Ruin Problems: Simulation or Calculation?

1996 ◽  
Vol 2 (3) ◽  
pp. 727-740 ◽  
Author(s):  
D.C.M. Dickson ◽  
H.R. Waters
Keyword(s):  
Life Insurance ◽  
Ruin Probabilities ◽  
Recursive Procedure ◽  
Probability Of Ruin ◽  
Advantages And Disadvantages ◽  
Simulation Techniques ◽  
Time Period ◽  
Insurance Portfolio ◽  
Aggregate Claims

ABSTRACTIn this paper we use a case study of a non-life insurance portfolio to demonstrate how recent research in ruin theory can be applied to solvency problems. By approximating the aggregate claims distribution for the portfolio by a translated gamma distribution, we estimate ruin probabilities through a recursive procedure when the insurer earns investment income on its surplus. We also show the results of applying simulation techniques to this problem, and discuss some advantages and disadvantages of simulation as a means of assessing ruin probabilities. Finally we discuss the calculation of the probability of ruin at the end of a specified time period.

scholarly journals The Cox Regression Model for Claims Data m Non-Life Insurance

1998 ◽  
Vol 28 (1) ◽  
pp. 95-118 ◽  
Author(s):  
Niels Keiding ◽  
Christian Andersen ◽  
Peter Fledelius
Keyword(s):  
Regression Model ◽  
Life Insurance ◽  
Goodness Of Fit ◽  
Cox Regression ◽  
Calendar Time ◽  
Cox Regression Model ◽  
Advantages And Disadvantages ◽  
Standard Tool ◽  
Policy Holder

AbstractThe Cox regression model is a standard tool in survival analysis for studying the dependence of a hazard rate on covariates (parametrically) and time (nonparametrically). This paper is a case study intended to indicate possible applications to non-life insurance, particularly occurrence of claims and rating.We studied individuals from one Danish county holding policies in auto, property and household insurance simultaneously at some point during the four year period 1988-1991 in one company. The hazard of occurrence of claims of each type was studied as function of calendar time, time since the last claim of each type, age of policy holder, urbanization and detailed type of insurance. Particular emphasis was given to the technical advantages and disadvantages (particularly the complicated censoring patterns) of considering the nonparametrically underlying time as either calendar time or time since last claim. In the former case the theory is settled, but the results are somewhat complicated. The latter choice leads to several issues still under active methodological development. We develop a goodness-of-fit criterion which shows the lack of fit of some models, for which the practical conclusions might otherwise have been useful.

MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE

2017 ◽  
Vol 47 (2) ◽  
pp. 417-435 ◽  
Author(s):  
Lourdes B. Afonso ◽  
Rui M. R. Cardoso ◽  
Alfredo D. Egídio dos Reis ◽  
Gracinda Rita Guerreiro
Keyword(s):  
Finite Time ◽  
Classical Model ◽  
Real Data ◽  
Risk Process ◽  
Ruin Probabilities ◽  
Probability Of Ruin ◽  
Insurance Portfolio ◽  
Motor Insurance ◽  
Large Motor ◽  
The Impact

AbstractMotor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in continuous and finite time, is numerically evaluated under the classical Cramér–Lundberg risk process framework for a large motor insurance portfolio, where we allow for a posteriori premium adjustments, according to the claim record of each individual policyholder. Focusing on the classical model for bonus-malus systems, we propose that the probability of ruin can be interpreted as a measure to decide between different bonus-malus scales or even between different bonus-malus rules. In our work, the required initial surplus can also be evaluated. We consider an application of a bonus-malus system for motor insurance to study the impact of experience rating in ruin probabilities. For that, we used a real commercial scale of an insurer operating in the Portuguese market, and we also work on various well-known optimal bonus-malus scales estimated with real data from that insurer. Results involving these scales are discussed.

scholarly journals Multi-Period Aggregate Loss Distributions for a Life Portfolio

1999 ◽  
Vol 29 (2) ◽  
pp. 295-309 ◽  
Author(s):  
David C.M. Dickson ◽  
Howard R. Waters
Keyword(s):  
Life Insurance ◽  
Joint Distribution ◽  
Single Period ◽  
Insurance Portfolio ◽  
Loss Distributions ◽  
Aggregate Claims ◽  
Aggregate Loss

AbstractAlgorithms for the calculation of the distribution of the aggregate claims from a life insurance portfolio have been derived by Kornya (1983), Hipp (1986) and De Pril (1986 and 1989). All these authors considered the distribution of the aggregate claims over a single period. In this paper we derive algorithms for the calculation of the joint distribution of the aggregate claims from a life portfolio over several periods.

scholarly journals Comparison of meteorological indices for drought monitoring and evaluating: a case study from Euphrates basin, Turkey

2020 ◽  
Vol 11 (S1) ◽  
pp. 29-43 ◽  
Author(s):  
Okan Mert Katipoğlu ◽  
Reşat Acar ◽  
Selim Şengül
Keyword(s):  
Drought Index ◽  
Standardized Precipitation Index ◽  
Meteorological Drought ◽  
Rainfall Anomaly ◽  
Drought Indices ◽  
Advantages And Disadvantages ◽  
Time Period ◽  
Score Index

Abstract Drought incidents occur due to the fact that precipitation values are below average for many years. Drought causes serious effects in many sectors, such as agriculture, economy, health, and energy. Therefore, the determination of drought and water scarcity, monitoring, management, and planning of drought and taking early measures are important issues. In order to solve these issues, the advantages and disadvantages of five different meteorological drought indices were compared, and the most effective drought index was determined for monitoring drought. Accordingly, in the monthly, 3-month, and 12-month time period, covering the years between 1966 and 2017 (52 years), Standardized Precipitation Index (SPI), Statistical Z-Score Index (ZSI), Rainfall Anomaly Index (RAI), Standardized Precipitation Evapotranspiration Index (SPEI), and Reconnaissance Drought Index (RDI) were used. It was concluded that precipitation-based SPI and ZSI are similar patterns and precipitation, and temperature-based SPEI and RDI are similar patterns. Also, it has been determined that RAI is more effective than other indices in determining the periods of extreme drought or wet. Furthermore, SPEI and RDI have been found to be superior to other indices as they take into account the water consumption and climate effects caused by evapotranspiration.

