bluuebunny/crossref_metadata_2025_split huggingface dataset:
Pricing Risk Transfer Transactions
Authors: Lane Morton N. 
Published: February 2005

Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?If not, why not?A risk is a risk is a risk, in whatever market it appears. Shouldn't the risk-prices in these different markets be comparable? More basically perhaps, how should reinsurance prices and bond prices be set? How does the market currently set them? These questions are central to the inquiry contained in this paper.Avoiding unnecessary suspense, our answers are: Yes, cat prices should be related to credit prices because both risks contain a characteristic trade-off between the frequency of and severity of adverse events. We leave the question of how prices should be set to others and focus on the empirical question of how they have been set by the markets. In the process, we develop a fairly robust pricing mechanism and explore its potential uses in many different contexts.The 1999 Insurance-Linked Securities (ILS) market (a.k.a., Cat Bond market) provides the empirical springboard to the discussion. The ILS market is only 4 years old. As such, it represents a new and unique intersection of reinsurance and financial markets. It provides a wonderful laboratory for exploring risk-pricing.The ILS market, still in its experimental phase, appears to require more generous (cheap) pricing of insurance risk than does the bond market of default risk. So much so that academics have begun to weigh in on the question of why. Previously, insurance pricing discussions had been confined to practicing insurance professionals, particularly actuaries. For finance professionals, insurance pricing, much less reinsurance pricing, seldom made the index of their financial texts – though even that is beginning to change.
Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
Authors: Grübel Rudolf , Hermesmeier Renate 
Published: February 2005

AbstractThe standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require an initial discretization step if continuous distribution functions are of interest. We discuss the associated discretization error and show that it can often be reduced substantially by an extrapolation technique.
Pricing Excess of Loss Reinsurance with Reinstatements
Authors: Mata Ana J. 
Published: February 2005

AbstractIn this paper we discuss the concept of excess of loss reinsurance with reinstatements. The main objective is to provide a methodology to calculate the distribution of total aggregate losses for two or more consecutive layers when there is a limited number of reinstatements. We also compare different premium principles and their properties to price these treaties for any number of free or paid reinstatements.
The True Claim Amount and Frequency Distributions within a Bonus-Malus System
Authors: Walhin Jean François , Paris José 
Published: February 2005

AbstractWe apply Lemaire's algorithm and a non-parametric mixed Poisson fit to a motor insurance portfolio in order to find the true claim frequency and claim amount distributions. The algorithm we develop accounts for the fact that observed distributions are distorted by bonus hunger, when a bonus-malus system is used by the insurer.
Credibility Weighted Hazard Estimation
Authors: Nielsen Jens Perch , Sandqvist Bjørn Lunding 
Published: February 2005

AbstractCredibility weighting is helpful in many insurance applications where sparse data crave information from other sources of data. In this paper we aim at estimating a hazard curve using the nonparametric kernel method, where a credibility weighting principle is used locally, so that areas of sparse data for one subgroup can be alleviated by available information from other subgroups. The credibility estimator is found through a Hilbert space projection formulation of Buhlmann-Straub's credibility approach.
Experience Rating Schemes for Fleets of Vehicles
Authors: Desjardins Denise , Dionne Georges , Pinquet Jean 
Published: February 2005

AbstractThis paper proposes bonus-malus systems for fleets of vehicles, by using the individual characteristics of both the vehicles and the carriers. Bonus-malus coefficients are computed from the history of claims or from the history of safety offences of the carriers and the drivers. The empirical results are derived from a data set obtained from the Société de l'Assurance Automobile du Québec, the public insurer for bodily injuries and the regulator of road safety.
The Natural Sets of Wang's Premium Principle
Authors: Wu Xian-Yi 
Published: February 2005

AbstractRecently, Wang's premium principle (Wang, 1995, 1996) has been discussed by many authors. Considerable attention has been given to the conditions under which Wang's premium principle can be reduced to the standard deviation premium principle. In this paper, we have got two results on this problem. One is that the natural set is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for all surjective distortions. The other is that the natural set is a location-scale family for all power distortions.
Geographic Premium Rating by Whittaker Spatial Smoothing
Authors: Taylor Greg 
Published: February 2005

