On the Bankruptcy Risk of Insurance Companies
Author: École de management (Lyon)
Publisher:
Published: 2008
Total Pages: 30
ISBN-13:
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Author: École de management (Lyon)
Publisher:
Published: 2008
Total Pages: 30
ISBN-13:
DOWNLOAD EBOOKAuthor: J. David Cummins
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 334
ISBN-13: 9401138788
DOWNLOAD EBOOKTwo different applications have been considered, automobile claims from Massachusetts and health expenses from the Netherlands. We have fit 11 different distributions to these data. The distributions are conveniently nested within a single four parameter distribution, the generalized beta of the second type. This relationship facilitates analysis and comparisons. In both cases the GB2 provided the best fit and the Burr 3 is the best three parameter model. In the case of automobile claims, the flexibility of the GB2 provides a statistically siE;nificant improvement in fit over all other models. In the case of Dutch health expenses the improvement of the GB2 relative to several alternatives was not statistically significant. * The author appreciates the research assistance of Mark Bean, Young Yong Kim and Steve White. The data used were provided by Richard Derrig of The Massachusetts Automobile Rating and Accident Prevention Bureau and by Bob Van der Laan and The Silver Cross Foundation for the medical insurance claim data. 2~ REFERENCES Arnold, B. C. 1983. Pareto Distributions. Bartonsville: International Cooperative Publishing House. Cummins, J. D. and L. R. Freifelder. 1978. A comparative analysis of alternative maximum probable yearly aggregate loss estimators. Journal of Risk and Insurance 45:27-52. *Cummins, J. D., G. Dionne, and L. Maistre. 1987. Application of the GB2 family of distributions in collective risk theory. University of Pennsylvania: Mimeographed manuscript. Hogg, R. V. and S. A. Klugman. 1983. On the estimation of long tailed skewed distributions with actuarial applications.
Author: Olivier Le Courtois
Publisher:
Published: 2017
Total Pages: 24
ISBN-13:
DOWNLOAD EBOOKThe fall of AIG is another confirmation that the insurance business is not immune to bankruptcy. Contrary to the actuarial literature which postulates that insurance firms can survive forever, we believe that this is not the case, and that a realistic and business-oriented risk management approach needs to be designed in order to prevent the actual, finite-time, bankruptcy of insurance companies. In this article we model the surplus process of an insurance firm firstly by a stable Lévy process, secondly by a double exponential compound Poisson process. We compute finite-time survival and bankruptcy probabilities under such hypotheses. To achieve this, we make use of the Wiener-Hopf factorization and compute bankruptcy formulas written in terms of inverse Laplace transforms. The Abate and Whitt, and Gaver-Stehfest algorithms are used to obtain numerical estimations.
Author: Nigel Davies
Publisher: International Monetary Fund
Published: 2003-07-01
Total Pages: 45
ISBN-13: 1451856008
DOWNLOAD EBOOKThis paper explores insurance as a source of financial system vulnerability. It provides a brief overview of the insurance industry and reviews the risks it faces, as well as several recent failures of insurance companies that had systemic implications. Assimilation of banking-type activities by life insurers appears to be the key systemic vulnerability. Building on this experience and the experience gained under the FSAP, the paper proposes key indicators that should be compiled and used for surveillance of financial soundness of insurance companies and the insurance sector as a whole.
Author: United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Publisher:
Published: 1992
Total Pages: 444
ISBN-13:
DOWNLOAD EBOOKAuthor: Felix Hufeld
Publisher: Oxford University Press
Published: 2017
Total Pages: 247
ISBN-13: 0198788819
DOWNLOAD EBOOKThe book brings together academics, regulators, and industry experts to provide a multifaceted array of research and perspectives on insurance, its role and functioning, and the potential systemic risk it could create.
Author: United States. Congress. House. Committee on Banking, Finance, and Urban Affairs. Subcommittee on Policy Research and Insurance
Publisher:
Published: 1992
Total Pages: 468
ISBN-13:
DOWNLOAD EBOOKAuthor: United States. Congress. House. Committee on Banking, Finance, and Urban Affairs. Subcommittee on Policy Research and Insurance
Publisher:
Published: 1991
Total Pages: 140
ISBN-13:
DOWNLOAD EBOOKAuthor: Douglas G. Olson
Publisher:
Published: 1970
Total Pages: 172
ISBN-13:
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