The REF: an effective tool, or does it inhibit creativity?

Amanda Goodall, Senior Lecturer in Management at Cass, debates the merits or otherwise of the Research Excellence Framework (REF) with her husband Andrew Oswald, professor of economics at the University of Warwick.

Updated: 16/05/2013
Views: 1,328

Double Chain Ladder, Claims Development Inflation and Zero Claims

Our previous academic research into Double Chain Ladder demonstrated how the classical chain ladder technique can be broken down into separate components. In this paper, we continue our investigation of the double chain ladder, and illustrate a simple way to include prior knowledge of severity inflation and future zero claims into the framework of the model.

Updated: 13/05/2013
Views: 1,928

Prediction of RBNS and IBNR claims using claim amounts and claim counts


Richard Verrall

 et al.

This paper proposes a stochastic model for loss reserving based on incremental reported claim numbers and paid amounts, and which serves to predict Reported But Not Settled (RBNS) and Incurred But Not Reported (IBNR) claims separately. The paper takes the approach of building a model for aggregate paid claims from basic principles at the level of individual data. The research suggests that the use of the aggregated counts data can improve reserving accuracy.

Updated: 02/05/2013
Views: 2,173

Cass and Unigestion - Private Equity & Investment Management briefing - 1 May 2013

As a result of the recently established collaboration between Unigestion, the boutique Swiss Asset Management and Cass Business School's Centre for Asset Management (CAMR), this Breakfast Briefing Series is an opportunity for the academic world and the investment management world to discuss and debate investment methods and techniques, in theory and in practice.

Updated: 26/08/2014
Comments: 1
Views: 1,488

Double Chain Ladder


María Miranda

 et al.

This paper presents an extension to the model for forecasting outstanding claims liabilities, formulated by Verrall et al. (2010). The resulting model is closely related to the chain ladder method. So close in fact, it is possible to produce exactly the same results, if a particular choice is made about the way the estimates are obtained. This raises the question of why a new method is necessary. This research puts forward several answers.

Updated: 30/06/2014
Comments: 2
Views: 4,723

Continuous Chain Ladder: Reformulating a classical insurance problem


Jens Nielsen

 et al.

The estimate of outstanding liabilities is of immense importance to non-life insurance companies. The task of estimating this number is frequently left to actuaries. This paper introduces a number of new methodologies and approaches to estimating outstanding liabilities in non-life insurance, and invites greater participation from operational research statisticians in improving research into the matter.

Updated: 16/08/2014
Comments: 1
Views: 4,733

Modelling Dependence in CDS and Equity Markets: Dynamic Copula with Markov-Switching


Elena Kalotychou

 et al.

This research utilises copulas to build on existing work on the non-linear relation between credit spreads and tradable systematic risk factors.

Updated: 23/05/2013
Views: 1,202

The role of paradox in understanding female career progression within UK professional services firms

In recent years, professional services firms have increasingly promoted their commitment to workplace gender diversity and inclusion (D&I). Research demonstrates that there are three narratives commonly cited to justify D&I. This study argues that the way in which organisational leaders combine and utilise these three narratives can help to predict their success in promoting gender diversity at senior levels.

Updated: 15/04/2013
Views: 5,397

Supply Chain Agility: The contribution of information technology

In the final part of this series of blogs, Dr. Canan Kocabasoglu-Hillmer examines how information technology can strengthen the link between strategic sourcing and supply chain agility. This series concludes with a view of the direction strategic sourcing should take in the future.

Updated: 06/08/2014
Comments: 2
Views: 3,911