bluuebunny/crossref_metadata_2025_split huggingface dataset:
Comparison of Seasonal Bluegill Catch Rates and Size Distributions Obtained with Trap Nets and Electrofishing in a Large, Heated Impoundment
Authors: Schultz Randall D. , Haines Daniel E. 
Published: February 2005

Abstract
To determine potential bias in bluegill Lepomis macrochirus population indices, we compared the catch rates and size structure of bluegills captured by use of trap-netting and electrofishing from 1983 to 2001 in Coffey County Lake, a 2,100-ha cooling impoundment in Kansas. Trap-net catch per unit effort (CPUE) and size structure (proportional stock density (PSD)) were greater in 13-mm-mesh than in 25-mm-mesh trap nets, but length frequencies were similar. Bluegill electrofishing CPUE and PSD were greater during fall than spring, but longer bluegills were obtained by spring electrofishing. Trap nets produced a higher bluegill CPUE than did spring electrofishing, and the trap-net length frequency was skewed toward longer fish. Our data suggest that (1) the 13-mm trap-net mesh size yields more accurate information about harvestable-size bluegill abundance and size structure than 25-mm trap nets and (2) trap-netting (both mesh sizes combined) produces more accurate information about harvestable-size bluegill abundance and size structure than does spring electrofishing. Year effects played a large role in the differences detected among catch rates and population indices. Although fall electrofishing provided a larger bluegill sample than did spring electrofishing, size structure differences were not great enough to warrant a change in the standard electrofishing sampling period (i.e., spring) for bluegills in large Kansas impoundments because black bass Micropterus spp. can be sampled concurrently. This study provides gear and seasonal bias information on bluegill catch rates and size structure. Such information is lacking for large impoundments, which points to the need for further studies like ours.
Experimental Analysis of a Reduced Daily Bluegill Limit in Minnesota
Authors: Jacobson Peter C. 
Published: February 2005

Abstract
The effect of a reduced daily limit (from 30 to 10 fish/d) on the size structure of bluegills Lepomis macrochirus in eight Minnesota lakes was measured with a controlled and replicated experiment. Bluegills from four treatment lakes (daily limit of 10 fish) and four control lakes (daily limit of 30 fish) were sampled in 2 years prior to regulation implementation and in the fourth and fifth years after regulation implementation. Repeated-measures analysis of variance was used to test for changes in two measures of size structure: mean length and 90th percentile length. The mean length of bluegills sampled in trap nets was significantly greater in treatment lakes than in control lakes at the end of the experiment. Bluegill 90th percentile lengths were higher during the postregulation period than the preregulation period, but not significantly so (although the P-value approached significance). Postregulation increases in length at maturity and growth rate were observed in the treatment lakes that exhibited the strongest responses in size structure. Results of the experiment suggest that regulations designed to significantly reduce angling harvest have potential for improving bluegill size structure.
On The Bivariate Generalized Poisson Distribution
Authors: Vernic Raluca 
Published: February 2005

AbstractThis paper deals with the bivariate generalized Poisson distribution. The distribution is fitted to the aggregate amount of claims for a compound class of policies submitted to claims of two kinds whose yearly frequencies are a priori dependent. A comparative study with the bivariate Poisson distribution and with two bivariate mixed Poisson distributions has been carried out, based on data concerning natural events insurance in the USA and third party liability automobile insurance in France.
Credibility Using Semiparametric Models
Authors: Young Virginia R. 
Published: February 2005

AbstractTo use Bayesian analysis to model insurance losses, one usually chooses a parametric conditional loss distribution for each risk and a parametric prior distribution to describe how the conditional distributions vary across the risks. A criticism of this method is that the prior distribution can be difficult to choose and the resulting model may not represent the loss data very well. In this paper, we apply techniques from nonparametric density estimation to estimate the prior. We use the estimated model to calculate the predictive mean of future claims given past claims. We illustrate our method with simulated data from a mixture of a lognormal conditional over a lognormal prior and find that the estimated predictive mean is more accurate than the linear Bühlmann credibility estimator, even when we use a conditional that is not lognormal.
Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
Authors: Chan Terence 
Published: February 2005

AbstractThis paper presents a continuous time version of a stochastic investment model originally due to Wilkie. The model is constructed via stochastic differential equations. Explicit distributions are obtained in the case where the SDEs are driven by Brownian motion, which is the continuous time analogue of the time series with white noise residuals considered by Wilkie. In addition, the cases where the driving “noise” are stable processes and Gamma processes are considered.
On Esscher Transforms in Discrete Finance Models
Authors: Bühlmann Hans , Delbaen Freddy , Embrechts Paul , Shiryaev Albert N. 
Published: February 2005

