One-Year Premium Risk and Emergence Pattern of Ultimate Loss Based on Conditional Distribution

AbstractWe study the relation between one-year premium risk and ultimate premium risk. In practice, the one-year risk is sometimes related to the ultimate risk by using a so-called emergence pattern formula which postulates a linear relation between both risks. We define the true emergence pattern of the ultimate loss for the one-year premium risk based on a conditional distribution of the ultimate loss derived from a multivariate distribution of the claims development process. We investigate three models commonly used in claims reserving and prove that the true emergence pattern formulas are different from the linear emergence pattern formula used in practice. We show that the one-year risk, when measured by VaR, can be under and overestimated if the linear emergence pattern formula is applied. We present two modifications of the linear emergence pattern formula. These modifications allow us to go beyond the claims development models investigated in the first part and work with an arbitrary distribution of the ultimate loss.

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Steadiness of expectation theory measured by swaption curve

AlfaPublicaciones ◽

10.33262/ap.v3i2.1.46 ◽

2021 ◽

Vol 3 (2.1) ◽

pp. 6-26

Author(s):

Antonio Ruben Santillan Pashma

Keyword(s):

Interest Rate ◽

Financial Crisis ◽

Interest Rates ◽

Banking Sector ◽

Fixed Income ◽

Short Term ◽

High Volatility ◽

Expectation Theory ◽

One Year ◽

Premium Risk

The financial crisis that broke out in mid-2007 has spread in the existing financial system with great instability favoring the devaluation of currencies with the fall in market interest rates. This has caused potential investors to become more risk-averse and therefore, look for financial products, although lower profitability, also poses less risk. Following this line, it is the Fixed Income assets that have acquired greater prominence in these times of crisis. This article highlights the strength of the expectation theory in different tranches, using EURIBOR rate to determine implicit forwards, and estimate the price of a one-year swap contract with 3 months of maturity, and comparing in every moment with the real prices of swap as a benchmark. SWAP is the bigger derivative inside of the group of Fixed Income Assets. After the quantitative analyst, it has been observed how the theory prevails of sceneries of low volatility but falls on sceneries when the volatility starts to increase. Introduction. One of the basic assumptions about financial theory is talking about the expectations theory. Since the middle of the eighties, this theory has been used as the unbiased estimator to calculate the swap interest rate in the base of the spot bank interest rate. Aim. Quantitativa analyst of the steadiness of expectations theory in differents economical cycles, using the European Central bank as the source to get hold of the EURIBOR spot rates for 3 months, 6 months, 9 months, and 12months from 2004 to 2016. Results. During the periods before the crisis 2007, the prices of the IRSWAP are almost adjusted between the market and what the financial theory says. The situation starts to change after the financial crisis when the volatility of the market starts to increase due to the instability of the banking sector and traders started with speculations strategies forgetting the aim of hedging, operating, new positions the majority in the short term. Conclusion. Whether for speculative reason or interventions actions of the monetary authority, the theory e “EXPECTATIONS THEORY”, it is not an efficient predictor with out using a premium risk, during the periods of high volatility.

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One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model

Risks ◽

10.3390/risks9090152 ◽

2021 ◽

Vol 9 (9) ◽

pp. 152

Author(s):

Marcin Szatkowski ◽

Łukasz Delong

Keyword(s):

Simulation Study ◽

Value At Risk ◽

Risk Measure ◽

Estimation Error ◽

Individual Development ◽

Emergence Pattern ◽

Ladder Model ◽

Chain Ladder ◽

One Year ◽

The One

We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks with Value-at-Risk. The second goal is to estimate the true emergence pattern of the ultimate loss, i.e., the conditional distribution of the one-year loss given the ultimate loss, from which we can properly derive a risk measure for the one-year horizon from the simulations of ultimate losses. Finally, our third goal is to test if classical actuarial distributions can be used for modelling of the outstanding loss from the ultimate and the one-year perspective. In our simulation study, we investigate several synthetic loss triangles with various duration of the claims development process, volatility, skewness, and distributional assumptions of the individual development factors. We quantify the reserve risks without and with the estimation error of the claims development factors.

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Between ‘Savage Man’ and ‘Most Faithful Englishman’ Manteo and the Early Anglo-Indian Exchange, 1584–1590

Itinerario ◽

10.1017/s0165115300044545 ◽

2000 ◽

Vol 24 (2) ◽

pp. 146-169 ◽

Cited By ~ 1

Author(s):

Michael Leroy Oberg

Keyword(s):

North Carolina ◽

Chesapeake Bay ◽

One Year ◽

Anglo Indian

In August of 1587 Manteo, an Indian from Croatoan Island, joined a group of English settlers in an attack on the native village of Dasemunkepeuc, located on the coast of present-day North Carolina. These colonists, amongst whom Manteo lived, had landed on Roanoke Island less than a month before, dumped there by a pilot more interested in hunting Spanish prize ships than in carrying colonists to their intended place of settlement along the Chesapeake Bay. The colonists had hoped to re-establish peaceful relations with area natives, and for that reason they relied upon Manteo to act as an interpreter, broker, and intercultural diplomat. The legacy of Anglo-Indian bitterness remaining from Ralph Lane's military settlement, however, which had hastily abandoned the island one year before, was too great for Manteo to overcome. The settlers found themselves that summer in the midst of hostile Indians.