AbstractWhittaker graduation is applied to the spatial smoothing of insurance data. Such data (e.g. claim frequency) form a surface over the 2-dimensional geographic domain to which they relate. Observations on this surface are subject to sampling error. They need to be smoothed spatially if a reliable estimate of the underlying surface is to be obtained.A measure of smoothness of a surface has been defined. This has been incorporated in 2-dimensional Whittaker graduation to effect the necessary smoothing. The details of this are worked out in Section 4. The procedure is illustrated by numerical example in Section 5. The Bayesian interpretation of this form of spatial smoothing is discussed, and used to assist in the selection of the Whittaker relativity constant.
A Nelson-Aalen Estimate of the Incidence Rates of Early-Onset Alzheimer's Disease Associated with the Presenilin-1 Gene
Authors: Gui Eng Hock , Macdonald Angus 
Published: February 2005

AbstractWe analyse, in a probabilistic setting, Newcombe's (1981) life table method of estimating rates of onset of high-penetrance single-gene disorders, and extend this to a counting process model for individual life histories, including movement between risk groups arising from genetic testing and onset in relatives. A key result is that estimates of rates of onset at any age x must be conditioned only on information available when subjects were age x, even though their later life histories might be available to the investigator. This determines the data that must be included in pedigrees. We derive a Nelson-Aalen-type estimate of a function of the rate of onset, and show that when all that is known is that the persons in the study inherited a mutation with probability 1/2, the function estimated is bounded. In practice, the treatment of censored observations or the methods of ascertainment might cause the estimate to exceed this bound, which results in infinite estimates of the rate of onset but might be a useful diagnostic check on the presence of these features. We summarise the literature on mutations in the Presenilin-1 (PSEN-1) gene, associated with early-onset Alzheimer's disease (EOAD), and from published pedigrees we estimate rates of onset of EOAD.
On Error Bounds for Approximations to Multivariate Distributions II
Authors: Sundt Bjørn , Vernic Raluca 
Published: February 2005

AbstractIn the present paper, we study error bounds for approximations to multivariate distributions. In particular, we discuss some general versions of compound multivariate distributions and look at distributions of dependent random variables constructed by linear transforms of independent random variables or vectors. Special attention is paid to the case when the support of the original distribution is restricted. We also look at some applications with multivariate Bernoulli distributions.
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
Authors: Kaas R. , Dhaene J. , Vyncke D. , Goovaerts M.J. , Denuit M. 
Published: February 2005

AbstractIn the recent actuarial literature, several proofs have been given for the fact that if a random vector (X1X2, …, Xn) with given marginals has a comonotonic joint distribution, the sum X1 + X2 + … + Xn is the largest possible in convex order. In this note we give a lucid proof of this fact, based on a geometric interpretation of the support of the comonotonic distribution.
On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study
Authors: Schiegl M. 
Published: February 2005

AbstractA method for analysing the risk of taking a too low reserve level by the use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reserving. This is an important question in the framework of integrated risk management of an insurance company. Furthermore we investigate the relative bias of Chain Ladder estimators. We use Monte Carlo simulation technique as well as the collective model of risk theory in each cell of run-off table. We analyse deviation between Chain Ladder reserves and Monte Carlo simulated reserves statistically. Our results document dependency on claim number and claim size distribution types and parameters.
Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information
Authors: Haberman S. , Sung Joo-Ho 
Published: February 2005

AbstractHaberman and Sung (1994) have presented a dynamic model for a defined benefit occupational pension scheme which considered two types of risk: the “contribution rate” and the “solvency” risk. The current paper, extends this work by deriving optimal funding control procedures for determining the contribution rate for the case of a stochastic model with incomplete state information, making use of the separation principle. The stochastic inputs modelled are the investment returns and the benefit outgo.
Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
Authors: Smyth Gordon K. , Jørgensen Bent 
Published: February 2005

AbstractWe reconsider the problem of producing fair and accurate tariffs based on aggregated insurance data giving numbers of claims and total costs for the claims. Jørgensen and de Souza (Scand Actuarial J., 1994) assumed Poisson arrival of claims and gamma distributed costs for individual claims. Jørgensen and de Souza (1994) directly modelled the risk or expected cost of claims per insured unit,μsay. They observed that the dependence of the likelihood function onμis as for a linear exponential family, so that modelling similar to that of generalized linear models is possible. In this paper we observe that, when modelling the cost of insurance claims, it is generally necessary to model the dispersion of the costs as well as their mean. In order to model the dispersion we use the framework of double generalized linear models. Modelling the dispersion increases the precision of the estimated tariffs. The use of double generalized linear models also allows us to handle the case where only the total cost of claims and not the number of claims has been recorded.
An Extension of Panjer's Recursion
Authors: Hess Klaus Th. , Liewald Anett , Schmidt Klaus D. 
Published: February 2005

