bluuebunny/crossref_metadata_2025_split huggingface dataset:
Prediction of Outstanding Liabilities II. Model Variations and Extensions
Authors: Norberg Ragnar 
Published: February 2005

AbstractThis is a follow-up of a previous paper by the author, where claims reserving in non-life insurance is treated in the framework of a marked Poisson claims process. A key result on decomposition of the process is generalized, and a number of related results are added. Their usefulness is demonstrated by examples and, in particular, the connection to the analogous discrete time model is clarified. The problem of predicting the outstanding part of reported but not settled claims is revisited and, by way of example, solved in a model where the partial payments are governed by a Dirichlet process. The process of reported claims is examined, and its dual relationship to the process of occurred claims is pointed out.
Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
Authors: Harris Glen R. 
Published: February 2005

AbstractFinancial time series data are typically found to possess leptokurtic frequency distributions, time varying volatilities, outliers and correlation structures inconsistent with linear generating processes, nonlinear dependence, and dependencies between series that are not stable over time. Regime Switching Vector Autoregressions are of interest because they are capable of explaining the observed features of the data, can capture a variety of interactions between series, appear intuitively reasonable, are vector processes, and are now tractable.This paper considers a vector autoregression subject to periodic structural changes. The parameters of a vector autoregression are modelled as the outcome of an unobserved discrete Markov process with unknown transition probabilities. The unobserved regimes, one for each time point, together with the regime transition probabilities, are determined in addition to the vector autoregression parameters within each regime.A Bayesian Markov Chain Monte Carlo estimation procedure is developed which efficiently generates the posterior joint density of the parameters and the regimes. The complete likelihood surface is generated at the same time, enabling estimation of posterior model probabilities for use in non-nested model selection. The procedure can readily be extended to produce joint prediction densities for the variables, incorporating both parameter and model uncertainty.Results using simulated and real data are provided. A clear separation of the variance between a stable and an unstable regime was observed. Ignoring regime shifts is very likely to produce misleading volatility estimates and is unlikely to be robust to outliers. A comparison with commonly used models suggests that Regime Switching Vector Autoregressions provide a particularly good description of the observed data.
Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting
Authors: Grübel Rudolf , Hermesmeier Renate 
Published: February 2005

AbstractNumerical evaluation of compound distributions is one of the central numerical tasks in insurance mathematics. Two widely used techniques are Panjer recursion and transform methods. Many authors have pointed out that aliasing errors imply the need to consider the whole distribution if transform methods are used, a potential drawback especially for heavy-tailed distributions. We investigate the magnitude of aliasing errors and show that this problem can be solved by a suitable change of measure.
On the Distribution of the Surplus Prior and at Ruin
Authors: Schmidli Hanspeter 
Published: February 2005

AbstractConsider a classical compound Poisson model. The safety loading can be positive, negative or zero. Explicit expressions for the distributions of the surplus prior and at ruin are given in terms of the ruin probability. Moreover, the asymptotic behaviour of these distributions as the initial capital tends to infinity are obtained. In particular, for positive safety loading the Cramer case, the case of subexponential distributions and some intermediate cases are discussed.
Selection of Credibility Regression Models
Authors: Bühlmann Peter , Bühlmann Hans 
Published: February 2005

AbstractWe derive some decision rules to select best predictive regression models in a credibility context, that is, in a “random effects’ linear regression model with replicates. In contrast to usual model selection techniques on a collective level, our proposal allows to detect individual structures, even if they disappear in the collective.We give exact, non-asymptotic results for the expected squared error loss for a predictor based on credibility estimation in different models. This involves correct accounting of random model parameters and the study of expected loss for shrinkage estimation. We support the theoretical properties of the new model selectors by a small simulation experiment.
Recursive Evaluation of Some Bivariate Compound Distributions
Authors: Vernic Raluca 
Published: February 2005

AbstractIn this paper we consider compound distributions where the counting distribution is a bivariate distribution with the probability function (Pn1,n2)n1,n2≥0 that satisfies a recursion in the formWe present an algorithm for recursive evaluation of the corresponding compound distributions and some examples of distributions in this class.
Accounting for Individual Over-Dispersion in a Bonus-Malus Automobile Insurance System
Authors: Shengwang Meng , Wei Yuan , Whitmore G.A. 
Published: February 2005

AbstractIndividual automobile insurance claims are characterized by over-dispersion relative to the Poisson model. In addition, claim propensities vary among individuals in any insurance portfolio. This paper presents a model which takes account of both characteristics. The model employs the negative-binomial distribution as the distribution for individual-level claims and a Pareto distribution as the distribution for claim propensities within the portfolio. The paper shows that the resulting model is tractable and has a number of attractive properties which make it suitable for this application. The fit of the model to actual claim numbers for automobile third party liability insurance is examined and found acceptable. Bayes theorem is then applied to this model to calculate illustrative optimal premiums under the Bonus-Malus System (BMS).
The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
Authors: Mack Thomas 
Published: February 2005

