevity one-day seminars 2009
CMI update
Life office mortality, SAPS mortality, mortality projections CMI Update Mortality and Longevity one-day seminars Neil Robjohns Manchester 23 March 2009 Brian Wilson London 1 April 2009 CMI Update Agenda Life Office Mortality SAPS Mortality ... read more >>
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- Author:
- Robert Cowell
A non-parametric bootstrap method for claims reserving
A non-parametric bootstrap method for claims reserving Robert Cowell Faculty of Actuarial Science and Insurance Cass Business School 25th February 2009 Supported by a grant from the Actuarial Profession Overview trianglerightsld ... read more >>