bluuebunny/crossref_metadata_2025_split huggingface dataset:
Actuary
Authors: Lillevold Pål , Eyland Arne 
Published: September 2006

Abstract
The word ‘actuary’ derives from the Latin word ‘actuarius’, who was the business manager of the Senate of Ancient Rome. It was first applied to a mathematician of an insurance company in 1775 in the Equitable Life Insurance Society (of London, UK). By the middle of the nineteenth century, actuaries were active in life insurance, friendly societies, and pension schemes. As time has gone on, actuaries have also grown in importance in relation to general insurance, investment, health care, social security, and also in other financial applications such as banking, corporate finance, and financial engineering.

Over the times, there have been several attempts to give a concise definition of the term
actuary
. No such attempted definition has succeeded in becoming universally accepted. As a starting point, reference is made to the International Actuarial Association's description of what actuaries are:

Actuaries are multi‐skilled strategic thinkers, trained in the theory and application of mathematics, statistics, economics, probability and finance

and what they do:

Using sophisticated analytical techniques, actuaries confidently make financial sense of the short term as well as the distant future by identifying, projecting and managing a spectrum of contingent and financial risks.

This essay will adopt a descriptive approach to what actuaries are and what they do, specifically by considering the actuarial community from the following angles:

Actuarial science – the foundation upon which actuarial practice rests.

Actuarial practice.

Some characteristics of the actuarial profession.
Adjustment Coefficient
Authors: Kaas Rob 
Published: September 2006

Abstract

The adjustment coefficient is the number
R
appearing in the famous Lundberg upper bound: in a compound Poisson risk process with initial capital
u
≥ 0, the ruin probability, ψ(
u
), is bounded by e

−
Ru

. By changing the safety loading or the distribution of the individual claims that are involved in its definition, the value of
R
and with it the ruin probability can be adjusted.
Approximating the Aggregate Claims Distribution
Authors: Hardy Mary R. 
Published: September 2006

AbstractIn this article, we discuss approximation methods for aggregate claims distributions. The methods discussed are the normal approximation; the translated gamma approximation; Bowers' gamma approximation; the normal power approximation; Haldane's method; the Wilson–Hilferty approximation and the Esscher approximation. Worked examples are included, using a compound Poisson distribution with Pareto secondary distribution.
Audit
Authors: Coestier Bénédicte , Fombaron Nathalie 
Published: September 2006

AbstractIn an insurer–policyholder relation, insurees may use their informational advantage about the occurrence and/or magnitude of their losses to exaggerate the claims. Claims auditing may be a means to manage this type of insurance fraud. The economic analysis of audit has been developed in the literature principally using Costly State Verification models. After recalling the more basic results of CSV models, we discuss the major limitation of these auditing procedures, namely, the commitment assumption, and finally consider several solutions to the no‐commitment problem.
B
ritish
A
ctuarial
J
ournal
Authors: Hart Doreen 
Published: September 2006

Abstract

This article shows how the
British Actuarial Journal
has evolved from previous publications of the Institute of Actuaries and the Faculty of Actuaries, and how it is still evolving. There is a description of what appears in the journal, and the structure of responsibility is outlined. There is also information on how copies of the
British Actuarial Journal
can be obtained.
Casualty Actuarial Society
Authors: Boa J. Michael , Underwood Alice M. , Wilkins William R. 
Published: September 2006

Abstract
This section addresses the formation, composition, and attributes of the Casualty Actuarial Society. In concert with and for its membership, the Casualty Actuarial Society through research and education develops and disseminates the knowledge necessary for application to the evolving exposures in today's insurance industry.
Censored Distributions
Authors: Lawless J.F. 
Published: September 2006

Abstract
In some settings the exact value of a random variable is observed only if it lies within a certain range. If it lies outside this range, only that fact is known; this is referred to as censoring. This article describes censored distributions, which arise when random variables are censored. The special cases of left‐ and right‐ censoring are considered explicitly.
Censoring
Authors: Papaioannou Takis 
Published: September 2006

Abstract

Censoring is a process or a situation where we have partial information or incomplete observations. It is an area in statistics, engineering, and actuarial science, which has received widespread attention in the last 40 years, having been influenced by the increase in scientific computational power. The purpose of this article is to present the concept, the idea of censoring, to describe various types or kinds of censoring, and to point out its connections with survival analysis and
actuarial methods
. Censoring is closely related with censored data and is a major topic in
biostatistics
and reliability theory (life testing).
Competing Risks
Authors: Crowder Martin 
Published: September 2006