AbstractIn Mack (1993), a formula for the standard error or chain ladder reserve estimates has been derived. In the present communication, a very intuitive and easily programmable recursive way of calculating the formula is given. Moreover, this recursive way shows how a tail factor can be implemented in the calculation of the standard error.
Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
Authors: Cairns Andrew 
Published: February 2005

AbstractThis paper discusses the modelling and control of pension funds.A continuous-time stochastic pension fund model is proposed in which there arenrisky assets plus the risk-free asset as well as randomness in the level of benefit outgo. We consider Markov control strategies which optimise over the contribution rate and over the range of possible asset-allocation strategies.For a general (not necessarily quadratic) loss function it is shown that the optimal proportions of the fund invested in each of the risky assets remain constant relative to one another. Furthermore, the asset allocation strategy always lies on the capital market line familiar from modern portfolio theory.A general quadratic loss function is proposed which provides an explicit solution for the optimal contribution and asset-allocation strategies. It is noted that these solutions are not dependent on the level of uncertainty in the level of benefit outgo, suggesting that small schemes should operate in the same way as large ones. The optimal asset-allocation strategy, however, is found to be counterintuitive leading to some discussion of the form of the loss function. Power and exponential loss functions are then investigated and related problems discussed.The stationary distribution of the process is considered and optimal strategies compared with dynamic control strategies.Finally there is some discussion of the effects of constraints on contribution and asset-allocation strategies.
Long-Term Returns in Stochastic Interest Rate Models: Applications
Authors: Deelstra Griselda 
Published: February 2005

AbstractWe extend the Cox-Ingersoll-Ross (1985) model of the short interest rate by assuming a stochastic reversion level, which better reflects the time dependence caused by the cyclical nature of the economy or by expectations concerning the future impact of monetary policies. In this framework, we have studied the convergence of the long-term return by using the theory of generalised Bessel-square processes. We emphasize the applications of the convergence results. A limit theorem proves evidence of the use of a Brownian motion with drift instead of the integral . For practice, however, this approximation turns out to be only appropriate when there are no explicit formulae and calculations are very time-consuming.
Multivariate Compound Poisson Distributions and Infinite Divisibility
Authors: Sundt Bjørn 
Published: February 2005

AbstractIn this note we give a multivariate extension of the proof of Ospina & Gerber (1987) of the result of Feller (1968) that a univariate distribution on the non-negative integers is infinitely divisible if and only if it can be expressed as a compound Poisson distribution.
Credible Claims Reserves: the Benktander Method
Authors: Mack Thomas 
Published: February 2005

AbstractA claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bornhuetter/Ferguson and Chain Ladder. In this paper, the mean squared errors of all 3 methods are calculated and compared on the basis of a very simple stochastic model. The Benktander method is found to have almost always a smaller mean squared error than the other two methods and to be almost as precise as an exact Bayesian procedure.
Optimal Insurance Coverage under Bonus-Malus Contracts
Authors: Holtan Jon 
Published: February 2005

AbstractThe paper analyses the questions: Should – or should not – an individual buy insurance? And if so, what insurance coverage should he or she prefer? Unlike classical studies of optimal insurance coverage, this paper analyses these questions from a bonus-malus point of view, that is, for insurance contracts with individual bonus-malus (experience rating or no-claim) adjustments. The paper outlines a set of new statements for bonus-malus contracts and compares them with corresponding classical statements for standard insurance contracts. The theoretical framework is an expected utility model, and both optimal coverage for a fixed premium function and Pareto optimal coverage are analyzed. The paper is an extension of another paper by the author, see Holtan (2001), where the necessary insight to – and concepts of – bonus-malus contracts are outlined.
Introduction to Dynamic Financial Analysis
Authors: Kaufmann Roger , Gadmer Andreas , Klett Ralf 
Published: February 2005

AbstractIn the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance industry. DFA combines many economic and mathematical concepts and methods. It is almost impossible to identify and describe a unique DFA methodology. There are some DFA software products for nonlife companies available in the market, each of them relying on its own approach to DFA. Our goal is to give an introduction into this field by presenting a model framework comprising those components many DFA models have in common. By explicit reference to mathematical language we introduce an up-and-running model that can easily be implemented and adjusted to individual needs. An application of this model is presented as well.
Heavy-Tailed Distributions and Rating
Authors: Beirlant J. , Matthys G. , Dierckx G. 
Published: February 2005

