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Applying the defined benefit principle to a defined contribution scheme
240
Abstracts and Reviews
described and the potential of applying this approach to modelling in a claims reserving setting investigated. A new perspective on certain existing stochastic claims reserving methods is established as a consequence. Keywords: claims reserving, negative incremental claims, generalized linear models, joint mean-variance modelling. 074050 (M40,M31) Modelling of discretized loss reserving data. Hesselager O., University of Copenhagen, Denmark, Astin Colloquium Leuven, 1995. We investigate the usual method of discretizing loss reserving data by calendar year and show how this procedure may introduce fluctuations in the delay probabilities. These fluctuations, when treated as random fluctuations, possess a special correlation structure and we present a simple credibility method accounting for these fluctuations. The results are illustrated by a numerical example. Keywords: Credibility. .. . M43: FLUCTUATION MARGINS
RESERVES, SOLVENCY
074051 (M43) Insurance as a capital project. Dwonczyk M.D., Sanders D.E.A., Kaye G., Astin Colloquium Leuven, 1995. The objective of this paper is to consider whether it is possible for an insurer to gain financial advantage by treating his business as being one or more capital projects. Will an insurer better understand and better mix the business across different classes and in doing so increase the expected profitability for a given level of risk. Section 2 defines what we mean by a capital project. For now it is useful to consider the capital project as having two stages namely, choosing a structure and analysing and estimating the cash flows arising from the structure over the future life of the project. The primary objective of this paper is to promote the notion that it is well worth considering a range of different structures for any capital projects including insurance companies. Structuring is basically considering what participants should have which legal entities and should arrange themselves in which fashion so as to best achieve the various goals of the project for the parties involved. Even before analysing the cash flows, the
process of structuring will add to the understanding of the issues involved in the structure. By way of example we have considered a structure for a typical insurancu company and for Lloyds of London in Section 5 below. The cash flows of the structure must be comprehensively modelled. Tools suitable for insurance companies will include risk theory techniques and more recently risk based capital techniques. These tools are well known to insurance actuaries. This paper promotes another useful tool for analysing the cash flows of an insurance company namely a utility theory based approach for choosing the optimal relative size of each insurance portfolio. A discussion of this technique is contained in Appendix A. This paper considers an insurance company to be a set of capital projects, one for each class of business being underwritten. Keywords: Risk Based Capital. 074052 (M43) Applying the defined benefit principle to a defined contribution scheme. Khorasanee M.Z., City University, London, Actuarial Research Paper Nr. 78, 1995, pp. I-30. A defined,contribution scheme with an explicit defined benefit formula is proposed and the properties of the scheme are investigated through simulation. Methods for distributing surpluses and eliminating deficiencies which involve adjusting the rate of benefit accrual (rather than varying the rate of contribution) are proposed. The behaviour of the scheme under a scenario of persistently unfavourable investment experience is simulated, and methods for satisfactorily dealing with such a scenario are considered. It is concluded that the scheme would pay out more stable and predictable benefits over time than one based purely on the money purchase principle, and that the scheme actuary would play a central role in maintaining an appropriate balance between solvency and stability. Keywords: Solvency.
M50: GAME THEORY AND DECISION THEORY IN INSURANCE, GENERAL AND MISCELLANEOUS 074053 (M50,B50,E40) Numerical simulation as a complement to econometric research on workplace safety. Kniesner T.J. (*), Leeth J.D., Indiana University,
Abstracts and Reviews
described and the potential of applying this approach to modelling in a claims reserving setting investigated. A new perspective on certain existing stochastic claims reserving methods is established as a consequence. Keywords: claims reserving, negative incremental claims, generalized linear models, joint mean-variance modelling. 074050 (M40,M31) Modelling of discretized loss reserving data. Hesselager O., University of Copenhagen, Denmark, Astin Colloquium Leuven, 1995. We investigate the usual method of discretizing loss reserving data by calendar year and show how this procedure may introduce fluctuations in the delay probabilities. These fluctuations, when treated as random fluctuations, possess a special correlation structure and we present a simple credibility method accounting for these fluctuations. The results are illustrated by a numerical example. Keywords: Credibility. .. . M43: FLUCTUATION MARGINS
RESERVES, SOLVENCY
074051 (M43) Insurance as a capital project. Dwonczyk M.D., Sanders D.E.A., Kaye G., Astin Colloquium Leuven, 1995. The objective of this paper is to consider whether it is possible for an insurer to gain financial advantage by treating his business as being one or more capital projects. Will an insurer better understand and better mix the business across different classes and in doing so increase the expected profitability for a given level of risk. Section 2 defines what we mean by a capital project. For now it is useful to consider the capital project as having two stages namely, choosing a structure and analysing and estimating the cash flows arising from the structure over the future life of the project. The primary objective of this paper is to promote the notion that it is well worth considering a range of different structures for any capital projects including insurance companies. Structuring is basically considering what participants should have which legal entities and should arrange themselves in which fashion so as to best achieve the various goals of the project for the parties involved. Even before analysing the cash flows, the
process of structuring will add to the understanding of the issues involved in the structure. By way of example we have considered a structure for a typical insurancu company and for Lloyds of London in Section 5 below. The cash flows of the structure must be comprehensively modelled. Tools suitable for insurance companies will include risk theory techniques and more recently risk based capital techniques. These tools are well known to insurance actuaries. This paper promotes another useful tool for analysing the cash flows of an insurance company namely a utility theory based approach for choosing the optimal relative size of each insurance portfolio. A discussion of this technique is contained in Appendix A. This paper considers an insurance company to be a set of capital projects, one for each class of business being underwritten. Keywords: Risk Based Capital. 074052 (M43) Applying the defined benefit principle to a defined contribution scheme. Khorasanee M.Z., City University, London, Actuarial Research Paper Nr. 78, 1995, pp. I-30. A defined,contribution scheme with an explicit defined benefit formula is proposed and the properties of the scheme are investigated through simulation. Methods for distributing surpluses and eliminating deficiencies which involve adjusting the rate of benefit accrual (rather than varying the rate of contribution) are proposed. The behaviour of the scheme under a scenario of persistently unfavourable investment experience is simulated, and methods for satisfactorily dealing with such a scenario are considered. It is concluded that the scheme would pay out more stable and predictable benefits over time than one based purely on the money purchase principle, and that the scheme actuary would play a central role in maintaining an appropriate balance between solvency and stability. Keywords: Solvency.
M50: GAME THEORY AND DECISION THEORY IN INSURANCE, GENERAL AND MISCELLANEOUS 074053 (M50,B50,E40) Numerical simulation as a complement to econometric research on workplace safety. Kniesner T.J. (*), Leeth J.D., Indiana University,