bluuebunny/crossref_metadata_2025_split huggingface dataset:
An analysis of the development of the fire losses in the northern countries after the Second World War
Authors: Andersson Hans 
Published: July 2016

In several different countries there has lately been a very unfavourable development as far as fire losses are concerned. There have been many and very bad big fires which have especially affected industry and trade. The facts which can be considered to have caused this development are well-known. Bigger and bigger and more concentrated units of production, business enterprises, and storing form an accumulation of values which in itself implies increasing risks. On account of production-technical and business-economical conditions it has not always been possible to divide the buildings into sections desirable from a fire service point of view. The new production methods have sometimes caused new fire risks.The Northern Central Office for Fire Insurance Statistics from Mutual Companies (CNÖB) has made an investigation in order to see to what extent the international trend towards increasing fire losses has any equivalence in the Northern countries (Denmark, Finland, Norway, and Sweden). I.a. there was made a graphical representation of how the observed rate of net risk premium of the portfolio has developed during the period 1946–1966, the result of which may be seen from fig. 1. No increasing trend can be observed from this. After having been decreasing during the immediate postwar time, the observed rate of net risk premium has been fairly constant from the beginning of the fifties, perhaps even somewhat decreasing except during the later years. The conclusion is that in so far facts as mentioned above have influenced the development of claims of the portfolios or parts of these in a deteriorating way, there must in that case have been circumstances which have worked as neutralizers.
Distributions des sinistres incendie selon leur coût
Authors: Ferrara Giovanna 
Published: July 2016

On peut penser que la dimension des sinistres est la résultante d'un très grand nombre de causes indépendantes à effets positifs.Soientles variables aléatoires indépendantes qui représentent les facteurs élémentaires exerçant leur action dans l'ordre indiqué par les indices.Si Xν est l'ampleur du sinistre dû aux facteurs ξ1, ξ2, …., ξν nous pouvons supposer que l'augmentation causée par ξν+1 soit proportionelle à ξν+1 et à une certaine fonction, g(Xν) de la dimension Xν.C'est à dire, nous supposons qu'il y ait les relations:Si chaque facteur n'apporte qu'un faible contribut à l'augmentation du sinistre, nous pouvons alors poser approximativement aussi:Comme X varie de Xo à Xn (et que X = Xn désigne la dimension extrème du sinistre) le second membre de la (2) décrit une variable aléatoire, fonction de X.Puisque par hypothèse ξ1,, ξ2, …., ξn sont des variables aléatoires indépendante, si n est suffisament grand, d'après le théorème de la limite des probabilités il s'insuit que la variable aléatoire au second membre de la (2), est, à la limite, distribuée suivant la loi normale. Si l'on pose g(t) = t − c, la variable aléatoire normale qui décrit la dimension du sinistre pourra être posée dans la forme In(X − c).
On Optimal Reinsurance
Authors: Verbeek H. G. 
Published: July 2016

In this paper an attempt is made to find an answer to the question, “What is the most advantageous size for the retention limit of a risk portfolio, given the fact that a certain stability requirement is to be satisfied?”This problem will be approached from the viewpoint of an insurer who wishes to obtain a certain degree of stability at lowest cost.It is assumed that in his choice of reinsurance methods, the insurer restricts himself to either a surplus treaty, a stop loss treaty or a combination of both these types.Moreover it is assumed that “stability” can be adequately measured by the variance of the risks retained for own account.We start to consider a reinsurance policy based on the surplus system where the amount of risk in excess of a retention limit u is ceded.By thus limiting the potential loss on each risk individually, the variance is kept at a certain level, but at the expense of an amount of premium payable to a reinsurer.The insurer could, of course, reduce the reinsurance cost by increasing his retention but he then is bound to incur a higher variance in his portfolio, which would mean a loss of stability.One might ask, however, whether a suitably chosen stop loss coverage could bring the variance down again to the proper level at lesser cost than the profit obtained by taking a higher retention. A reduction in reinsurance cost would then have been effected.The question leads to an optimization problem, which in a more general setting, has been discussed by K. Borch.
Markov chains and the determination of fair premiums
Authors: Vajda Stefan 
Published: July 2016