AbstractIf something can fail, it can often fail in one of several ways and sometimes in more than one way at a time. In the real world, the cause, mode, or type of failure is usually just as important as the time to failure. It is therefore remarkable that in most of the published work to date in reliability and survival analysis there is no mention of competing risks.The study of competing risks has a respectably long history. The finger is usually pointed at Daniel Bernoulli for his work in 1760 on attempting to separate the risks of dying from smallpox and other causes. Much of the subsequent work was in the areas of demography and actuarial science. More recently, from around the middle of the last century, the main theoretical and statistical foundations began to be set out, and the process continues.
Copulas
Authors: Carrière J.F. 
Published: September 2006

AbstractThis introduction starts with a short history of copulas and their role in actuarial science. Special emphasis is given to bivariate copulas, where many useful families are given. We also give general definitions and Sklar's Theorem, arguably the most important result in copulas. We finish by showing how to construct copulas. Finally, a comprehensive reference list is offered.
Counting Processes
Authors: Andersen Per Kragh 
Published: September 2006

Abstract

Multivariate counting processes
provide a useful mathematical framework for survival analysis or more general event history analysis.
The structure of this article is as follows. First, probabilistic properties of counting processes, useful for their applications in statistics, are reviewed. Next, counting process representations of event history data and statistical models based on counting processes are discussed and the article concludes with an example.
Claims Reserving Using Credibility Methods
Authors: Verrall Richard 
Published: September 2006

Abstract
The background for the development of credibility theory was the situation in which there was a portfolio of similar policies, for which the natural thing would have been to use the same premium rate for all the policies. However, this would not have captured any individual differences between the policies and therefore a methodology was developed that also utilized the claims experience from the individual policy. In this way, credibility estimation can be seen to allow the pooling of information between risks in premium rating. The consequence of this is that the premium is not estimated using just the data for the risk being rated, but also using information from similar risks. In the context of claims reserving, the reason for using an approach based on credibility estimation is similar: information from different sources can be ‘shared’ in some way.
This article explains the principles of the reserving methods that use credibility theory from the actuarial literature, and refers the reader to the articles and other methods that use a similar modeling philosophy.
D
e
P
ril Recursions and Approximations
Authors: Sundt Bjørn 
Published: September 2006

Abstract
In this article, we present some recursive methods for exact and approximate evaluation of aggregate claims distributions in the individual model, that is, convolutions of distributions. We discuss the exact methods of De Pril and Dhaene–Vandebroek and the approximations of De Pril, Kornya, and Hipp. For the approximations, we give error bounds.
Decrement Analysis
Authors: Pollard John 
Published: September 2006

Abstract
Decrement analysis intends to provide approximate values for some actuarial quantities that are not fully observable. The most common and single‐mode decrement is death and mortality rates are not fully known due to censoring of the observed lives. By using graduation methods, workable alternatives are provided. More complicated situations arise in a multiple‐decrement situation where the dependence between different causes needs to be taken into account.
Demography
Authors: Moultrie Tom A. , Dorrington Robert 
Published: September 2006

Abstract
Demography is the study of population dynamics (most frequently, those relating to human populations), and the measurement and analysis of associated vital rates of birth, death, migration, and marriage. Encompassing demography is a broader field of research, ‘population studies’ or ‘social demography’, which seeks to situate the results of demographic inquiries in their social, political, economic, and institutional contexts. Nevertheless, the boundaries between the two are ill‐defined. The integration of both quantitative and qualitative analysis has been essential to the discipline from its earliest origins.
There are three major aspects to demographic work: the description of a population at a point in time, by reference to specific criteria (age, sex, etc.); the analysis of the vital processes that contribute to the state of a population at that point in time; and, finally, the interpretation of the effects of these vital processes on future population dynamics, taking into account population‐specific social, economic, and cultural systems [59].
This review first traces briefly the evolution of, and trends in, demographic theory since Graunt. This article also presents the different demographic techniques in the fields of mortality, fertility, migration, and population projections.
Diffusion Approximations
Authors: Schmidli Hanspeter 
Published: September 2006

Abstract
Calculations of characteristics of stochastic processes, as for example, ruin probabilities, is often difficult. One therefore has to resort to approximations. Approximation of the process at a fixed point often suggests by the central limit theorem to use a normal approximation. Approximation of the whole process should then result in a Gaussian process. In many situations, the Brownian motion is the natural choice.
Diffusion Processes
Authors: Sørensen Michael 
Published: September 2006

Abstract
Diffusion processes form stochastic models for a number of quantities familiar within an actuarial context. Derivative pricing, volatility and interest rates are but a few examples. Moreover, many processes in actuarial science such as the surplus process, can be conveniently approximated by diffusion processes. This article explains the most important concepts needed to describe diffusion processes. It further provides a number of models that have proved their applicability within a financial context such as Brownian motion, Ornstein‐Uhlenbeck and Cox‐Ingersoll‐Ross.
Early Warning Systems
Authors: Wong Johnny 
Published: September 2006

