Underwriting in Property-Casualty Insurance Markets: Regulation, Risk and Volatility

Do Property-Casualty Insurance Underwriting Margins Have Unit Roots?

A growing literature analyzes determinants of insurance prices using time series data on insurer underwriting margins. If the variables analyzed are stationary, conventional regression models may be appropriately used to test hypotheses. Based on pre-tests for a unit root, several studies have instead used cointegration analysis to analyze the long run relationship between purportedly non-stati...

high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company

در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...

Applying Data Mining Techniques in Property/Casualty Insurance

This paper addresses the issues and techniques for Property/Casualty actuaries using data mining techniques. Data mining means the efficient discovery of previously unknown patterns in large databases. It is an interactive information discovery process that includes data acquisition, data integration, data exploration, model building, and model validation. The paper provides an overview of the ...

Loss Reserve Errors, Income Smoothing and Investment Risk of Property and Casualty Insurance Companies

Enterprise Risk Management and Diversification Effects for Property and Casualty Insurance Companies

In a well-designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic risk, financial risk, operational risk, and hazard risk under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. We find that...