Skip to main content
SpringerLink
Log in

Managing the Insolvency Risk of Insurance Companies

Proceedings of the Second International Conference on Insurance Solvency

  • Conference proceedings
  • © 1991

Overview

Editors:
  1. J. David Cummins

    1. The Wharton School, University of Pennsylvania, Philadelphia, USA

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  2. Richard A. Derrig

    1. Massachusetts Rating Bureaus, Boston, USA

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 169.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 219.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 219.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (12 papers)

  1. Front Matter

    Pages i-xxv
    Download chapter PDF

  2. Operational Models of Risk Assessment

    1. Front Matter

      Pages 1-1
      Download chapter PDF

    2. An Analysis of Underwriting Cycles and Their Effects on Insurance Solvency

      • Gregory Taylor
      Pages 3-76

    3. A Management Model of a General Insurance Company using Simulation Techniques

      • C. D. Daykin, G. B. Hey
      Pages 77-108

    4. Classifying Financial Distress in the Life Insurance Industry

      • Robert Hershbarger, Ran BarNiv
      Pages 109-131

    5. Variability of Pension Contributions and Fund Levels with Random Rates of Return

      • Steven Haberman, Daniel Dufresne
      Pages 133-145

    6. The Value of Ceded Reinsurance

      • J. H. von Eije
      Pages 147-172

    7. Effect of Serially Autocorrelated Profit Margins on the Solvency of Insurers: The Case with Constant Target Margins Set by the Capital Asset Pricing Model

      • Emilio C. Venezian
      Pages 173-189

    8. Some Statistical Distributions for Insured Damages

      • James B. McDonald
      Pages 191-205

  3. Financial Models for Risk Assessment

    1. Front Matter

      Pages 207-207
      Download chapter PDF

    2. A Synthesis of Property-Liability Insurance Pricing Techniques

      • James R. Garven, Stephen P. D’Arcy
      Pages 209-247

    3. Determining the Proper Interest Rate for Loss Reserve Discounting

      • Robert P. Butsic
      Pages 249-261

    4. Safety Loadings for Loss Reserves

      • Glenn Meyers
      Pages 263-281

    5. Rational Insurance Purchasing: Consideration of Contract Non-Performance

      • Neil A. Doherty, Harris Schlesinger
      Pages 283-294

    6. Capital Structure and Fair Profits in Property-Liability Insurance

      • J. David Cummins
      Pages 295-308

  4. Back Matter

    Pages 309-318
    Download chapter PDF
Back to top

Keywords

About this book

Two different applications have been considered, automobile claims from Massachusetts and health expenses from the Netherlands. We have fit 11 different distributions to these data. The distributions are conveniently nested within a single four parameter distribution, the generalized beta of the second type. This relationship facilitates analysis and comparisons. In both cases the GB2 provided the best fit and the Burr 3 is the best three parameter model. In the case of automobile claims, the flexibility of the GB2 provides a statistically siE;nificant improvement in fit over all other models. In the case of Dutch health expenses the improvement of the GB2 relative to several alternatives was not statistically significant. * The author appreciates the research assistance of Mark Bean, Young Yong Kim and Steve White. The data used were provided by Richard Derrig of The Massachusetts Automobile Rating and Accident Prevention Bureau and by Bob Van der Laan and The Silver Cross Foundation for the medical insurance claim data. 2~ REFERENCES Arnold, B. C. 1983. Pareto Distributions. Bartonsville: International Cooperative Publishing House. Cummins, J. D. and L. R. Freifelder. 1978. A comparative analysis of alternative maximum probable yearly aggregate loss estimators. Journal of Risk and Insurance 45:27-52. *Cummins, J. D., G. Dionne, and L. Maistre. 1987. Application of the GB2 family of distributions in collective risk theory. University of Pennsylvania: Mimeographed manuscript. Hogg, R. V. and S. A. Klugman. 1983. On the estimation of long tailed skewed distributions with actuarial applications.

Editors and Affiliations

  • The Wharton School, University of Pennsylvania, Philadelphia, USA

    J. David Cummins

  • Massachusetts Rating Bureaus, Boston, USA

    Richard A. Derrig

Bibliographic Information

  • Book Title: Managing the Insolvency Risk of Insurance Companies

  • Book Subtitle: Proceedings of the Second International Conference on Insurance Solvency

  • Editors: J. David Cummins, Richard A. Derrig

  • Series Title: Huebner International Series on Risk, Insurance and Economic Security

  • DOI: https://doi.org/10.1007/978-94-011-3878-9

  • Publisher: Springer Dordrecht

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media New York 1991

  • Hardcover ISBN: 978-0-7923-9152-4Published: 31 May 1991

  • Softcover ISBN: 978-94-010-5726-4Published: 28 September 2012

  • eBook ISBN: 978-94-011-3878-9Published: 06 December 2012

  • Series ISSN: 0924-5014

  • Edition Number: 1

  • Number of Pages: XXV, 318

  • Topics: Finance, general, Business and Management, general

Publish with us

Policies and ethics

Back to top

Search

Navigation