On the problematic of reserving and stochastic loss models

Abstract Traditionally, the common reserving methods used by the non-life actuaries are based on the assumption that future claims are going to behave in the same way as they did in the past. There are two main sources of variability in the processus of development of the claims: the variability of the speed with which the claims are settled and the variability between the severity of the claims from different accident years. High changes in these processes will generate distortions in the estimation of the claims reserves. The main objective of this thesis is to provide an indicator which firstly identifies and quantifies these two influences and secondly to determine which model is adequate for a specific situation. Two stochastic models were analysed and the predictive distributions of the future claims were obtained. The main advantage of the stochastic models is that they provide measures of variability of the reserves estimates. The first model (PDM) combines one conjugate family Dirichlet - Multinomial with the Poisson distribution. The second model (NBDM) improves the first one by combining two conjugate families Poisson -Gamma (for distribution of the ultimate amounts) and Dirichlet Multinomial (for distribution of the incremental claims payments). It was found that the second model allows to find the speed variability in the reporting process and development of the claims severity as function of two above mentioned distributions' parameters. These are the shape parameter of the Gamma distribution and the Dirichlet parameter. Depending on the relation between them we can decide on the adequacy of the claims reserve estimation method. The parameters have been estimated by the Methods of Moments and Maximum Likelihood. The results were tested using chosen simulation data and then using real data originating from the three lines of business: Property/Casualty, General Liability, and Accident Insurance. These data include different developments and specificities. The outcome of the thesis shows that when the Dirichlet parameter is greater than the shape parameter of the Gamma, resulting in a model with positive correlation between the past and future claims payments, suggests the Chain-Ladder method as appropriate for the claims reserve estimation. In terms of claims reserves, if the cumulated payments are high the positive correlation will imply high expectations for the future payments resulting in high claims reserves estimates. The negative correlation appears when the Dirichlet parameter is lower than the shape parameter of the Gamma, meaning low expected future payments for the same high observed cumulated payments. This corresponds to the situation when claims are reported rapidly and fewer claims remain expected subsequently. The extreme case appears in the situation when all claims are reported at the same time leading to expectations for the future payments of zero or equal to the aggregated amount of the ultimate paid claims. For this latter case, the Chain-Ladder is not recommended.

Insurance Fraud Alert, 2011

Do not let anyone use your personal information from your car or health insurance policy to file a fraudulent insurance claim of any kind.

Essays on the treatment of cash flows under stochastic interest rates

Abstract This paper shows how to calculate recursively the moments of the accumulated and discounted value of cash flows when the instantaneous rates of return follow a conditional ARMA process with normally distributed innovations. We investigate various moment based approaches to approximate the distribution of the accumulated value of cash flows and we assess their performance through stochastic Monte-Carlo simulations. We discuss the potential use in insurance and especially in the context of Asset-Liability Management of pension funds.

Audit report on the Northeast Iowa Schools Insurance Trust for the year ended June 30, 2011

Audit report on the Northeast Iowa Schools Insurance Trust for the year ended June 30, 2011

Herramientas estadísticas para el estudio de perfiles de riesgo

En este documento se ilustra de un modo práctico, el empleo de tres instrumentos que permiten al actuario definir grupos arancelarios y estimar premios de riesgo en el proceso que tasa la clase para el seguro de no vida. El primero es el análisis de segmentación (CHAID y XAID) usado en primer lugar en 1997 por UNESPA en su cartera común de coches. El segundo es un proceso de selección gradual con el modelo de regresión a base de distancia. Y el tercero es un proceso con el modelo conocido y generalizado de regresión linear, que representa la técnica más moderna en la bibliografía actuarial. De estos últimos, si combinamos funciones de eslabón diferentes y distribuciones de error, podemos obtener el aditivo clásico y modelos multiplicativos

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

Third biennial report of the Attorney-General of the state of Iowa,1902.

This report includes business transacted and official opinions by the Iowa Attorney General during the years 1900 and 1901.

