bluuebunny/crossref_metadata_2025_split huggingface dataset:
On the Use of Linear Discriminant Functions in the Realm of Industrial Accident Insurance
Authors: van Klinken J. 
Published: July 2016

Discriminant analysis is an application of multivariate analysis, which may have its use in determining accident risk levels and premiums of industrial enterprises. This paper only aims to give some suggestions. The following questions will be considered.1. Determining a discriminant function which makes it possible to discriminate between the risk levels of the industrial branches in an efficient way. The industrial branches comprise enterprises with comparable risk levels, hence they are to be considered as homogeneous groups. The function will at the same time serve as a means to classify seperate enterprises into one of these groups.2. Fixing risk functions which enable us to rank the enterprises of an industrial branch to increasing risk on the ground of observations of a number of variates which characterize the risk situation.3. Using these risk functions to calculate premiums. The classification-question mentioned under I was the reason to consider the technique of the discriminant analysis. By virtue of the Dutch Industrial Accidents Act every five years a tariffdecree is being published. This decree contains the premiums per wage-unit for the industrial branches. However, there are enterprises e.g. large compound enterprises which do not fall under these regulations. These enterprises ought to be classified according to their own experience. That means we need the knowledge of the risk levels of these particular enterprises in relation to the fixed risk levels of the industrial branches. As mentioned, this is a problem inherent to the typical Dutch situation. It seems, however, probable that such problems and the techniques we intend to sketch have a wider and more general meaning for the accident insurance.
A Combination of Surplus and Excess Reinsurance of a Fire Portfolio
Authors: Benktander Gunnar , Ohlin Jan 
Published: July 2016

Reinsurance forms can roughly be classified into proportional and non-proportional. The authors of this paper had planned to investigate the “efficiency” of two different reinsurance forms, one from each of these categories. Efficiency is here understood as reduction in the variance of the annual results of the risk business achieved per unit of ceded reinsurance risk premium. This investigation may be carried out in full later.This note will only deal with the interplay between surplus and excess of loss reinsurance; more specifically the effect of changes in the volume of surplus cessions on the excess of loss risk premium.The study came out of a practical Fire Reinsurance rating problem and will be carried through under very simplified assumptions. Thus we will ignore the conflagration hazard and the possibility of a wrongly taxed PML. This means that if amounts above a PML of M are ceded on a surplus basis the highest loss per event will be M, and an excess cover above a priority m will never pay more than M-m per event.The following notations will be usedR(M) ceded risk premium volume on surplus basis, the PML retention being M.πM(m) excess of loss risk premium if priority is m and surplus cessions are made above a PML of M.
Application of Reliability Theory to Insurance
Authors: Straub E. 
Published: July 2016

1. There is a general rule applicable to all insurance and reinsurance fields according to which the level of the so-called technical minimum premium should be fixed such that a certain stability criterion is satisfied for the portfolio under consideration. The two bestknown such criteria are(i) the probability that there is a technical loss in any of the future years should be less than a given percentage(ii) the probability that the company gets “ruined” i.e. initial reserves plus accumulated premiums minus accumulated claims becomes negative at any time of a given period in the future should be less than a tolerated percentage.Confining ourselves to criterion (i) in the present paper we may then say that the problem of calculating technical minimum premiums is broadly spoken equivalent with the problem of estimating loss probabilities. Since an exact calculation of such probabilities is only possible for a few very simple and therefore mostly unrealistic risk models and since e.g. Esscher's method is not always very easy to apply in practice it might be worthwhile to describe in the following an alternative approach using results and techniques from Reliability Theory in order to establish bounds for unknown loss probabilities.It would have been impossible for me to write this paper without having had the opportunity of numerous discussions with the Reliability experts R. Barlow and F. Proschan while I was at Stanford University. In particular I was told the elegant proof of theorem 3 given below by R. Barlow recently.
A Mutual Reinsurance Scheme
Authors: Bohman Harald , Grenander Ulf 
Published: July 2016

In order to make this report clear to those without experience in insurance matters, we first present some basic facts about the insurance business. In so doing we intentionally omit certain facts irrelevant to the present study. The most important omission of this kind is our assumption that the insurance business operates without administrative expenses and without sales costs. We also assume that the insurance business is run in such a way that no profit is made. It will be evident to readers already directly connected with insurance problems what further omissions we have made and why we have made them.Insurance is the establishment of a contract between the insurance company and the insured person This contract is by tradition called the “insurance policy” and the insured person is called the “policyholder”. By agreeing to the insurance policy, the policyholder commits himself to paying certain premiums to the insurance company, and the insurance company commits itself to paying certain amounts to the policyholders. The conditions under which such payments are to be made are of many different kinds: the policy-holder dies, the policyholder becomes ill, a homeowner's house is burnt down, or the policyholder has a collision in his car. The circumstances under which a payment is to be made to the policy-holder are described in detail in the insurance policy. The amount to be paid is either fixed or variable: in life insurance the amount to be paid is always fixed and stated in the insurance policy, but in most other forms of insurance the intention is that the insurance compensate the policyholder for the losses he might incur as a consequence of the events covered by his policy.
Correlations between excess of loss reinsurance covers and reinsurance of the n largest claims baruch berliner
Authors: Berliner Baruch 
Published: July 2016

