Stochastic simulation in life office solvency assessment.

160

Abstracts and Reviews

and second order are given, thus enabling one to calculate the efficiency of linear IBNR predictors. (Author) Keywords: 053065

IBNR, Loss Reserving.

(M42,

Negative

MlO)

incremental

claims: chain ladder and linear

models. Verrall

R.J.,

Actuaries,

Li

Z.,

Journal

of

the

Institute

of

Vol. 120, Part I, 1993, pp. 171-183.

Keywords:

This paper considers the application of loglinear models to claims run-off triangles which contain negative incremental claims. Maximum likelihood estimation is applied using the three parameter lognormal distribution. The method can be used in conjunction with any model which can be expressed in lognormal form. In particular the chain ladder technique is considered. An example is given and the results compared with the basic actuarial method. (Authors) Keywords:

Chain

Ladder,

Linear

Models,

Lognormal

Distribution. M43:

FLUCTUATION

RESERVES,

SOLVENCY

MARGINS 053066 (M43, E61) New standard regulations safety reserve in Sweden. Ajne

B.,

Journal,

Sandstriim

regarding A.,

allocation

Scandinavian

to the

Actuarial

nr. 2, 1992, pp. 141-150.

This paper describes a statistical investigation of observed loss ratios and run-offs for a number of Swedish insurance companies within different lines of business. The main aim of the investigation was to revise existing upper limits for allocation to the socalled safety reserve, which is an untaxed contingency reserve. The effort was successful in that new rules were established by the Swedish Supervisory Authority in accordance with the results of the investigation. This paper also contains an exposition of the general principles underlying the Swedish safety reserve. (Authors) Keywords:

Loss Ratios,

pension schemes in the United Kingdom. It considers the definition and disclosure of solvency margins and then goes on to look at the operation of a “Pensioners’ Protection Fund” which would underwrite the solvency of schemes in a winding-up. With submissions due to the Goode Committee before the end of 1992, this paper will provide a well-timed opportunity to discuss some of the issues to be addressed by that Committee. (Authors)

Solvency.

053067 (M43, B13) The supervision and control of pension funding in the United Kingdom. McLeish D.J.D., Stewart C.M., Journal of the Institute of Actuaries, Vol. 120, Part I, 1993, pp. 67-129.

This paper looks at the existing controls on minimum funding standards and the solvency of defined benefit

Funding,

Pensions,

Solvency,

Supervision,

Surplus. 053068 (M43, M22, BlO) Stochastic simulation in

life

office

solvency

assessment. Hardy M.R., Journal of the Institute 120, Part I, 1993, pp. 131-152.

of Actuaries,

Vol.

In this paper an asset/liability model is used to compare the quality of information available from a set of stochastic simulations with a traditional deterministic sensitivity test approach. The traditional approach applied to a range of variants of the basic model office fails to distinguish adequately very risky strategies from relatively secure strategies. The stochastic simulation method succeeds in ranking the various strategies considered into an intuitively satisfactory order of insolvency risk, as well as giving quantitative information on the relative probabilities of insolvency of different strategies and on the timing of potential (Author) solvency problems. Keywords:

MS&

Ltfe Of$ce, Solvency,

GAME THEORY

THEORY

Wilkie Model.

AND DECISION

IN INSURANCE,

GENERAL

AND

MISCELLANEOUS 053069 (M50, E12) Testing between alternative

models

of choice

certainty-comment. Quiggin J., Australian National University, Australia, Journal of Risk and Uncertainty, 2, april 1993, pp. 161-164.

under

Canberra, Vol. 6, nr.

Battaglio, Kagel, and Jiranyakul use experimental tests to compare rank-dependent expected utility (RDEU), regret theory, prospect theory, and Machina’s generalized smooth preferences model. They conclude that none of these models consistently organizes the data. The purpose of this note is to point out that RDEU theory was tested in combination with a hypothesis on