The object of our study iswhere each Sn is a m-dimensional stochastic (real valued) vector, i.e.denned on a probability space (Ω, , P) and adapted to a filtration (n)0≤n≤N with 0 being the σ-algebra consisting of all null sets and their complements. In this paper we interpret as the value of some financial asset k at time n.Remark: If the asset generates dividends or coupon payments, think of as to include these payments (cum dividend process). Think of dividends as being reinvested immediately at the ex-dividend price.Definition 1(a) A sequence of random vectorswhereis called a trading strategy. Since our time horizon ends at time N we must always have ϑN ≡ 0.The interpretation is obvious: stands for the number of shares of asset k you hold in the time interval [n,n + 1). You must choose ϑn at time n.(b) The sequence of random variableswhere Sn stands for the payment stream generated by ϑ (set ϑ−1 ≡ 0).
Designing Optimal Bonus-Malus Systems from Different Types of Claims
Authors: Pinquet Jean 
Published: February 2005

AbstractThis paper provides bonus-malus systems which rest on different types of claims. Consistent estimators are given for some moments of the mixing distribution of a multi equation Poisson model with random effects. Bonus-malus coefficients are then obtained with the expected value principle, and from linear credibility predictors. Empirical results are presented for two types of claims, namely claims at fault and not at fault with respect to a third party.
On Multivariate Panjer Recursions
Authors: Sundt Bjørn 
Published: February 2005

AbstractIn the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector. We discuss situations within insurance where such models could be applicable, and consider some special cases of the general algorithm. Finally we deduce from the algorithm a multivariate extension of De Pril's (1985) recursion for convolutions.
An Addendum and a Short Comment on the Paper
Authors: Gisler Alois , Frost Patrick 
Published: February 2005

In January 1997, Winterthur Insurance, together with Credit Suisse First Boston (CSFB), issued the first listed CAT bond. The annual “WINCAT0 coupons of this three-year convertible bond are knocked out if any single storm event damages more than 6,000 vehicles insured by Winterthur Insurance in Switzerland.This was a completely new way of securing insurance risks. The main intention was to test the Swiss capital market for such products and to make investors acquainted with them. Thereby Winterthur, together with CSFB, set new standards in product transparency, fairness of pricing and investor education by making the historical data available via internet and by publishing a special brochure (CSFB (1997)), where the pricing and the mathematical modelling are described in detail. This is also a prerequisite to enable a scientific discussion on pricing aspects of such new financial products. The developers of the bond are therefore grateful to Mr. Schmock for this valuable scientific contribution which can be seen as a thorough and profound statistical analysis on the knock-out probability for the purpose of quantifying the model uncertainty.In Section 2 we briefly summarize the whole pricing of the bond at the issue date and show that there were several risk premium elements in this pricing where the conservative estimation of the knock-out probability was just one of them. In Section 3 we consider the modelling of low frequency risks from a practitioner's standpoint and formulate some requirements from practice. In Section 4 we make some further comments on the modelling of the Wincat data. Section 5 is a short summary.
Discussion of Christofides' Conjecture Regarding Wang's Premium Principle
Authors: Young Virginia R. 
Published: February 2005

Christofides (1998) studies the proportional hazards (PH) transform of Wang (1995) and shows that for some parametric families, the PH premium principle reduces to the standard deviation (SD) premium principle. Christofides conjectures that for a parametric family of distributions with constant skewness, the PH premium principle reduces to the SD principle. I will show that this conjecture is false in general but that it is true for location-scale families and for certain other families.Wang's premium principle has been established as a sound measure of risk in Wang (1995, 1996), Wang, Young, and Panjer (1997), and Wang and Young (1998). Determining when the SD premium principle is a special case of Wang's premium principle is important because it will help identify circumstances under which the more easily applied SD premium principle is a reliable measure of risk.First, recall that a distortion g is a non-decreasing function from [0, 1] onto itself. Wang's premium principle, with a fixed distortion g, associates the following certainty equivalent with a random variable X, (Wang, 1996) and (Denneberg, 1994):in which Sx is the decumulative distribution function (ddf) of X, Sx(t) = Pr(X > t), t ∈ R. If g is a power distortion, g(p) = pc, then Hg is the proportional hazards (PH) premium principle (Wang, 1995).Second, recall that a location-scale family of ddfs is , in which Sz is a fixed ddf. Alternatively, if Z has ddf Sz, then {X = μ + σZ: μ∈ R, σ > 0} forms a location-scale family of random variables, and the ddf of . Examples of location-scale families include the normal, Cauchy, logistic, and uniform families (Lehmann, 1991, pp. 20f). In the next proposition, I show that Wang's premium principle reduces to the SD premium principle on a location-scale family. Christofides (1998) observes this phenomenon in several special cases.
A New Class of Bayesian Estimators in Paretian Excess-of-Loss Reinsurance
Authors: Reiss R.-D. , Thomas M. 
Published: February 2005

