Papers from Actuarial Journals Worldwide

2011 Annals of Actuarial Science  
PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE Single copies of all the papers listed here can be obtained, subject to charge and copyright regulations, from the actuarial profession's libraries. Issues may be borrowed by members. Tel: 0131 240 1311 or 01865 268206/208; libraries@actuaries.org.uk ASTIN Bulletin 40(2), 2010 AASE, K. K. Existence and uniqueness of equilibrium in a reinsurance syndicate. 491-517. In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations
more » ... exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions allow for risks that are not bounded, and we show that the most standard models satisfy our set of sufficient conditions, which are thus not restrictive. Our approach is to transform the analysis from an infinite dimensional to a finite dimensional setting. ARTZNER, P. & EISELE, K-T. Supervisory insurance accounting: Mathematics for provisionand solvency capitalrequirement. 569-585. This paper aims at providing a mathematical foundation for the terms of the well spread supervisory rule 'initial market value of assets must be at least equal to provision plus solvency capital'. It starts with a risk-adjusted assessment -given by a set of test probabilities -of the future cash-flows coming from a company business plan and attempts to define terms of a supervisory accounting mode. First, inspired by the idea of 'representation' of obligations by 'equivalent' assets, we define the supervisory provision (or 'liability') attached to existing obligations. This provision is market consistent according to the mathematical definition by Cheridito, Filipovic and Kupper and satisfies a property of equilibrium between supervision's wish for stress testing and management's possibility for appropriate choice of assets. The comparison between the initial market price of assets and the supervisory provision defines 'solvability' of existing obligations. In a second step the paper defines a required solvency capital as related to the level of discrepancy between assets and obligations of a company. Solvency of a business plan is defined by requiring as initial market value an additional amount over the one needed for solvability: this is the required solvency capital. A business plan with zero required solvency capital is said to have an optimal replicating asset portfolio. It is shown that -under a natural additional condition, that of a market prudent set of test probabilities -solvability of an obligation allows for solvency of a related business plan, by choice of the asset portfolio. The paper emphasizes the distinction between supervisory and market oriented accounting hinted to in the CEIOPS CP 20 consultative paper. ATHERINO, R., PIZZINGA, A. & FERNANDES, C. A row-wise stacking of the runoff triangle: State space alternatives for IBNR reserve prediction. 917-946. This work deals with prediction of IBNR reserve under a different data ordering of the non-cumulative runoff triangle. The rows of the triangle are stacked, resulting in a univariate time series with several missing values. Under this ordering, two approaches entirely based on state space models and the Kalman filter are 253 https://www.cambridge.org/core/terms. https://doi.org/10.1017/S174849951100025X Downloaded from https://www.cambridge.org/core. IP address: 207.241.231.81, on 25 Jul 2018 at 15:29:48, subject to the Cambridge Core terms of use, available at CHRISTIANSEN, M. C. & DENUIT, M. First-Order mortality rates and safe-side actuarial calculations in life insurance. 587-614. In this paper, we discuss how to define conservative biometric bases in life insurance. The first approach is based on cumulative hazard (or survival probabilities), the second one on the hazard itself, and the third one on the rate of increase of the hazard. The second case has been studied in the literature and the sum-at-risk plays a central role in defining safe-side requirements. The two other cases appear to be new and concepts related to sum-at-risk are defined. CHUANG, H-L. & YU, M-T. Pricing unemployment insurance. 519-545. This study incorporates the survival analysis of unemployment duration into the insurance pricing framework to measure the fairly-priced premium rate for Taiwan's unemployment insurance (UI) program. Our results suggest that the fair premiums range from 0.2041% to 0.2436% under the 1999-2002 scheme and from 0.1388% to 0.1521% under the 2003-2009 scheme for various possible levels of average unemployment duration in Taiwan, and they are all lower than the current UI premium rate, 1%. This result explains in part why there is a persistent surplus in the UI program. The sensitivity analysis results indicate that the fair premium rate decreases with the hazard rate of exiting from unemployment and increases with the probability of entering into unemployment. The effect of the entering probability is found to be larger than that of the exiting probability. We also provide a wide range of systematic risk coefficient (ß) values generated from three alternative Papers from Actuarial Journals Worldwide 254 https://www.cambridge.org/core/terms. https://doi.
doi:10.1017/s174849951100025x fatcat:6uzk4t46vzcj5ltcqxbuvsv4km