Document library
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GN32: Actuaries and friendly societies: general insurance business. Version 1.1 [Deleted from the Manual of Actuarial Practice on 1 Feb 2006]
This general insurance Guidance Note was deleted 01.02.06 MAP/GN32 V1.1 B32.1 GN32: Actuaries and Friendly Societies : General Insurance Business Classification Practice Standard Legislation or Authority Friendly Societies Act 1992 (1992, c40) (the ... read more >>
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GN33: Actuarial reporting for Lloyd's syndicates writing US business. Version 1.1
This general insurance Guidance Note has been adopted by the Board for Actuarial Standards. The latest version is available on the <a href\="http://www.frc.org.uk/bas/actuarial/index.cfm" target\="external">BAS website</a>. Faculty and ... read more >>
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- Author:
- General Insurance Board
GN20: Actuarial reporting under the Lloyd's Valuation of Liabilities Rules. Version 4.1
This Guidance Note has been adopted by the Board for Actuarial Standards. The latest version is available on the <a href\="http://www.frc.org.uk/bas/actuarial/index.cfm" target\="external">BAS website</a>. Faculty and Institute of ... read more >>
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- Author:
- Mark S Tenney
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Dynamic dynamic-programming solutions for the portfolio of risky assets
Dynamic programming solutions for optimal portfolios in which the solution for the portfolio vector of risky assets is constant were solved by Merton in continuous time and by Hakansson and others in discrete time. There is no case with a closed form ... read more >>
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- Author:
- John M Taylor
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Preparing for the Euro [summary only]
PREPARING FOR THE EURO WORKSHOP JOHN TAYLOR 1998 GENERAL INSURANCE CONVENTION AND ASTIN COLLOQUIUM GLASGOW, SCOTLAND: 7-10 OCTOBER 1998 407 Insurance Convention 1998 General & ASTIN Colloquium PREPARING FOR THE EURO Workshop by John Taylor, ... read more >>
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- Author:
- Jan Dhaene; Marc J Goovaerts
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Supermodular ordering and stochastic annuities
In this paper, we consider several types of stochastic annuities, for which an explicit expression for the distribution function is not available. We will construct a random variable with the same mean and which is larger in stop-loss order, for which the ... read more >>
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- Author:
- Renato Pelessoni; Liviana Picech
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Some applications of unsupervised neural networks in rate making procedure
In recent years, neural networks have been having a wide range of applications. In particular, the unsupervised neural networks are designed to implement clustering techniques. In this paper we apply a two-stage Kohonen Self-Organising Map to collect the ... read more >>
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- Author:
- David N Theaker; James R K Upson; Stuart A Wrenn
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Benchmarking
The aim of the paper is to bring together some of the ideas and issues associated with benchmarking, with particular reference to the insurance industry and the actuarial profession. Areas covered include consideration of the characteristics of benchmarks, ... read more >>
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- Author:
- Gary G Venter
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Asset modelling - empirical tests of yield curve generators
Some empirical tests for stochastic yield curve generators are proposed. The basis of the tests is to compare history to the model for the conditional distributions of various yield-curve statistics given the three-month rate. The term structure of US ... read more >>
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- Author:
- Hans Schmitter; Dino Toniolo
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
The handling of continuous tariff variables: tips and experiences
Using continuous variables to describe some data we often Incur in some plausibility problems for extreme low and high values. Assuming that the continuous function which describes the relationship between some explanatory variables (covariates) and a ... read more >>
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- Author:
- Peter D England; Richard J Verrall
- Source:
- General Insurance Convention & ASTIN Colloquium1998
Standard errors of prediction in claims reserving: a comparison of methods. Analytic and bootstrap estimates of prediction errors in claims reserving
Renshaw and Verrall (1994) have suggested a stochastic claims reserving model which reproduces the reserve estimates provided by the standard chain ladder model (subject to constraints on the pattern of negative incremental claims). Their model falls ... read more >>
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- Author:
- Griselda Deelstra; Martino Grasselli; Pierre-Francois Koehl
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Strong stop-loss criteria: definition and application to risk management
In this paper, we define the concept of strong stop-loss domination and we use it for the obtention of bounds on the hedging price of random variables. These hedging prices depend on the characteristics of the agent and in particular on her utility ... read more >>
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- Author:
- Mike Falcone; Graham White
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Actuaries in claims management advisory roles [summary only]
ACTUARIES IN CLAIMS MANAGEMENT ADVISORY ROLES WORKSHOP Mike Falcone Graham White 1998 GENERAL INSURANCE CONVENTION AND ASTIN COLLOQUIUM GLASGOW, SCOTLAND: 7-10 OCTOBER 1998 401 Insurance Convention 1998 General & ASTIN Colloquium Actuaries in Claims ... read more >>
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- Author:
- Jaap Spreeuw
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
The impact of proportional mortality profit distribution on solidarity
For a given period, a portfolio of individual life contracts to which the same amount at risk applies, will be considered. The portfolio consists of two homogeneous subgroups mutually different with respect to the mortality rate. At the end of the period, ... read more >>
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- Author:
- Anthony C Lovick
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
The transitional state chain-ladder method
The purpose of this method is to offer the Reserving Actuary an alternative in cases where the Paid and the Incurred chain-ladder methods both fail to produce valid results. Based on the Chain-ladder this method gives an alteration which allows the ... read more >>
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- Author:
- Jacques Janssen; Raimondo Manca; Guiseppe Di Biase
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Non-homogeneous Markov and semi-Markov models for pricing derivative securities
In this paper for the first time (as far as the authors know) an application of the non-homogeneous Markov and semi-Markov processes aimed at pricing derivative securities has been proposed. The consideration of the nonhomogeneity in the framework of the ... read more >>
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- Author:
- Hans-Fredo List; Nora Lohner
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Extreme value techniques. Part III - increased limits factors (ILF) pricing
In order to further simplify the 'Beta' pricing approach (described in Extreme Value Techniques - Part I and Part II), an alternative to existing increased limits factors (ILF) rating methodologies (see e.g., Loss Distributions, R. V. Hogg and S. A. ... read more >>
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- Author:
- Gerhard Geosits; Hans-Fredo List; Nora Lohner
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Extreme value techniques. Part II - value proposition for Fortune 500 companies
Swiss Re's Value Proposition is basically a consulting approach in which [using Swiss Re's risk-adjusted capital (RAC) concept] an optimal self-insured retention (SIR) is determined for a particular insured. EXTREME VALUE TECHNIQUES PART II: VALUE ... read more >>
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- Author:
- Erhard Kremer
- Source:
- General Insurance Convention & ASTIN Colloquium 1998
Largest claims reinsurance premiums under possible claims dependence
Largest claims reinsurance covers are reconsidered. A general new net premium bound is derived and specialized to the situation of Pareto-distributed claims sizes. Important is that the classical assumption of claims-size-independence is not basically ... read more >>
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- Author:
- Hans Waszink; Michiel van der Wardt
- Source:
- General Insurance Convention 1998
A stochastic model to determine IBNR reserves
This paper describes a stochastic model to determine IBNR-reserves based on a Compound Poisson distribution. The number of insureds per accident year and the mean and second moment of payments by accident, reporting and development year are used as input. ... read more >>