AbstractIn this paper we consider the problem raised in the Astin Bulletin (1999) by Prof. Benktander at the occasion of his 80th birthday concerning the choice of an appropriate claim size distribution in connection with reinsurance rating problems. Appropriate models for large claim distributions play a central role in this matter. We review the literature on extreme value methodology and consider its use in reinsurance. Whereas the models in extreme-value methods are non-parametric or semi-parametric of nature, practitioners often need a fully parametric model for assessing a portfolio risk both in the tails and in more central portions of the claim distribution. To this end we propose a parametric model, termed the generalised Burr-gamma distribution, which possesses such flexibility. Throughout we consider a Norwegian fire insurance portfolio data set in order to illustrate the concepts. A small sample simulation study is performed to validate the different methods for estimating excess-of-loss reinsurance premiums.
Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes
Authors: Usábel M. 
Published: February 2005

AbstractA method of inverting the Laplace transform based on the integration between zeros technique and a simple acceleration algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for Γ-convolutions claim sizes, but it can be also used with other distributions. The stable algorithm obtained yields interval approximations (lower and upper bounds) to any desired degree of accuracy even for very large values of u (1,000,000), initial reserves, without increasing the number of computations. This last fact can be considered an interesting property compared with other recursive methods previously used in actuarial literature or other methods of inverting Laplace transforms.
The Mixed Bivariate Hofmann Distribution
Authors: Walhin J.F. , Paris J. 
Published: February 2005

AbstractIn this paper we study a class of Mixed Bivariate Poisson Distributions by extending the Hofmann Distribution from the univariate case to the bivariate case.We show how to evaluate the bivariate aggregate claims distribution and we fit some insurance portfolios given in the literature.This study typically extends the use of the Bivariate Independent Poisson Distribution, the Mixed Bivariate Negative Binomial and the Mixed Bivariate Poisson Inverse Gaussian Distribution.
Maxima of Sums of Heavy-Tailed Random Variables
Authors: Ng K.W. , Tang Q.H. , Yang H. 
Published: February 2005

AbstractIn this paper, we investigate asymptotic properties of the tail probabilities of the maxima of partial sums of independent random variables. For some large classes of heavy-tailed distributions, we show that the tail probabilities of the maxima of the partial sums asymptotically equal to the sum of the tail probabilities of the individual random variables. Then we partially extend the result to the case of random sums. Applications to some commonly used risk processes are proposed. All heavy-tailed distributions involved in this paper are supposed on the whole real line.
On the Ruin Probability Under a Class of Risk Processes
Authors: Rongming Wang , Haifeng Liu 
Published: February 2005

AbstractIn this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential. As its consequence, a well-known result about ultimate ruin probability in the classical risk model is obtained.
Analytical Bounds for two Value-at-Risk Functionals
Authors: Hürlimann Werner 
Published: February 2005

AbstractBased on the notions of value-at-risk and conditional value-at-risk, we consider two functionals, abbreviated VaR and CVaR, which represent the economic risk capital required to operate a risky business over some time period when only a small probability of loss is tolerated. 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). This result is used to bound the VaR and CVaR functionals by determining their maximal values over the set of all loss and profit functions with fixed first few moments. The evaluation of CVaR for the aggregate loss of portfolios is also discussed. The results of VaR and CVaR calculations are illustrated and compared at some typical situations of general interest.
The Sample Size Needed for the Calculation of a GLM Tariff
Authors: Schmitter Hans 
Published: February 2005

A simple upper bound for the variance of the frequency estimates in a multivariate tariff using class criteria is deduced. This upper bound is based exclusively on univariate statistics and can, therefore, be calculated before a GLM analysis is carried out. It can be used to estimate the number of claims that will be needed for a tariff calculation depending on the number of tariff criteria and the number of levels of each criterion.The article is a revised version of a paper presented at the XXXIst ASTIN Colloquium in Porto Cervo.
Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
Authors: Avram F. , Usábel M. 
Published: February 2005

This paper shows how the multivariate finite time ruin probability function, in a phase-type environment, inherits the phase-type structure and can be efficiently approximated with only one Laplace transform inversion.From a theoretical point of view, we also provide below a generalization of Thorin’s formula (1971) for the double Laplace transform of the finite time ruin probability, by considering also the deficit at ruin; the model is that of a Sparre Andersen (renewal) risk process with phase-type interarrival times.In the case when the claims distribution is of phase-type as well, we obtain also an alternative formula for the single Laplace transform in time (or “exponentially killed probability’’), in terms of the roots with positive real part of the Lundberg’s equations, which complements Asmussen’s representation (1992) in terms of the roots with negative real part.
Risk assessment of migration from packaging materials into foodstuffs
Authors: Vitrac O. , Hayert M. 
Published: February 2005

