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232036 (M52, M10) Largest claims reinsurance premiums for the weibull model
192
Abstract and Reviews
ruin problem of Probability Theroy; the novelties are the dependence between the outcomes of the successive 'games' played, and the fact that the player's wealth grows with interest (possibly random).
and the relative position of these companies by countries. A statistical analysis is developed and factors that may have an impact on concentration patterns are examined.
Keywords: Reinsurance, Concentration.
Keywords: Surplus, Martingale. 232039 (M52, El0)
M52: REINSURANCE, RETENTIONS 232036 (M52, M10)
Largest Claims Reinsurance Premiums for the Weibull model Kremer K., Deutsche Gesellschaft flit Versicherungsmathematik, Band XXIII, Heft 3, April 1998. Reinsurance treaties based on ordered claims are reconsidered. Under the assumption of Weibull distributed claims sizes certain premium formulas are derived. The paper generalizes and extends a result of Kremer (1986 b).
Keywords: Reinsurance, Ordered claims. 232037 (M52)
The Reinsurer's Strategic Objectives: An Analysis Appling the Theoretical Framework of Prescriptive Decision Theory Graumann M., The Geneva Papers on Risk and Insurance, Issues and Practice, 23, No. 86, 1998 This paper has two intentions. The first intention is to develop strategic objectives for reinsurers. The article is prescriptive and not descriptive. It is not the objectives which reinsurers have that are analyzed but rather the objectives reinsurers could have. The analysis is based on numerous assumptions. This leads to the second intention of the article. The second intention is to show how much the strategic objectives depend on the assumptions made. There is no such thing as "the strategic objectives" of reinsurers. There are only certain strategic objectives depending on certain assumptions. Only if a reinsurer accepts each and every assumption should it also accept the deduced strategic objectives.
Keywords: Reinsurance, Strategic objectives. 232038 (M52, E60)
Size and Concentration Patterns of the World's Largest Reinsurance Companies d'Outreviile J.F., The Geneva Papers on Risk and Insurance, Issues and Practice, 23, No. 86, 1998 By examining the distribution of the social net premiums written by the 100 largest reinsurance companies in the world, this paper documents two dimensions of the change in market concentration: the trend in concentration in the world's largest companies,
A Portfolio Management Systems for Catastrophe Property Liabilities Berger A.J., Mulvey J.M., Nish K., Rush R., Casualty Actuarial Society Forum, Including the DFA Call Papers, Summer 1998 As catastrophe modelling systems become more sophisticated, the property insurance portfolio manager can receive better account loss information than ever before. The authors describe a software system called Smart Writer which effectively processes this information for the portfolio manager. Specifically, the system determines: - Appropriate pricing for an account - Which accounts to remove from a portfolio to maximise risk-adjusted return - How to merge two books of business - Where to grow or shrink business geographically to achieve maximum diversification benefits The authors utilise a number of optimisation techniques to address these issues. We formulate the problem as a large mathematical program with numerous loss scenarios (10,000 or more). They then describe an algorithm to solve the resulting stochastic optimisation problem in order to maximise risk-adjusted return, expected utility, or other user-defined performance measures. The Smart Writer system is a PC-based Windows application. USF&G, a large property and causalty insurance company, currently employs Smart Writer as an integral part of its decision making process.
Keywords: Catastrophic Risk, Property Insurance, Optimisation techniques.
liability
232040 (M52, El0) Implications of Reinsurance and Reserves on Risk of Investment Asset Allocation Venter G.G., Gradwell J.W., Ashab M.Q., Bushel A., Casualty Actuarial Society Forum, Including the DFA Call Papers, Summer 1998 DFA makes possible a greater integration of asset management with underwriting management. This paper looks at how investment risk and reinsurance can affect the overall risk to the company, and how the two can be managed simultaneously. A significant underwriting variable is the risk of loss development, and models of the
Abstract and Reviews
ruin problem of Probability Theroy; the novelties are the dependence between the outcomes of the successive 'games' played, and the fact that the player's wealth grows with interest (possibly random).
and the relative position of these companies by countries. A statistical analysis is developed and factors that may have an impact on concentration patterns are examined.
Keywords: Reinsurance, Concentration.
Keywords: Surplus, Martingale. 232039 (M52, El0)
M52: REINSURANCE, RETENTIONS 232036 (M52, M10)
Largest Claims Reinsurance Premiums for the Weibull model Kremer K., Deutsche Gesellschaft flit Versicherungsmathematik, Band XXIII, Heft 3, April 1998. Reinsurance treaties based on ordered claims are reconsidered. Under the assumption of Weibull distributed claims sizes certain premium formulas are derived. The paper generalizes and extends a result of Kremer (1986 b).
Keywords: Reinsurance, Ordered claims. 232037 (M52)
The Reinsurer's Strategic Objectives: An Analysis Appling the Theoretical Framework of Prescriptive Decision Theory Graumann M., The Geneva Papers on Risk and Insurance, Issues and Practice, 23, No. 86, 1998 This paper has two intentions. The first intention is to develop strategic objectives for reinsurers. The article is prescriptive and not descriptive. It is not the objectives which reinsurers have that are analyzed but rather the objectives reinsurers could have. The analysis is based on numerous assumptions. This leads to the second intention of the article. The second intention is to show how much the strategic objectives depend on the assumptions made. There is no such thing as "the strategic objectives" of reinsurers. There are only certain strategic objectives depending on certain assumptions. Only if a reinsurer accepts each and every assumption should it also accept the deduced strategic objectives.
Keywords: Reinsurance, Strategic objectives. 232038 (M52, E60)
Size and Concentration Patterns of the World's Largest Reinsurance Companies d'Outreviile J.F., The Geneva Papers on Risk and Insurance, Issues and Practice, 23, No. 86, 1998 By examining the distribution of the social net premiums written by the 100 largest reinsurance companies in the world, this paper documents two dimensions of the change in market concentration: the trend in concentration in the world's largest companies,
A Portfolio Management Systems for Catastrophe Property Liabilities Berger A.J., Mulvey J.M., Nish K., Rush R., Casualty Actuarial Society Forum, Including the DFA Call Papers, Summer 1998 As catastrophe modelling systems become more sophisticated, the property insurance portfolio manager can receive better account loss information than ever before. The authors describe a software system called Smart Writer which effectively processes this information for the portfolio manager. Specifically, the system determines: - Appropriate pricing for an account - Which accounts to remove from a portfolio to maximise risk-adjusted return - How to merge two books of business - Where to grow or shrink business geographically to achieve maximum diversification benefits The authors utilise a number of optimisation techniques to address these issues. We formulate the problem as a large mathematical program with numerous loss scenarios (10,000 or more). They then describe an algorithm to solve the resulting stochastic optimisation problem in order to maximise risk-adjusted return, expected utility, or other user-defined performance measures. The Smart Writer system is a PC-based Windows application. USF&G, a large property and causalty insurance company, currently employs Smart Writer as an integral part of its decision making process.
Keywords: Catastrophic Risk, Property Insurance, Optimisation techniques.
liability
232040 (M52, El0) Implications of Reinsurance and Reserves on Risk of Investment Asset Allocation Venter G.G., Gradwell J.W., Ashab M.Q., Bushel A., Casualty Actuarial Society Forum, Including the DFA Call Papers, Summer 1998 DFA makes possible a greater integration of asset management with underwriting management. This paper looks at how investment risk and reinsurance can affect the overall risk to the company, and how the two can be managed simultaneously. A significant underwriting variable is the risk of loss development, and models of the