scholarly journals Three R's of Insurance—Risk, Retention and Reinsurance by R. E. Beard Journal of the Institute of Actuaries Student's Society, March 1959.

1960 ◽  
Vol 1 (4) ◽  
pp. 238-239
Author(s):  
M. D.
Keyword(s):  
Insurance Risk ◽  
Risk Retention

Three R's of Insurance—Risk, Retention and Reinsurance.

1960 ◽  
Vol 15 (06) ◽  
pp. 399-421
Author(s):  
R. E. Beard
Keyword(s):  
Experimental Work ◽  
Life Insurance ◽  
Mathematical Statistics ◽  
Insurance Risk ◽  
Elementary Approach ◽  
Precise Formulation ◽  
The Many ◽  
Risk Retention

Just over four years ago I had the pleasure of presenting a paper to the Students' Society on some aspects of non-life insurance (J.S.S.13, 139) and I would first like to thank the Society for again giving me an opportunity of putting on paper some further ideas which have largely flowed from my interests in the non-life field. Frankly this paper is of an exploratory nature and suffers from all the defects of reporting continuing experimental work. I hope therefore that the many obvious loose ends will be viewed in this light and that members will be able to sense the excitement of this relatively undeveloped field.The purpose of this paper is not to provide a guide through the various papers that have appeared relating to the three related topics of retention, reinsurance and risk but rather to provide an elementary approach to these problems with the object of stimulating interest in some aspects of actuarial practice which are largely regarded as lying in the realm of ‘experience judgment’ but which are capable of precise formulation against a background of mathematical statistics.

scholarly journals Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method

Mathematics ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 982
Author(s):  
Yujuan Huang ◽  
Jing Li ◽  
Hengyu Liu ◽  
Wenguang Yu
Keyword(s):  
Fourier Series ◽  
Ruin Probability ◽  
Risk Model ◽  
Expansion Method ◽  
Nonparametric Estimator ◽  
Insurance Risk ◽  
Numerical Examples ◽  
Complex Fourier Series ◽  
Premium Income ◽  
Insurance Risk Model

This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method. Then, we construct a nonparametric estimator of the ruin probability and analyze its convergence. Numerical examples are also provided to show the efficiency of our method when the sample size is finite.

scholarly journals The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1350
Author(s):  
Galina Horáková ◽  
František Slaninka ◽  
Zsolt Simonka
Keyword(s):  
Life Insurance ◽  
Continuous Time ◽  
Ruin Probability ◽  
Proportional Reinsurance ◽  
Insurance Risk ◽  
Optimal Reinsurance ◽  
Insurance Contracts ◽  
Time Period ◽  
Different Types ◽  
Capital Injections

The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains. In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.

scholarly journals Individual Property Risk Management

2010 ◽  
Vol 2010 ◽  
pp. 1-11
Author(s):  
Michael S. Finke ◽  
Eric Belasco ◽  
Sandra J. Huston
Keyword(s):  
Risk Management ◽  
Financial Planning ◽  
Optimal Choice ◽  
Excess Risk ◽  
Individual Property ◽  
Risk Transfer ◽  
Potential Gain ◽  
Theoretical Assumptions ◽  
Property Losses ◽  
Risk Retention

This paper reviews household property risk management and estimates normatively optimal choice under theoretical assumptions. Although risk retention limits are common in the financial planning industry, estimates of optimal risk retention that include both financial and human wealth far exceed limits commonly recommended. Households appear to frame property losses differently from other wealth losses leading to wealth-reducing, excess risk transfer. Possible theoretical explanations for excess sensitivity to loss are reviewed. Differences between observed and optimal risk management imply a large potential gain from improved choice.

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