AbstractSundt and Jewell have shown that a nondegenerate claim number distribution Q = {qn}nϵN0 satisfies the recursionfor all n≥0 if and only if Q is a binomial, Poisson or negativebinomial distribution. This recursion is of interest since it yields a recursion for the aggregate claims distribution in the collective model of risk theory when the claim size distribution is integer-valued as well. A similar characterization of claim number distributions satisfying the above recursion for all n ≥ 1 has been obtained by Willmot. In the present paper we extend these results and the subsequent recursion for the aggregate claims distribution to the case where the recursion holds for all n ≥ k with arbitrary k. Our results are of interest in catastrophe excess-of-loss reinsurance.
Comment on the Discussion Article by Aase and Persson
Authors: Bühlmann Hans 
Published: February 2005

I applaud the article as it is exactly the type of reaction to my editorial in Astin Bulletin 32(2) that I hoped to provoke. Of course Aase and Persson's contribution is much more academic in style than mine which is more journalistic.To my understanding there are three important messages on which every reader of their article should reflect.
Guaranteed Annuity Options
Authors: Boyle Phelim , Hardy Mary 
Published: February 2005

Under a guaranteed annuity option, an insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rate when the policy matures. If the annuity rates provided under the guarantee are more beneficial to the policyholder than the prevailing rates in the market the insurer has to make up the difference. Such guarantees are common in many US tax sheltered insurance products. These guarantees were popular in UK retirement savings contracts issued in the 1970's and 1980's when long-term interest rates were high. At that time, the options were very far out of the money and insurance companies apparently assumed that interest rates would remain high and thus that the guarantees would never become active. In the 1990's, as long-term interest rates began to fall, the value of these guarantees rose. Because of the way the guarantee was written, two other factors influenced the cost of these guarantees. First, strong stock market performance meant that the amounts to which the guarantee applied increased significantly. Second, the mortality assumption implicit in the guarantee did not anticipate the improvement in mortality which actually occurred.The emerging liabilities under these guarantees threatened the solvency of some companies and led to the closure of Equitable Life (UK) to new business. In this paper we explore the pricing and risk management of these guarantees.
A Discrete Time Benchmark Approach for Insurance and Finance
Authors: Bühlmann Hans , Platen Eckhard 
Published: February 2005

This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of insurance policies and derivatives. The standard actuarial pricing rule is obtained as a particular case of fair pricing when the contingent claim is independent from the growth optimal portfolio.1991 Mathematics Subject Classification: primary 90A12 secondary 60G30, 62P20JEL Classification: G10, G13
A Unified Approach to Generate Risk Measures
Authors: Goovaerts Marc J. , Kaas Rob , Dhaene Jan , Tang Qihe 
Published: February 2005

The paper derives many existing risk measures and premium principles by minimizing a Markov bound for the tail probability. Our approach involves two exogenous functions v(S) and φ(S, π) and another exogenous parameter α ≤ 1. Minimizing a general Markov bound leads to the following unifying equation:
E [φ (S, π)] = αE [v (S)].For any random variable, the risk measure π is the solution to the unifying equation. By varying the functions φ and v, the paper derives the mean value principle, the zero-utility premium principle, the Swiss premium principle, Tail VaR, Yaari's dual theory of risk, mixture of Esscher principles and more. The paper also discusses combining two risks with super-additive properties and sub-additive properties. In addition, we recall some of the important characterization theorems of these risk measures.
Strategic Competence in an ELT Syllabus
Authors: Rabab'ah Ghaleb Ahmed 
Published: February 2005

Abstract
Communication strategies (CSs) are important in helping learners to communicate successfully when they are faced with a production problem due to their lack of linguistic knowledge. This paper aims to support the importance of developing second language learners’ strategic competence and making communication strategies part of an ELT syllabus. This paper first discusses the various definitions of strategic competence and communication strategies. Then it briefly presents various communication strategies used by second language learners to solve their communication problems. The major portion of this paper is devoted to strategy training and its advantages in language learning. Finally, the paper concludes with the importance of introducing tasks and activities on communication strategies in an EFL syllabus, and suggests ways of improving teaching methodology.
Fast equivalent operational model of tropospheric alkane photochemistry
Authors: Wang S. W. , Balakrishnan S. , Georgopoulos P. 
Published: February 2005