The relationships between actuarial and pure mathematics are curious. Actuaries have contributed to the development of mathematical theory: it is sufficient to mention, as examples, Fredholm of an earlier, and Cramér of a more recent generation. Scandinavian mathematicians, in particular, have been concerned with a very special type of stochastic process, reflected in the collective theory of risk, and the work of Philipson, Ammeter and others in this field is well known to readers of this Bulletin. However, the main stream of the theory of stochastic processes has little contact with actuarial applications.On the other hand, many actuaries have studied and assimilated pure mathematics and have thrown light on actuarial matters by describing their own preoccupations in the terminology of modern, often abstract, mathematics. E. Franckx is one of their number.The Instituto di Matematica Finanziaria of the University of Trieste (Faculty of Economics and Commerce) has published a booklet entitledEssai d'une théorie opérationnelle des risques Markoviens which contains three lectures delivered by Professor Franckx in Trieste and a contribution which he presented to the 17th Congress of Actuaries, held in London in 1964.
Tariff Theory
Authors: Pitkänen Paavo 
Published: July 2016

When an insurance company accepts new insurances or when the premiums of earlier accepted insurances have to be changed on renewal the company has to— search for the factors that influence the premium and— calculate the premium according to the values of these factors.In order to calculate the premiums the company gathers data consisting of factors eventually influencing the amount of claims. On the basis of these data the company calculates the tariff which has to fulfill the following general principles:1. The tariff has to be as correct as possible in relation to different risk groups.2. The structure of the tariff has to be such that the calculation of the insurance premium is quite straightforward. With this in mind the factors influencing the tariff have to be few enough and the structure of the tariff has to be the simple (e.g. linear or multiplicative) function of the factors or it should be rather easy to put them into tabular form.These principles are partly contradictory. If the premium is correct, the structure of the tariff is not usually simple.
Representations of Claims Arising From A Risk Portfolio
Authors: Reid D. H. 
Published: July 2016

This paper is concerned with certain problems which arise in the course of rate fixing for a portfolio comprising a large number of direct risks.This is, of course, the traditional territory of the actuary and there is no lack of papers discussing specific aspects of the subject, such as the analysis of claim frequency, or the fitting of distributions to claim amount data. Equally there is a literature which discusses in general terms the philosophy which it is suggested should be followed by the non-life insurance ratemaker. It is when one tries in practice to follow a logical and consistent path through from portfolio records to rates that gaps in the literature become apparent and it is with covering these gaps, or at least some of them, that the present paper is concerned.It is not the concern of the author in this paper to attempt to describe the entire ratemaking process. That there is no reference to the analysis of office expenses, commissions, or to the application of “judgment” or “experience” should not be taken to imply that these aspects are not susceptible to the kind of approach advocated here. Attention here is focused upon what might in a sense be regarded as the most basic aspect: the claim process or experience.In many insurance operations the position which seems to be developing is that there is no lack of necessary computer hardware, and in principle, of data: the difficulties arising relate more to the form in which data should be retained and extracted, and the manner in which it should be used to assist in rate-making.
How To Find The Right Subdivision Into Tariff Classes
Authors: Schmitter H. , Straub E. 
Published: July 2016