Abstract
An early warning system provides information to insurers for monitoring their financial stability and soundness, and to regulators for identifying those insurers who may become insolvent so that early remedial actions can be taken. It normally uses a solvency measurement system, which values the excess of assets over liabilities. A dynamic solvency measurement system, which evaluates the insurers' ability to remain solvent in the future under varying conditions, is preferred over a static solvency measurement system, which determines solvency at a particular valuation date. A good early warning system should also balance the interests of consumers, policyholders, insurers, and shareholders.
Equilibrium Theory
Authors: Citanna Alessandro 
Published: September 2006

AbstractThe idea of equilibrium was imported from the physical sciences into economics already in the nineteenth century [63]. Economists focused on the study of equilibrium because of the idea that this represents a rest point of an underlying dynamic system. A rest point is interpreted as a state of the economic system in which the dynamic forces governing its evolution have come to a static configuration. In economics, this static configuration has been assumed to mean essentially two things: (a) that individual economic behavior is socially consistent, that is, consumption, production, and exchange plans are feasible and can be carried out; and (b) that plans are optimal in the sense of satisfying the objectives of the individual decision makers (consumers/workers, managers, traders, and so on). The study of equilibrium was first developed in the context of markets in which each individual believes to have a negligible impact on aggregate variables such as the commodity or asset prices. These markets are called perfectly competitive, and the theory of equilibrium for perfectly competitive markets – known asWalrasian equilibrium– achieved a formal, general, and rigorous characterization in the 1950s, especially with the work of Arrow and Debreu and McKenzie. The work of Debreu and Smale established local uniqueness of equilibria, paving the way for comparative statics analysis for the Walrasian equilibrium. An alternative view would consider equilibria for an economic system in which each decision‐maker's actions have a nonnegligible impact on everyone else, and on the aggregate as well. The notion of equilibrium for these economies had been developed by Nash.
Exposure Rating
Authors: Mata Ana J. 
Published: September 2006

Abstract
The exposure rating method is a rating method used in reinsurance to estimate the total expected losses for the layer covered. The exposure method uses the loss experience of a similar portfolio of policies by means of a claim size distribution in order to estimate the expected losses of the portfolio of policies to be covered. This method is often used as a benchmark when there is no sufficient credible individual claim history for the specific risk.
Financial Economics
Authors: Aase Knut K. 
Published: September 2006

Abstract
We consider a one period model of efficient risk sharing, when the set of possible sharing rules are constrained to be linear. This can be interpreted as a model of a market for common stocks. Here we study the properties of a competitive equilibrium in an incomplete market. The lack of Pareto optimality is then the typical case.

Since the marketed subspace
M
is a closed, linear subspace of
L
2
, we employ Hilbert space techniques to find the first order conditions. We also discuss conditions for the existence of an equilibrium in an incomplete market.

We conclude with a discussion of the different features of idiosyncratic risks in insurance, and risks in financial markets, where a common ground is suggested.
Financial Intermediaries: The Relationship between their Economic Functions and Actuarial Risks
Authors: Booth Philip 
Published: September 2006

Abstract
The purpose of this article is to explain the economic functions of financial intermediaries and financial institutions. The risks that are commonly managed by actuaries, particularly in the insurance industry, (e.g. insurance risk, market risk, interest‐rate risk etc.) arise from the economic functions of financial institutions and from the process of financial intermediation. We show that there are substantial similarities between the economic functions of nonbanks (in which actuaries have commonly managed risk) and those of banks (in which risk has generally not been managed by actuaries – at least not in the UK and US). The implication of the analysis is that risk management techniques will become closer in the banking and nonbanking sectors and that the various risk management professions and academic groups will cross the sectors.
Fire Insurance
Authors: Cassidy Paul 
Published: September 2006

Abstract
Fire policies cover owners of commercial or industrial property against material damage caused by fire and extraneous perils. Fire policies cover a wide range of insured properties from small rural sheds to billion dollar high‐rise buildings. Losses against these policies are dominated by large individual fire losses and other large losses caused by natural peril and manmade events that generate a large number of simultaneous claims.
Fraud in Insurance
Authors: Guillen Montserrat 
Published: September 2006

Abstract
Money creates the incentive, and information asymmetries between the insured and the insurer create opportunity for insurance fraud. Here we describe the types of fraud that are currently encountered and we give some examples of insurance fraud. We discuss the difference between fraud and abuse. We present how to fight fraud with deterrence and detection. We give a brief description of the claims handling process. Several ways to control fraud are presented: specialized investigation units; statistical analysis of claims information and fraud detection methods. We show how to evaluate the performance of fraud detection models, and discuss their practical implementation.
Reinsurance, Functions and Values This is based in part on an article written by the same author and published in
Foundations of Casualty Actuarial Science, Fourth Edition
by the Casualty Actuarial Society (2001).
Authors: Patrik Gary 
Published: September 2006