AbstractFor estimating the shape parameter of Paretian excess claims, certain Bayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature. It turns out that these estimators may have a poor performance – just as the Hill estimator – if a certain location parameter is unequal to zero in the Paretian modeling. In an alternative formulation this means that a scale parameter is unequal to 1. Thus, it suggests itself to add the scale parameter in the modeling and to deal with Bayesian estimators of the shape and scale parameters in a full Paretian model. These estimators will be applied to fire and motor reinsurance data. The performance of these estimators will be illustrated by means of Monte Carlo simulations.
A Note on Christofides' Conjecture Regarding Wang's Premium Principle
Authors: Jing-Long Wang 
Published: February 2005

Young (1999) discussed the conjecture proposed by Christofides (1998) regarding the premium principle of Wang (1995, 1996). She shows that this conjecture is true for location-scale families and for certain other families, but false in general. In addition Young (1999) states that it remains an open problem to determine under what circumstances Wang's premium principle reduces to the standard deviation (SD) premium principle.In this paper we will provide further discussion of this problem. We will show that, for a fixed distortion, the natural set on which Wang's premium principle can reduce to the SD premium principle is and only is the union of location-scale families which satisfies some condition. Furthermore, it will be shown that the natural set is and only is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for any distortion.
A Mathematical Model of Alzheimer's Disease and the Apoe Gene
Authors: Macdonald Angus , Pritchard Delme 
Published: February 2005

AbstractAlzheimer's disease (AD) accounts for a significant proportion of long-term care costs. The recent discovery that the ε4 allele of the ApoE gene indicates a predisposition to earlier onset of AD raises questions about the potential for adverse selection in long-term care insurance, about long-term care costs in general, and about the potential effects on costs of gene therapy, or better targetted treatments for AD. This paper describes a simple Markov model for AD, and the estimation of the transition intensities from the medical and epidemiological literature.
Economic Aspects of Securitization of Risk
Authors: Cox Samuel H. , Fairchild Joseph R. , Pedersen Hal W. 
Published: February 2005

AbstractThis paper explains securitization of insurance risk by describing its essential components and its economic rationale. We use examples and describe recent securitization transactions. We explore the key ideas without abstract mathematics. Insurance-based securitizations improve opportunities for all investors. Relative to traditional reinsurance, securitizations provide larger amounts of coverage and more innovative contract terms.
Super-Efficient Prediction Based on High-Quality Marker Information
Authors: Nielsen Jens Perch 
Published: February 2005

AbstractNielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated-consistently if a Markov type property holds for the high quality marker.
Optimal Loss Financing Under Bonus-Malus Contracts
Authors: Holtan Jon 
Published: February 2005

AbstractThe paper analyses the question: Should an insurance customer carry an occurred loss himself, or should he make a claim to the insurance company? This question is important within bonus-malus contracts with individual experience adjustments of the premium. The analysis model includes a bonus hunger strategy where the customers prefer the most profitable financial alternative, that is, the alternative which represents the lowest rate of interest. Hence the loss of bonus after a claim is calculated as a rate of interest paid from the customer to the insurer. Within this model the paper outlines the existence of a true compensation function and a relative cost function for each customer. A set of properties for bonus-malus contracts are presented and discussed. A concrete example of a bonus-malus system and an insurance compensation function illustrates the theoretical framework in a practical manner.
Financial Data Analysis with Two Symmetric Distributions
Authors: Hürlimann Werner 
Published: February 2005

AbstractThe normal inverted gamma mixture or generalized Student t and the symmetric double Weibull, as well as their logarithmic counterparts, are proposed for modeling some loss distributions in non-life insurance and daily index return distributions in financial markets. For three specific data sets, the overall goodness-offit from these models, as measured simultaneously by the negative log-likelihood, chi-square and minimum distance statistics, is found to be superior to that of various “good” competitive models including the log-normal, the Burr, and the symmetric α-stable distribution. Furthermore, the study justifies on a statistical basis different important models of financial returns like the model of Black-Scholes (1973), the log-Laplace model of Hürlimann (1995), the normal mixture by Praetz (1972), the symmetric α-stable model by Mandelbrot (1963) and Fama (1965), and the recent double Weibull as limiting geometric-multiplication stable scheme in Mittnik and Rachev (1993). As an application, the prediction of one-year index returns from daily index returns is discussed.
Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance
Authors: Frangos Nicholas E. , Vrontos Spyridon D. 
Published: February 2005