By intuition, the subdivision of an insurance portfolio into a number of classes is said to be good if it reflects the heterogeneity of the portfolio in an efficient way. To illustrate this rather vague statement we take the following very simple example:The portfolio consists of 20 independent risks, 10 of them producing an expected loss ratio of say 30% each (type A risks) and 80% each (type B risks) respectively.This “natural” subdivision is certainly better than, for instance, no subdivision at all;or, the finest possible subdivision with 20 classes consisting of only 1 risk each (because there is no point in differentiating between risks of the same type);or, 5 classes each containing two A- and two B-risks (here the number of classes is unnecessarily high and the heterogeneity has been completely wiped out; statistics based on this subdivision would even make us believe that the portfolio is totally homogeneous).As a matter of fact, the above “natural” subdivision is—of course!—the best of all subdivisions, it is the optimal subdivision in this case.In practice, however, as we all know, it is not easy to find the optimal subdivision. For one thing, the inherent structure or “natural” subdivision is not known a priori and secondly, for many different reasons, we can only choose from a limited number of subdivisions and not from all theoretically possible solutions. Note that even with only 20 risks there are 58.1012 possibilities of subdividing the portfolio. Thus, in practice, there is only a relatively small number of admissible subdivisions and the optimal one may not be among them, but we still need some sort of statistical criterion to choose the best one from these admissible subdivisions.
The Harald Cramér Volume
Authors: Philipson Carl 
Published: July 2016

Harald Cramér was nominated Professor in Actuarial Mathematics and Mathematical Statistics at the University of Stockholm in the late twenties. 1959 a book was “dedicated to Harald Cramér on his sixty-fifth birthday, in recognition of his pathbreaking work in probability and statistics”, with the title Probability and Statistics, The Harald Cramér Volume (Almqvist & Wiksell, Uppsala 1959; John Wiley & Sons, New York). The development during these three decades can be described in Cramér's own words in a recently published „Éloge de M. Paul Lévy.” “Pendant ces années” (the late twenties) “la théorie moderne des probabilités a commencé ce développement puissant qui, depuis cette époque, a continué sans cesse, et qui a fait de la théorie des probabilités une des branches les plus fécondes de l'analyse moderne, ayant les rapports intimes avec tous les domaines des mathématiques pures, et en même temps des applications pratiques dont l'étendue et l'importance vont toujours en croissant.”A few historical notes will be given as a background for the review of The. Harald Cramér Volume, 1903-1934 Filip Lundberg formed the collective theory of risk. This theory is a particular part of the general theory of stochastic processes which latter was drafted, in its main lines, by Kolmogoroff, 1931 and 1933. (A stochastic process is constituted by a variable depending on chance which is simultaneously a function of one or more variates. For readers not used to this terminology such a variable may be exemplified with the total risk costs for a certain period paid for a group of policies issued by a fire insurance company. For simplicity, it is assumed that the group involves only agricultural risks, similar to each other and situated in the open country so that no conflagration can occur. Further we assume that during the period of observation no change occurs in the composition of the group neither through underwriting, nor through cancellation, nor through alteration.
Sur la Combinaison des evenements et les resultats aleatoires quantitatifs qui en resultent
Authors: Franckx  
Published: July 2016

1.1. — Le titre de cette note indique que le problème étudié est très général et par le fait même applicable à de nombreux domaines; physique, biologie, recherche opérationnelle, assurances, téléphonie, etc …C'est évidemment parce que certains problèmes ont la même structure que leur considération sous forme abstraite, est plus importante. C'est la raison pour laquelle nous traitons le problème de structure, qu'il suffit de particulariser dans chaque domaine d'application.a) Nous supposerons une période de référence de durée constante.b) Un évènement E, généralement quelconque, mais invariable, peut se produire pendant cette période. Le nombre de fois que cet évènement se réalise est une variable aléatoire I, qui sera définie par la suite
qi désignant la probabilité pour que E se réalise i fois pendant la période de référence. Nous conviendrons de dire que I mesure l' “intensite” du phénomène E.c) Lorsque l'évènement E se réalise, on effectue une expérience relativement à. une autre variable aléatoire quantitative N (positive ou non). Cette variable stochastique est completement définie par sa fonction de répartition.F(n) = prob{N<n}généralement quelconque; nous conviendrons de dire que n est le “niveau” atteint par la variable N au cours de l'expérience.1.3. — De nombreux problèmes de la vie courante peuvent être synthétisés sous cette forme et pour ne mentionner que quelques dans le domaine de la vie des organismes d'assurances, citons sous forme de tableau
Cette simple énumération indique la grande variété de problèmes de même structure que l'on rencontre journellement; il est par suite utile de les traiter en synthèse.
Colloque Astin 1963 de Trieste Rapport introductif sur le 2e thème, partie a
Authors: Thyrion P. 
Published: July 2016