AbstractA mathematical “kinetic lumping” approach, the direct constrained approximate lumping (DCAL) method, for developing a condensed chemical mechanism of complex tropospheric alkane photochemistry was presented in previous work. In the present work, the high dimensional model representation (HDMR) method is applied to further accelerate the chemical kinetic calculations of the Alkane/DCAL mechanism from our previous work. An efficient HDMR is based on expressing a chemical species concentration at a given reaction time as an expansion of correlated functions consisting of the initial chemical species concentrations. An HDMR expansion calculates efficiently the output species concentrations at any given reaction time, employing very rapid and stable algebraic manipulations. The HDMR estimates are shown to be almost identical to those derived from solving the full tropospheric alkane photochemistry through conventional (for example, Gear‐type) chemistry solvers over wide ranges of initial conditions, while being more than 1,000 times faster. © 2005 American Institute of Chemical Engineers AIChE J, 2005
Modeling the mass transfer in solvent‐extraction processes with hollow‐fiber membranes
Authors: Bocquet S. , Torres A. , Sanchez J. , Rios G. M. , Romero J. 
Published: February 2005

AbstractThis work focuses on the modeling of solvent‐extraction processes carried out in a hollow‐fiber membrane contactor (HFC). A resistance‐in‐series model has been adapted to deal with a conventional solvent or a nonconventional solvent in subcritical conditions. Two kinds of applications have been chosen to test its validity: extraction of ethanol or acetone from an aqueous solution by subcritical carbon dioxide or propane in a single‐fiber module, and extraction of sulfur aroma compounds by hexane. Modifications in membrane characteristics and operating parameters have been investigated to determine optimal conditions. Simulations carried out with carbon dioxide have shown that the resistance in the solvent boundary layer is always negligible, whereas, in the case of hexane, the resistance in the aqueous boundary layer is always predominant. For the application with subcritical carbon dioxide, optimal values of feed and solvent velocities have been obtained. These thresholds correspond to the point where the resistance in the membrane becomes predominant. © 2005 American Institute of Chemical Engineers AIChE J, 2005
Novel polyelectrolyte carboxymethyl konjac glucomannan–chitosan nanoparticles for drug delivery. I. Physicochemical characterization of the carboxymethyl konjac glucomannan–chitosan nanoparticles
Authors: Du Jian , Sun Rui , Zhang Sheng , Zhang Li‐Fang , Xiong Cheng‐Dong , Peng Yu‐Xing 
Published: February 2005

AbstractCarboxymethyl konjac glucomannan–chitosan (CKGM–CS) nanoparticles, which are well dispersed and stable in aqueous solution, were spontaneously prepared under very mild conditions via polyelectrolyte complexation. The physicochemical properties of the nanoparticles were identified by Zetasizer 3000 and Fourier transform infrared. It was found that at various CKGM and CS concentrations the particles ranged in size from approximately 50 to 1200 nm, and the zeta potential from 15 to 45 mV. By changing pH value of the medium and increasing the concentration of salt, the mean size of the particles increased and the zeta potential decreased. Also, investigations on the encapsulation efficiency of the bovine serum albumin loaded CKGM–CS nanoparticles were also undertaken. This nanoparticulate system driven by complex formation shows potential as an advanced drug delivery system for water‐soluble drugs. © 2005 Wiley Periodicals, Inc. Biopolymers, 2005
Monovalent cations affect the free solution mobility of DNA by perturbing the hydrogen‐bonded structure of water
Authors: Stellwagen Earle , Dong Qian , Stellwagen Nancy C. 
Published: February 2005

AbstractThe free solution mobilities of single‐ and double‐stranded DNA molecules of various molecular weights have been measured by capillary electrophoresis in solutions of constant ionic strength containing a common anion and fifteen different monovalent cations. In solutions with the same ionic composition, the mobilities of different DNA molecules can vary by up to 20%, depending on molecular weight, the number of strands, and the presence or absence of A‐tracts, runs of four or more contiguous adenine residues. Importantly, the mobilities observed for the same DNA sample can vary by up to 40% in solutions containing different cations. The mobility differences observed for the same DNA in solutions containing different cations cannot be rationalized by differences in the anhydrous radii or intrinsic conductivities of the various cations, or by the sequence‐dependent binding of certain cations to A‐tracts. Instead, the observed mobilities are linearly correlated with the average number of water–water hydrogen bonds that are present in solutions containing different cations. The mobilities are also correlated with the viscosity B coefficients of the various cations and with the rotational correlation times frictional coefficients observed for water molecules in solutions containing different cations. Hence, monovalent cations modify the free solution mobility of DNA primarily by perturbing the hydrogen‐bonded structure of water, affecting the friction experienced by the migrating DNA molecules during electrophoresis. © 2005 Wiley Periodicals, Inc. Biopolymers 78: 62–68, 2005