AbstractThe majority of optimal Bonus-Malus Systems (BMS) presented up to now in the actuarial literature assign to each policyholder a premium based on the number of his accidents. In this way a policyholder who had an accident with a small size of loss is penalized unfairly in the same way with a policyholder who had an accident with a big size of loss. Motivated by this, we develop in this paper, the design of optimal BMS with both a frequency and a severity component. The optimal BMS designed are based both on the number of accidents of each policyholder and on the size of loss (severity) for each accident incurred. Optimality is obtained by minimizing the insurer's risk. Furthermore we incorporate in the above design of optimal BMS the important a priori information we have for each policyholder. Thus we propose a generalised BMS that takes into consideration simultaneously the individual's characteristics, the number of his accidents and the exact level of severity for each accident.
Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
Authors: Hürlimann Werner 
Published: February 2005

AbstractBased on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the economic risk capital of a risky business over some time period required to cover losses with a high probability. These functionals are consistent with the risk preferences of profit-seeking (and risk averse) decision makers and preserve the stochastic dominance order (and the stop-loss order). Quantitatively, RaC is equal to VaR plus an additional stop-loss dependent term, which takes into account the average amount at loss. Furthermore, RaC is additive for comonotonic risks, which is an important extremal situation encountered in the modeling of dependencies in multivariate risk portfolios. Numerical illustrations for portfolios of gamma distributed risks follow. As a result of independent interest, new analytical expressions for the exact probability density of sums of independent gamma random variables are included, which are similar but different to previous expressions by Provost (1989) and Sim (1992).
Fourier/Laplace Transforms and Ruin Probabilities
Authors: Lima Fátima D.P. , Garcia Jorge M.A. , Egídio Dos Reis Alfredo D. 
Published: February 2005

AbstractIn this paper we use Fourier/Laplace transforms to evaluate numerically relevant probabilities in ruin theory as an application to insurance. The transform of a function is split in two: the real and the imaginary parts. We use an inversion formula based on the real part only, to get the original function.By using an appropriate algorithm to compute integrals and making use of the properties of these transforms we are able to compute numerically important quantities either in classical or non-classical ruin theory. As far as the classical model is concerned the problems considered have been widely studied. In what concerns the non-classical model, in particular models based on more general renewal risk processes, there is still a long way to go. In either case the approach presented is an easy method giving good approximations for reasonable values of the initial surplus.To show this we compute numerically ruin probabilities in the classical model and in a renewal risk process in which claim inter-arrival times have an Erlang(2) distribution and compare to exact figures where available. We also consider the computation of the probability and severity of ruin in the classical model.
The Development of an Optimal Bonus-Malus System in a Competitive Market
Authors: Baione Fabio , Levantesi Susanna , Menzietti Massimiliano 
Published: February 2005

AbstractBMS in force show a progressive reduction of the observed average premium, which causes a financial imbalance in the system (see Lemaire (1995)). As a onsequence, frequent premium adjustments become necessary and result in discrepancy between the reduction defined in the policy contract and the ffective discount applied to the driver. Most policyholders are not aware of his “lack of transparency”. This paper deals with the problem of designing an optimal tariff structure so that the designed BMS is adequate and satisfies both transparency and financial balance conditions.
International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors
Authors: Bugár Gyöngyi , Maurer Raimond 
Published: February 2005

AbstractIn this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realise substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above mentioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.
Erlangian Approximations for Finite-Horizon Ruin Probabilities
Authors: Asmussen Soren , Avram Florin , Usabel Miguel 
Published: February 2005

AbstractFor the Cramér-Lundberg risk model with phase-type claims, it is shown that the probability of ruin before an independent phase-type time H coincides with the ruin probability in a certain Markovian fluid model and therefore has an matrix-exponential form. When H is exponential, this yields in particular a probabilistic interpretation of a recent result of Avram & Usabel. When H is Erlang, the matrix algebra takes a simple recursive form, and fixing the mean of H at T and letting the number of stages go to infinity yields a quick approximation procedure for the probability of ruin before time T. Numerical examples are given, including a combination with extrapolation.