AbstractThis work proposes a generic quantitative methodology to assess the risk of the migration of chemicals from packaging materials into foodstuffs. The distribution of the concentration in food is derived from a stochastic resolution of dimensionless transport equations accounting for physical properties of the considered food product(s) (solid/liquid, volume), of the packaging material(s) (polymer type, thickness), and of possible migrants (initial concentration, diffusion and partition coefficients at the temperature of storage). Each parameter is decomposed as a product of a scale factor and a dimensionless random contribution with known distributions (normal, log‐normal, Weibull, gamma, and beta). Nonlinear dependencies between all parameters (up to 12) are reliably handled based on projection techniques and convolution products. The proposed methodology is illustrated on three arbitrary classes of packed food products combined with two migration scenarios and three typical boundary conditions (solid food, liquid food, no‐external transport resistance). Finally, data analysis abacuses are provided to appraise the migration risk for more general cases. © 2005 American Institute of Chemical Engineers AIChE J, 2005
Intracranial arterial dolichoectasia and small‐vessel disease in stroke patients
Authors: Pico Fernando , Labreuche Julien , Touboul Pierre‐Jean , Leys Didier , Amarenco Pierre ,   for the GENIC Investigators
Published: February 2005

AbstractTwo studies found that stroke patients with intracranial arterial dolichoectasia (IADE) had lacunar infarction more often than the control subjects. The relation between IADE and other manifestations of small‐vessel disease (multilacunar state, leukoaraiosis, and état criblé) was not investigated. The magnetic resonance images of 510 patients with brain infarction in the Etude du Profil Genetique de l'Infarctus Cerebral (GENIC) study were evaluated for the diagnosis of multilacunar infarction (>1 lacunar infarct), leukoaraiosis (assessed in periventricular and subcortical regions according to Scheltens and colleagues' scale, with severe leukoaraiosis defined as a score > 8), état criblé (using a semiquantitative score ranging from 0–8, with severe EC > 4), and IADE (using the consensus method). By comparison with stroke patients without IADE (n = 447), IADE(+) stroke patients (n = 63) had significantly more frequent multilacunar state (51 vs 33%), severe leukoaraiosis (34 vs 19%), and severe état criblé (32 vs 12%). After adjustment for potential confounding factors, the odds ratios (95% confidence interval) for the presence of IADE were 2.05 (1.08–3.87) for multilacunar state, 2.40 (1.11–5.20) for severe leukoaraiosis, and 3.60 (1.43–9.08) for severe état criblé. The factors significantly associated with état criblé were older age and a familial history of stroke. IADE in stroke patients was independently associated with parenchymal manifestations of small‐vessel disease. These conditions may have in common underlying pathophysiological processes. Ann Neurol 2005
New Oxadiazole Derivatives Showing partly Antiplatelet, Antithrombotic and Serotonin Antagonistic Properties
Authors: Bethge Katrin , Pertz Heinz H. , Rehse Klaus 
Published: February 2005

AbstractTen new 1, 2, 4‐oxadiazole‐ and six new 1, 3, 4‐oxadiazole‐carboxamides containing different lipophilic moieties (i.e. 4‐biphenyl‐, 1‐naphthyl, phenylpropyl‐ and n‐hexyl substituents) and additional basic groups which are mainly alkyl‐ and dialkylaminoalkyl residues have been synthesized and tested for antiplatelet effects in vitro (Born‐test) and antithrombotic properties in vivo (laser thrombosis model). If the platelet aggregation was induced by collagen, the inhibitory effects (IC50) were between 58 μM and 300 μM. Using serotonin (5‐HT) as an inducer, compound 6a (N‐(3‐dimethylaminopropyl‐5‐(biphenyl‐4‐yl)‐1, 3, 4‐oxadiazole‐2‐carboxamide) had an IC50 = 1 μM (12e: (N‐3‐Dimethylaminopropyl)‐3‐(1‐naphthyl)‐1, 2, 4‐oxadiazole‐5‐carboxamide, 6.7 μM). In an in vitro rat tail artery assay 6a and 12e behaved as a competitive 5‐HT2A receptor antagonist (6a: pKB = 6.86 ± 0.04; 12e: pKB = 6.66 ± 0.05). The antithrombotic effects of some compounds were small but significant (7–10 % inhibition of thrombus formation).
Evaluation of Some Pyrazoloquinolines as Inhibitors of Herpes Simplex Virus Type 1 Replication
Authors: Bekhit Adnan A. , El‐Sayed Ola A. , Aboul‐Enein Hassan Y. , Siddiqui Yunus M. , Al‐Ahdal Mohammed N. 
Published: February 2005

AbstractThree structurally related aminopyrazoloquinoline derivatives were evaluated for their antiviral activity against Herpes Simplex virus type 1. These compounds were examined for their in vitro antiviral activity by two different bioassays, namely; crystal violet staining and tetrazolium dye (MTS) measurement. The antiviral role of these compounds was confirmed by enumerating the infectious particles with plaque assay. The acute toxicity values of the biologically active compounds were determined prior to their screening as antiviral agents.