High amplitude contractions in the middle third of the esophagus: a manometric marker of chronic alcoholism?

BACKGROUND--Oesophageal motor abnormalities have been reported in alcoholism. AIM--To investigate the effects of chronic alcoholism and its withdrawal on oesophageal disease. PATIENTS--23 chronic alcoholic patients (20 men and three women; mean age 43, range 23 to 54). METHODS--Endoscopy, manometry, and 24 hour pH monitoring 7-10 days and six months after ethanol withdrawal. Tests for autonomic and peripheral neuropathy were also performed. Motility and pH tracings were compared with those of age and sex matched control groups: healthy volunteers, nutcracker oesophagus, and gastro-oesophageal reflux disease. RESULTS--14 (61%) alcoholic patients had reflux symptoms, and endoscopy with biopsy showed oesophageal inflammation in 10 patients. One patient had an asymptomatic squamous cell carcinoma. Oesophageal motility studies in the alcoholic patients showed that peristaltic amplitude in the middle third was > 150 mm Hg (95th percentile (P95) of healthy controls) in 13 (57%), the ratio lower/ middle amplitude was < 0.9 in 15 (65%) (> 0.9 in all control groups), and the lower oesophageal sphincter was hypertensive (> 23.4 mm Hg, P95 of healthy controls) in 13 (57%). All three abnormalities were present in five (22%). Abnormal reflux (per cent reflux time > 2.9, P95 of healthy controls) was shown in 12 (52%) alcoholic patients, and was unrelated to peristaltic dysfunction. Subclinical neuropathy in 10 patients did not effect oesophageal abnormalities. Oesophageal motility abnormalities persisted at six months in six patients with ongoing alcoholism, whereas they reverted towards normal in 13 who remained abstinent; reflux, however, was unaffected. CONCLUSIONS--Oesophageal peristaltic dysfunction and reflux are frequent in alcoholism. High amplitude contractions in the middle third of the oesophagus seem to be a marker of excessive alcohol consumption, and tend to improve with abstinence.

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

Citizens' preferences for brand name drugs for treating acute and chronic conditions: a pilot study.

Background: Generic drugs have been advocated to decrease the proportion of healthcare costs devoted to drugs, but are still underused. Objective: To assess citizens' preferences for brand name drugs (BNDs) compared with generic drugs for treating acute and chronic conditions. Methods: A questionnaire with eight hypothetical scenarios describing four acute and four chronic conditions was developed, with willingness to pay (WTP) determined using a payment card system randomized to ascending (AO) or descending order (DO) of prices. The questionnaire was distributed with an explanation sheet, an informed consent form and a pre-stamped envelope over a period of 3 weeks in 19 community pharmacies in Lausanne, Switzerland. The questionnaire was distributed to every third customer who also had health insurance, understood French and was aged =16 years (up to a maximum of ten customers per day and 100 per pharmacy). The main outcome measure was preferences assessed by WTP for BNDs as compared with generics, and impact of participants' characteristics on WTP. Results: Of the 1800 questionnaires, 991 were distributed and 393 returned (pharmacy participation rate?=?55%, subject participation rate?=?40%, overall response rate?=?22%); 51.7% were AO and 48.3% DO. Participants were predominantly women (62.6%) and of median age 62 years (range 16-90). The majority (70%) declared no WTP for BNDs as compared with generics. WTP was higher in people with an acute disease than in those with a chronic disease, did not depend on the type of chronic disease, and was higher in people from countries other than Switzerland. Conclusions: Most citizens visiting pharmacies attribute no added value to BNDs as compared with generics, although some citizen characteristics affected WTP. These results could be of interest to several categories of decision makers within the healthcare system.

Report on a review of certain Unemployment Insurance payments made by Iowa Workforce Development during the period January 1, 2006 through March 15, 2011

Report on a review of certain Unemployment Insurance payments made by Iowa Workforce Development during the period January 1, 2006 through March 15, 2011