Design process for serious activities inspired by play and games: a problem solving with a board game from disengamement and gamification processes (Preprint)

2020 ◽  
Author(s):  
Stéphane Goria ◽  
Louise Dupet ◽  
Maëva Négroni ◽  
Gabriel Sega ◽  
Philippe Arnoux ◽  
...  
Keyword(s):  
Cancer Detection ◽  
Serious Games ◽  
Diagnostic Method ◽  
Scientific Literature ◽  
Imaging Techniques ◽  
Point Of View ◽  
Board Game ◽  
Advantages And Disadvantages ◽  
Design Result

BACKGROUND most serious games and other game-based tools are designed as digital games or escape games. They are designed for learning or sometimes in the field of medicine as an aid to care. However, they can also be seen as an aid to research, in our case, to evaluate the advantages and disadvantages of imaging techniques for cancer detection. OBJECTIVE we present a case study of action research on the design of a serious board game intended to consider the advantages and weaknesses of a diagnostic method in a different ways. The goal was to better understand the principles of designing a tool using game or play. METHODS we explicitly implemented another process than gamification to develop a structure reminiscent of the game to highlight the strengths and weaknesses of different imaging techniques from the point of view of the respondents (in this case specialists not directly involved in the project). Based on this feedback and the scientific literature on this subject, we detail the main categories of games and games developed for serious use in order to understand their differences. Concerning the cancer research part to which game contributes, our method is based on questions asked to experts and practitioners of this specialty. RESULTS an expert point of view translation tool in the form of a game has been realized to apprehend a research in a different way. CONCLUSIONS we show with the help of a diagram, some possible design paths leading to this type of design result including two hidden dimensions to consider (the awareness of the game or play by the "player" and his role as a contributor or recipient).

Science Fiction and Administrative Truths: The Short Story and Novella as Administrative Cases

Public Voices ◽  
2017 ◽  
Vol 2 (3) ◽  
pp. 61
Author(s):  
Nolan J. Argyle ◽  
Lee M. Allen
Keyword(s):  
Science Fiction ◽  
Public Administration ◽  
Short Story ◽  
Interesting Case ◽  
Organizational Complexity ◽  
Professional Career ◽  
Playing Field ◽  
Advantages And Disadvantages ◽  
Hands On

Pre-service and in-service MPA students share a common desire for hands-on, real world instruction related to their professional career goals, leading to a pedagogic discounting of fiction as an appropriate tool for analyzing and "solving" problems. However, several factors weigh heavily in favor of using science fiction short stories and novellas in the MPA classroom setting. These include the need for interesting case scenarios exploring various administrative issues; leveling the playing field between the two types of students by de-emphasizing the use of "contemporary" cases; access to literature that explores the future shock of increasing organizational complexity; and the desirability of Rorschach type materials that facilitate discussion of. values and administrative truths. The discussion proceeds by tracing the development of the case study technique, its advantages and disadvantages in the classroom, addressing the utility of "fiction" as an educational resource, and showing how the science fiction literature has matured to the point where it can be applied in all of the major sub-fields of public administration. Several outstanding examples are detailed, and a thorough bibliography is provided.

scholarly journals Applications of Clustering with Mixed Type Data in Life Insurance

Risks ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 47
Author(s):  
Shuang Yin ◽  
Guojun Gan ◽  
Emiliano A. Valdez ◽  
Jeyaraj Vadiveloo
Keyword(s):  
Life Insurance ◽  
Clustering Algorithm ◽  
Early Stage ◽  
Financial Statements ◽  
Life Insurers ◽  
Insurance Portfolio ◽  
Policy Information ◽  
Spatial Attributes ◽  
Type Data ◽  
Significant Mortality

Death benefits are generally the largest cash flow items that affect the financial statements of life insurers; some may still not have a systematic process to track and monitor death claims. In this article, we explore data clustering to examine and understand how actual death claims differ from what is expected—an early stage of developing a monitoring system crucial for risk management. We extended the k-prototype clustering algorithm to draw inferences from a life insurance dataset using only the insured’s characteristics and policy information without regard to known mortality. This clustering has the feature of efficiently handling categorical, numerical, and spatial attributes. Using gap statistics, the optimal clusters obtained from the algorithm are then used to compare actual to expected death claims experience of the life insurance portfolio. Our empirical data contained observations of approximately 1.14 million policies with a total insured amount of over 650 billion dollars. For this portfolio, the algorithm produced three natural clusters, with each cluster having lower actual to expected death claims but with differing variability. The analytical results provide management a process to identify policyholders’ attributes that dominate significant mortality deviations, and thereby enhance decision making for taking necessary actions.

Sign in / Sign up

Export Citation Format

Share Document