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Some Biological Applications of High Voltage Electron Microscopy

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100051505 ◽

1974 ◽

Vol 32 ◽

pp. 298-299

Author(s):

Hans Ris

Keyword(s):

High Voltage ◽

Chromosome Structure ◽

Nerve Fibers ◽

Good Resolution ◽

High Voltage Electron Microscopy ◽

Voltage Electron ◽

University Of Wisconsin ◽

High Voltage Electron ◽

One Year ◽

The University

The High Voltage Electron Microscope Laboratory at the University of Wisconsin has been in operation a little over one year. I would like to give a progress report about our experience with this new technique. The achievement of good resolution with thick specimens has been mainly exploited so far. A cold stage which will allow us to look at frozen specimens and a hydration stage are now being installed in our microscope. This will soon make it possible to study undehydrated specimens, a particularly exciting application of the high voltage microscope.Some of the problems studied at the Madison facility are: Structure of kinetoplast and flagella in trypanosomes (J. Paulin, U. of Georgia); growth cones of nerve fibers (R. Hannah, U. of Georgia Medical School); spiny dendrites in cerebellum of mouse (Scott and Guillery, Anatomy, U. of Wis.); spindle of baker's yeast (Joan Peterson, Madison) spindle of Haemanthus (A. Bajer, U. of Oregon, Eugene) chromosome structure (Hans Ris, U. of Wisconsin, Madison). Dr. Paulin and Dr. Hanna are reporting their work separately at this meeting and I shall therefore not discuss it here.

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Osseointegration interface of calcified bone and endosseous implants

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100130110 ◽

1992 ◽

Vol 50 (2) ◽

pp. 1096-1097

Author(s):

K.E. Krizan ◽

J.E. Laffoon ◽

M.J. Buckley

Keyword(s):

Structure And Function ◽

Titanium Implants ◽

En Bloc ◽

Endosseous Implants ◽

Ultrastructural Studies ◽

The Past ◽

Cacodylate Buffer ◽

One Year ◽

And Function

With increase use of tissue-integrated prostheses in recent years it is a goal to understand what is happening at the interface between haversion bone and bulk metal. This study uses electron microscopy (EM) techniques to establish parameters for osseointegration (structure and function between bone and nonload-carrying implants) in an animal model. In the past the interface has been evaluated extensively with light microscopy methods. Today researchers are using the EM for ultrastructural studies of the bone tissue and implant responses to an in vivo environment. Under general anesthesia nine adult mongrel dogs received three Brånemark (Nobelpharma) 3.75 × 7 mm titanium implants surgical placed in their left zygomatic arch. After a one year healing period the animals were injected with a routine bone marker (oxytetracycline), euthanized and perfused via aortic cannulation with 3% glutaraldehyde in 0.1M cacodylate buffer pH 7.2. Implants were retrieved en bloc, harvest radiographs made (Fig. 1), and routinely embedded in plastic. Tissue and implants were cut into 300 micron thick wafers, longitudinally to the implant with an Isomet saw and diamond wafering blade [Beuhler] until the center of the implant was reached.

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Effectiveness of a 24-hour nicotine patch in conjunction with a cognitive behavioural programme: one year outcome transdermal

Addiction ◽

10.1046/j.1360-0443.1997.921274.x ◽

1997 ◽

Vol 92 (1) ◽

pp. 27-31

Author(s):

Robyn L. Richmond ◽

Linda Kehoe ◽

Abilio Cesar De Almeida Neto

Keyword(s):

Nicotine Patch ◽

Cognitive Behavioural ◽

One Year

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Resources: Internet Resources for the Independent Medical Evaluator – 2007

Guides Newsletter ◽

10.1001/amaguidesnewsletters.2007.julaug02 ◽

2007 ◽

Vol 12 (4) ◽

pp. 4-7

Author(s):

Christopher R. Brigham ◽

Jenny Walker

Keyword(s):

Head Trauma ◽

Clonic Seizure ◽

Acute Subdural Hematoma ◽

Orbital Fracture ◽

Orbital Wall ◽

First Occurrence ◽

One Year ◽

The One ◽

Neurological Injuries ◽

Medial Orbital Wall

Abstract Rating patients with head trauma and multiple neurological injuries can be challenging. The AMA Guides to the Evaluation of Permanent Impairment (AMA Guides), Fifth Edition, Section 13.2, Criteria for Rating Impairment Due to Central Nervous System Disorders, outlines the process to rate impairment due to head trauma. This article summarizes the case of a 57-year-old male security guard who presents with headache, decreased sensation on the left cheek, loss of sense of smell, and problems with memory, among other symptoms. One year ago the patient was assaulted while on the job: his Glasgow Coma Score was 14; he had left periorbital ecchymosis and a 2.5 cm laceration over the left eyelid; a small right temporoparietal acute subdural hematoma; left inferior and medial orbital wall fractures; and, four hours after admission to the hospital, he experienced a generalized tonic-clonic seizure. This patient's impairment must include the following components: single seizure, orbital fracture, infraorbital neuropathy, anosmia, headache, and memory complaints. The article shows how the ratable impairments are combined using the Combining Impairment Ratings section. Because this patient has not experienced any seizures since the first occurrence, according to the AMA Guides he is not experiencing the “episodic neurological impairments” required for disability. Complex cases such as the one presented here highlight the need to use the criteria and estimates that are located in several sections of the AMA Guides.

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