Global Reinsurance Masterclass series: 1. Re-think reinsurance

At the end of 2009 the reinsurance industry was a confident and optimistic one. A succession of major natural disasters during 2010, however, rocked the industry and since then both competition and regulation have intensified. In this first masterclass of a series of seven, we analyse the current state of the reinsurance industry and suggest strategic responses to the current competitive climate.

Updated: 15/10/2013
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Views: 4,914

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
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Views: 4,181

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

Author(s):

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
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Views: 5,489

Double Chain Ladder

Author(s):

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: 08/07/2015
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Views: 11,501

Continuous Chain Ladder: Reformulating a classical insurance problem

Author(s):

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: 10/06/2013
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Views: 8,352

Monkeys vs Fund managers - An evaluation of alternative equity indices

Author(s):

Andrew Clare

 et al.

A research collaboration between Aon Hewitt and Cass Business School has shown that alternative weighted indices offer better investment strategies than those of the market capitalisation index. Indeed, a computer simulation of random stock-picking, likened to the decision making of a monkey, outperformed a traditional market capitalisation weighted index every time.

Updated: 15/11/2013
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Views: 52,831

Pensions and Growth: Smoothing in Pension Scheme Funding Valuations

In response to continuing deficits in UK defined pension benefit schemes since the start of the millennium, various parties have asked the UK Government to allow pensions schemes to calculate liabilities using a smoothed average of bond yields over several years. This paper explores the reasons for this request, and looks at multiple evidence of what impact, both beneficial and potentially risky, such a move could have.

Updated: 06/01/2015
Comments: 9
Views: 3,064

Non-parametric prediction of stock returns based on yearly data. The long term view.

Author(s):

Jens Nielsen

 et al.
Industry:
Banking

Is it possible to predict equity returns and premiums with the use of empirical models? This is one of the most frequently pondered and studied questions in finance. In this research we examine the predictability of returns, taking the actuarial long term view and basing predictions on yearly data.

Updated: 25/06/2013
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Views: 3,150

Why managing a successful pension scheme is a bit like managing a successful football team.

What are the similarities between a defined benefit pension plan and a football team? On the face of it there may not seem to be many. After all, the football world is populated by overpaid, badly behaved, play acting prima donnas. A far cry from the sober and serious world of defined benefit pensions, where trustees devote huge amounts of their time in the interests of others, for little of no financial reward. However, Professor Andrew Clare draws some interesting analogies between the two.

Updated: 05/12/2012
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Views: 2,680