E. Franckx [1] has established the distribution function of the largest individual claim of a portfolio. By assuming the number of claims to be Poisson distributed, H. Ammeter was able to develop the distribution function of the total loss excluding the largest individual claim [2] as well as the distribution function of the nth largest claim [3].Of course, the nth largest claim is dependent on the largest claim, second largest claim and so on, down to the (nth — 1) largest claim. If we assume the number of claims to be Poisson distributed and the amount of the individual claim to be Pareto distributed, the correlation between the mth largest and the nth largest claim can be expressed by an analytical formula which is susceptible to numerical computation.With this knowledge we shall be able to compute the variance of the sum of the n largest claims and moreover the correlation between the sum of the n largest claims and the total loss amount. Although an excess of loss reinsurance treaty and a treaty reinsuring the n largest claims are very different in their construction, this paper will show that from a practical point of view there exists a similarity between the two treaties. The correlation coefficient between the sum of the n largest claims and the sum of all claims exceeding a certain limit enables us to assess the degree of similarity.The correlation coefficient and thus the degree of similarity will prove to be high even in case of the reinsurance of only a small number of largest claims.Finally, the knowledge of the two first moments of the sum of the n largest claims allows us to compute the premium and the security or variance loading for the reinsurance of the n largest claims.
Some aspects on reinsurance profits and loadings
Authors: Benktander G. 
Published: July 2016

In a note on the security loading of excess loss rates I am deducing a simple formula intended to replace some tedious calculations. In the beginning of that note I made the point that some authors recommend a loading proportional to the dispersion of the total claims amount of a treaty δ1 while others tend to favour .I also stated that a loading proportional to δ1 or its estimate δ1* could be deduced from the statistical uncertainty in measuring the risk (section 4).The question has been raised if and to what extent a loading system based on the dispersion is unduly punishing the smaller portfolios. This will be examined below.The pricing concept will be analyzed from the point of view of a big dominating Reinsurer who wants to be fair in all directions. The conclusion of this study supports an affirmative answer to the question put above.In a second part the loading is studied from a different angle bringing competition into the picture. The pricing or loading becomes a problem of operations research under the simplified assumption that profit is the only purpose of our activity. Not unexpectedly, the loading coming out from this aspect differs from those of part one.Part two also deals with the question of how much of the loadings which we are aiming for, get lost in the competitive process. It is also shown that in most cases the harder the competition is, the higher loadings shall be used.Part one and part two thus deal with the loading problem from different aspects, and illustrate the complexity of the problem. It is my hope that this note could stimulate further researches in this interesting and important area, also in a moment when some reinsurers are more concerned with the question of surviving than in fixing the loadings which should on the average and in the long run turn up as profits.
Planning Problems Of A Gambling-House with Application to Insurance Business
Authors: Bohman Harald 
Published: July 2016

In the classical risk theory the interdependence between the security loading and the initial risk reserve is studied. It could be said that the purpose of these studies are to state how large the security loading must be in order to avoid ruin of the insurance business. It has often been said that the classical approach with an infinite planning horizon is unrealistic. The main reason for this attitude is that if the security loading is equal to zero then ruin is certain. Since in practice it is often difficult to estimate the true size of the security loading the whole problem of ruin or non-ruin seems to rest on a rather shaky foundation. This attitude to the problem is reflected in studies in risk theory performed in recent years. The infinite planning horizon is then often replaced by a finite time period. Since the probability of ruin during a short period of time depends to a minor extent on the size of the security loading these studies are concentrated mainly on the shape of the claim distribution, while the security loading is of minor interest.Let us think of a gambling-house, where coin-tossing is practised. Let us assume that the gambling-house for reason of fairness decides to pay two dollars to each winner who has staked one dollar. Probability theory tells us that however rich the gambling-house may be, it will be ruined in the long run. This simple example reminds us of the trivial fact that insurance business without a sufficient security loading in the premium is commercially impossible.
Optimal Insurance Arrangements
Authors: Borch Karl 
Published: July 2016