Abstract
The functions of reinsurance vary by contract and by the relationship of the insurer and reinsurer. The functions that may be emphasized or de‐emphasized by a particular reinsurance arrangement are for the reinsurer to provide the cedant with additional underwriting capacity, to help stabilize the cedant's underwriting and financial results, to help manage the cedant's financial results and to provide management advice. The value of reinsurance is exactly parallel to that of insurance. Insurance reduces the variability of the financial costs to individuals, corporations, and other entities arising from the occurrence of specified contingent events. Reinsurance reduces the variability of the financial costs to insurance companies arising from the occurrence of specified insurance claims. Thus, its value is to further enhance innovation, competition, and efficiency in the marketplace.
Health Insurance
Authors: Bernet Patrick M. , Getzen Thomas E. 
Published: September 2006

Abstract
The health insurance industry differs from most other forms of insurance in that virtually all of the insured persons expect to make claims in most years, and those at highest risk expect to have their losses subsidized by the government or other parties. In this paper, the premium pricing process is used to highlight the many special features of health insurance with particular attention to frequency of loss, post‐loss price negotiation, adverse selection, tax benefits, social insurance, IBNR and reserve policies.
History of Insurance
Authors: Sibbett Trevor 
Published: September 2006

AbstractFrom early times, communities have looked for ways to pool resources in order to protect individuals from unexpected losses. One of the most common and long lasting arrangements, originating in the Mediterranean area and dating from before the Christian era, was a loan, with a high rate of interest, secured on the voyage of a ship, the loan being repayable only if the voyage were completed successfully. In English, this became known as bottomry, referring to the bottom of the ship.There is evidence that the Romans practiced an early form of life insurance and bought as well as sold annuities.In the year 1234, Pope Gregory IX banned the taking of interest and artificial contracts were developed to supplement bottomry. Following Pope Gregory's ban on bottomry, marine insurance in its basically current form developed in Florence and then in Genoa.This article looks at insurance where a premium is paid to a third party to cover risk. Arrangements that have an element of insurance, some of which date from Babylonian times, are well covered by Trenerry and others.
Homeowners Insurance
Authors: Fry Martin 
Published: September 2006

Abstract
Homeowners insurance indemnifies owners against property damage arising from a number of insurable events. The insurance covers building costs and repairs, and rental costs if a property becomes uninhabitable. Factors affecting the premium for a homeowners policy are the sum insured, the construction materials of the building, the use of the building, and its location. Deductibles are often imposed.
Interest‐Rate Modeling
Authors: Cairns Andrew J.G. 
Published: September 2006

AbstractThis article describes some of the main developments in interest‐rate modeling since Black & Scholes' and Merton's original articles on the pricing of equity derivatives. In particular, the article focues on continuous‐time, arbitrage‐free models for the fullterm structure of interest rates. Other models that model a limited number of key interest rates or which operate in discrete time (e.g. the Wilkie model) will be considered elsewhere.In this article we will describe the basic principles of arbitrage‐free pricing and cover various frameworks for modeling: short‐rate models (e.g. Vasicek, Cox–Ingersoll–Ross, Hull–White); the Heath–Jarrow–Morton approach for modeling the forward‐rate curve; pricing using state‐price deflators including the Flesaker–Hughston/Potential approach; and the Markov‐functional approach.The article works through various approaches and models in a historical sequence. Partly, this is for history's sake, but, more importantly, the older models are simpler and easier to understand. This will allow us to build up gradually to the more up‐to‐date, but more complex, modeling techniques.
Largest Claims and
ECOMOR
Reinsurance
Authors: Beirlant Jan 
Published: September 2006

Abstract

There exist a few intuitive and theoretically interesting reinsurance contracts that are akin to excess‐of‐loss treaties, but refer to the larger claims in a portfolio. An unlimited excess‐of‐loss contract cuts off each claim at a fixed, nonrandom retention. A variant of this principle is ECOMOR reinsurance where the priority is put at the (
r
+ 1)th largest claim so that the reinsurer pays that part of the
r
largest claims that exceed the (
r
+ 1)th largest claim. Compared to unlimited excess‐of‐loss reinsurance, ECOMOR reinsurance has an advantage that gives the reinsurer protection against unexpected claims inflation if the claim amounts increase, then the priority will also increase. A related and slightly simpler reinsurance form is largest claims reinsurance that covers the
r
largest claims but without a priority.

The article highlights some of the theoretical results that can be obtained for the case where the total volume in the portfolio is large. In spite of their conceptual appeal, largest claims type reinsurance are rarely applied in practice. The discussion hints at some of the possible reasons for this lack of popularity.