Le “Contrôle actuariel dans la comptabilité des branches élémentaires” constitue le 2e thème de ce colloque, tel que l'annonce le programme officiel. Ce thème comprend une ière partie intitulée: “Problèmes relatifs aux sinistres”, qui est le sujet de cette séance.Les notes préliminaires de notre Président, parues dans notre dernier bulletin, suggéraient d'orienter les travaux vers les applications pratiques de l'important travail théorique déjà réalisé dans le cadre d'Astin. Plus particulièrement en ce qui concerne les sinistres dans les assurances de responsabilité civile, ces notes attiraient l'attention sur une certaine analogie que la longue dureé de règlement des sinistres pouvait créer entre l'estimation des réserves pour sinistres à régler et l'évaluation des réserves mathématiques en branche Vie et elles soulevaient dès lors assez naturellement la question des méthodes d'estimation collective. En fait, les communications qui ont été rattachèes à cette rère partie du 2e thème interprètent le sujet de manière extrêmement large. Ne voyez dans cette réflexion initiale nul reproche aux auteurs, mais la simple constatation d'un fait dont mon rapport introductif doit tenir compte: il ne sera pas une synthese dans les directions proposées par notre Président.Une partie des communications se rattache au fond à la théiorie du risque. Pour mieux dégager l'apport de ces notes, je me propose de le dépouiller autant que possible de son aspect purement mathématique et de le situer dans l'évolution des idées et des recherches en la matière.J'indiquerai ensuite l'apport des communications au sujet de l'estimation des réserves pour sinistres à régler.Enfin, je résumerai les travaux qui se rapportent à la tarification du risque automobile.
A Short Note on Overall Risk Management in an Insurance Concern
Authors: Borch Karl 
Published: July 2016

1. At an earlier ASTIN Colloquium participants were invited to present notes on problems which they considered as important but unsolved. There was little response to this invitation, presumably because a problem, once it is well formulated, is almost solved.In this Note I do not present any new problems. In stead I try to outline a framework which may be useful for analysing different risk problems and seeing them in their proper perspective. In my view, a framework of this kind is urgently needed to place today's actuarial work on a sound foundation.2. In general an insurance contract will define two stochastic processes. We lose little by assuming that the processes are discrete, and describing them in the following manner:(i)The payment process:x0,x1…xt…, wherextis the amount which the company pays to settle claims in periodt, or at timet.(ii)The premium process:p0,p1…pt…, where pt is the premium which the company receives in periodt, or at timet.If the contract is concluded at timet= o, thePrinciple of Equivalencerequires thatFor the typical short-term contract with premium payable in advance (i) will reduce to3. For a long-term insurance contract one usually requires that the inequalityshall hold for all τ. This means that the company must never be a net creditor of its customer.
Statistical Methodology for Large Claims
Authors: de Oliveira J. Tiago 
Published: July 2016

The question of large claims in insurance is, evidently, a very important one, chiefly if we consider it in relation with reinsurance. To a statistician it seems that it can be approached, essentially, in two different ways.The first one can be the study of overpassing of a large bound, considered to be a critical one. If N(t) is the Poisson process of events (claims) of intensity v, each claim having amounts Yi, independent and identically distributed with distribution function F(x), the compound Poisson processwhere a denotes the critical level, can describe the behaviour of some problems connected with the overpassing of the critical level. For instance, if h(Y, a) = H(Y − a), where H(x) denotes the Heavside jump function (H(x) = o if x < o, H(x) = 1 if x ≥ o), M(t) is then the number of claims overpassing a; if h(Y, a) = Y H(Y − a), M(t) denotes the total amount of claims exceeding the critical level; if h(Y, a) = (Y − a) H(Y − a), M(t) denotes the total claims reinsured for some reinsurance policy, etc.Taking the year as unit of time, the random variables M(1), M(2) − M(1), … are evidently independent and identically distributed; its distribution function is easy to obtain through the computation of the characteristic function of M(1). For details see Parzen (1964) and the papers on The ASTIN Bulletin on compound processes; for the use of distribution functions F(x), it seems that the ones developed recently by Pickands III (1975) can be useful, as they are, in some way, pre-asymptotic forms associated with tails, leading easily to the asymptotic distributions of extremes.
Estimation and Testing for Functional Form in Pure Premium Regression Models
Authors: Harrington Scott E. 
Published: July 2016