In a recent paper on the theory of demand for insurance Arrow [1] has proved that the optimal policy for an insurance buyer is one which gives complete coverage, beyond a fixed deductible. The result is proved under very general assumptions, but its content can be illustrated by the following simple example.Assume that a person is exposed to a risk which can cause him a loss x, represented by a stochastic variable with the distribution F(x). Assume further that he by paying the premium P(y) can obtain an insurance contract which will guarantee him a compensation y(x), if his loss amounts to x. The problem of our person is to find the optimal insurance contract, i.e. the optimal function y(x), when the price is given by the functional P(y).In order to give an operational formulation to the problem we have outlined, we shall assume that the person's attitude to risk can be represented by a Bernoulli utility function u(x), and we shall write S for his “initial wealth”. His problem will then be to maximizewhen the functional P(y) is given, and y(x) є Y. The set Y can be interpreted as the set of insurance policies available in the market. It is, natural to assume that o ≤ y(x) ≤ x, but beyond this there is no need for assuming additional restrictions on the set Y.
On the Rating of a Special Stop Loss Cover
Authors: Benktander Gunnar 
Published: July 2016

Stop Loss reinsurance has attracted the interest of ASTIN members for years. May I recall the paper of Borch [1] in which he demonstrates some optimality qualities of the stop loss reinsurance from the ceding company's point of view, the contribution of Kahn [2] and the paper of Pesonen [3]. I also mention the paper of Esscher [4] and Verbeek's contribution [5]. Going back to the pre-ASTIN days we find a paper of Dubois [6].The rating problems have been dealt with by several authors. Let me recall the rating formula worked out by a group of Dutch Actuaries some 20 years ago. This was based on the assumption that the mean and the standard deviation were known. Based on Chebycheff's inequality an approximation formula was worked out which, of course, was heavily on the safe side.Even younger members of ASTIN are probably familiar with the studies made in the early sixties by a group of Swedish Actuaries, the results of which were presented by Bohman at the Actuarial Congress in London in 1964. Partly based on this, Bühlmann worked out some tables which he used for rating purposes.My present contribution to the subject may not justify the above reviews, particularly as I will deal with a very special retention situation which a practical underwriter will rightly not accept, namely a stop-loss point as low as equal to the mean value of the distribution.My excuse for this is that the formula deduced is very handy and that it is of value to the underwriter to know the stop loss risk rate also at this low level.
Compulsory Third Party Insurance: Methods of Making Explicit Allowance for Inflation
Authors: Bruton B. J. , Cumpston J. R. 
Published: July 2016

SummaryAn inflation index is essential when constructing claim payment models from past payment data, and when projecting these results to give estimates of the provisions for outstanding claims and of necessary premiums.This paper examines the choice of inflation indices for compulsory third party insurance in two Australian states. Two different indices, one based on average weekly earnings per employed male unit and the other based on consumer prices, were tested. The index based on average weekly earnings was considered to be superior in that past claim payment data, together with this index, gave reasonably stable claim payment models.Some experiments were made for an actual office to illustrate the effects of different inflation rate assumptions.
Study of Factors Influencing the Risk and their Relation to Credibility Theory
Authors: Cabral Maria Amélia , Garcia Jorge Afonso 
Published: July 2016

The study and analysis of the various factors influencing insurance risks constitutes an intricate and usually quite extensive problem. We have to consider on the one hand the nature and heterogeneity of the elements we have been able to measure, and on the other the problem of deciding—without knowing exactly what results to expect—on the types of analysis to carry out and the form in which to present the results.These difficulties, essentially stemming from the fact that we cannot easily define “a priori” a measure of influence, can be overcome only by using highly sophisticated mathematical models. The researcher must define his objectives clearly if he is to avoid spending too much of his time in exploring such models.Either for these reasons or for lack of our experience in this field we were led to the study of three models, presenting entirely different characteristics though based on the analysis and behaviour of mean value fluctuations, measured by their variances or by the least-squares method.Our first model, described in II. 1, associates the notion of influence with the notion of variance. It analyses in detail the alteration of the mean values variance, when what we refer to as a “margination” is executed in the parameter space, taking each of the parameters in turn. We start off by having n distinct parameters, reducing them by one with each step.
La Soif du Bonus
Authors: Lemaire Jean 
Published: July 2016

SummaryIn motorcar insurance is widely used a merit rating system characterized by the fact that only the number of claims occurred (and not their amount) modifies the premium. This system induces the insured drivers to support themselves the cost of the cheap claims. We analyze this “hunger for bonus” and solve this decision problem by means of an algorithm related to dynamic programming. The method is then applied to the Belgian bonus system.
Approximations to Risk Theory's F(x, t) by Means of the Gamma Distribution
Authors: Seal Hilary L. 
Published: July 2016

It seems that there are people who are prepared to accept what the numerical analyst would regard as a shockingly poor approximation to F (x, t), the distribution function of aggregate claims in the interval of time (o, t), provided it can be quickly produced on a desk or pocket computer with the use of standard statistical tables. The so-called NP (Normal Power) approximation has acquired an undeserved reputation for accuracy among the various possibilities and we propose to show why it should be abandoned in favour of a simple gamma function approximation.Discounting encomiums on the NP method such as Bühlmann's (1974): “Everybody known to me who has worked with it has been surprised by its unexpectedly good accuracy”, we believe there are only three sources of original published material on the approximation, namely Kauppi et al (1969), Pesonen (1969) and Berger (1972). Only the last two authors calculated values of F(x, t) by the NP method and compared them with “true” four or five decimal values obtained by inverting the characteristic function of F(x, t) on an electronic computer.
Calculation of Ruin Probabilities when the Claim Distribution is Lognormal
Authors: Thorin Olof , Wikstad Nils 
Published: July 2016

In this paper some ruin probabilities are calculated for an example of a lognormal claim distribution. For that purpose it is shown that the lognormal distribution function, Λ(y), may be written in the formwhere V(x) is absolutely continuous and without being a distribution function preserves some useful properties of such a function.An attempt is also made to give an approximant Λα(y) to Λ(y) such that Λα(y) is a linear combination of a low number of exponential distributions. For comparison, ruin probabilities are also calculated for two examples of Λα(y).In the considered numerical cases it is assumed that the occurrence of claims follows a Poisson process.
Calculation of Price Equilibria for Utility Functions of the HARA Class
Authors: Lienhard Markus 
Published: July 2016

AbstractWe explicitly calculate price equilibria for power and logarithmic utility functions which—together with the exponential utility functions—form the so-called HARA (Hyperbolic Absolute Risk Aversion) class.A price equilibrium is economically admissible in the market which is a closed system. Furthermore it is on the one side individually optimal for each participant of the market (in the sense of maximal expected utility), on the other side it is a Pareto optimum and thus collectively optimal for the market as a whole.
A maintenance-focused approach to complex system design
Authors: Yu Bo Yang , Honda Tomonori , Zubair Syed M. , Sharqawy Mostafa H. , Yang Maria C. 
Published: July 2016

AbstractMaintenance plays a critical role in reducing operating cost and maximizing reliability of a complex engineering system. This paper proposes a novel maintenance-focused, system-level design framework that attempts to capture the interactions between maintenance strategies and system-level design parameters overlooked in current modeling approaches. The goal of this maintenance-focused approach is to help designers better understand the interconnectedness of system architecture, choice of maintenance strategy, and uncertainties in a design. Application of the proposed design framework is demonstrated through a case example of a power plant condenser system. Results show that using an integrated approach can reveal the many nonobvious interactions between subsystems, and produce system designs that have lower life-cycle cost compared to traditional sequential design approaches.
The pancreatitis-associated protein VMP1, a key regulator of inducible autophagy, promotes KrasG12D-mediated pancreatic cancer initiation
Authors: Loncle C , Molejon M I , Lac S , Tellechea J I , Lomberk G , Gramatica L , Fernandez Zapico M F , Dusetti N , Urrutia R , Iovanna J L 
Published: July 2016

AbstractBoth clinical and experimental evidence have firmly established that chronic pancreatitis, in particular in the context of Kras oncogenic mutations, predisposes to pancreatic ductal adenocarcinoma (PDAC). However, the repertoire of molecular mediators of pancreatitis involved in Kras-mediated initiation of pancreatic carcinogenesis remains to be fully defined. In this study we demonstrate a novel role for vacuole membrane protein 1 (VMP1), a pancreatitis-associated protein critical for inducible autophagy, in the regulation of Kras-induced PDAC initiation. Using a newly developed genetically engineered model, we demonstrate that VMP1 increases the ability of Kras to give rise to preneoplastic lesions, pancreatic intraepithelial neoplasias (PanINs). This promoting effect of VMP1 on PanIN formation is due, at least in part, by an increase in cell proliferation combined with a decrease in apoptosis. Using chloroquine, an inhibitor of autophagy, we show that this drug antagonizes the effect of VMP1 on PanIN formation. Thus, we conclude that VMP1-mediated autophagy cooperate with Kras to promote PDAC initiation. These findings are of significant medical relevance, molecules targeting autophagy are currently being tested along chemotherapeutic agents to treat PDAC and other tumors in human trials.