AbstractEstimation of pure premiums for alternative rate classes using regression methods requires the choice of a functional form for the statistical model. Common choices include linear and log-linear models. This paper considers maximum likelihood estimation and testing for functional form using the power transformation suggested by Box and Cox. The linear and log-linear models are special cases of this transformation. Application of the procedure is illustrated using auto insurance claims data from the state of Massachusetts and from the United Kingdom. The predictive accuracy of the method compares favorably to that for the linear and log-linear models for both data sets.
An Essay at Measuring the Variance of Estimates of Outstanding Claim Payments
Authors: Ashe Frank 
Published: July 2016

AbstractThe variance of statistical estimates of outstanding claim payments for long-tailed general insurance portfolios is examined. The variance's three components are discussed. As there is no accepted technique for measuring this variance three methods are investigated empirically for its measurement—a parametric method, the jackknife method, and the bootstrap method. No method stands out as superior to the others and it is recommended that all three be evaluated and used to gauge the possible errors in the estimation of outstanding claims.
Transitions in a genetic transcriptional regulatory system under Lévy motion
Authors: Zheng Yayun , Serdukova Larissa , Duan Jinqiao , Kurths Jürgen 
Published: July 2016

AbstractBased on a stochastic differential equation model for a single genetic regulatory system, we examine the dynamical effects of noisy fluctuations, arising in the synthesis reaction, on the evolution of the transcription factor activator in terms of its concentration. The fluctuations are modeled by Brownian motion and α-stable Lévy motion. Two deterministic quantities, the mean first exit time (MFET) and the first escape probability (FEP), are used to analyse the transitions from the low to high concentration states. A shorter MFET or higher FEP in the low concentration region facilitates such a transition. We have observed that higher noise intensities and larger jumps of the Lévy motion shortens the MFET and thus benefits transitions. The Lévy motion activates a transition from the low concentration region to the non-adjacent high concentration region, while Brownian motion can not induce this phenomenon. There are optimal proportions of Gaussian and non-Gaussian noises, which maximise the quantities MFET and FEP for each concentration, when the total sum of noise intensities are kept constant. Because a weaker stability indicates a higher transition probability, a new geometric concept is introduced to quantify the basin stability of the low concentration region, characterised by the escaping behaviour.
A composite light-harvesting layer from photoactive polymer and halide perovskite for planar heterojunction solar cells
Authors: Wang Heming , Rahaq Yaqub , Kumar Vikas 
Published: July 2016

AbstractA new route for fabrication of photoactive materials in organic-inorganic hybrid solar cells is presented in this report. Photoactive materials by blending a semiconductive conjugated polymer with an organolead halide perovskite were fabricated for the first time. The composite active layer was then used to make planar heterojunction solar cells with the PCBM film as the electron-acceptor. Photovoltaic performance of solar cells was investigated by J-V curves and external quantum efficiency spectra. We demonstrated that the incorporation of the conjugated photoactive polymer into organolead halide perovskites did not only contribute to the generation of charges, but also enhance stability of solar cells by providing a barrier protection to halide perovskites. It is expected that versatile of conjugated semi-conductive polymers and halide perovskites in photoactive properties enables to create various combinations, forming composites with advantages offered by both types of photoactive materials.