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financial planning and insurance and university of new south wales - All News and Analysis
Spatial Risk Smoothing
BNET
- 2004-11-02
This paper describes a method for estimating insurance claims or risk premiums allowing for spatial dependence as well as explanatory factors. The concepts are related to those used for graduation of mortality tables using cubic splines but extended to spatial dependence as found in many insurance products. Firstly techniques for...
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process With Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
BNET
- 2004-09-17
In practical situations, the number of claims to an insurance portfolio is observed but not the claim intensity. It is therefore of interest to try to solve the filtering problem, that is to obtain the best estimate of the claim intensity on the basis of reported claims. This paper states...
The Distribution of the Interval of the Cox Process With Shot Noise Intensity for Insurance Claims and its Moments
BNET
- 2004-08-25
Applying piecewise deterministic Markov processes theory, the probability generating function of the Cox process, incorporating with shot noise process as the claim intensity, is obtained. The paper also derives the Laplace transform of the distribution of the shot noise process at claim jump times, using stationary assumption of the shot...
Solvency, Capital Allocation and Fair Rate of Return in Insurance
BNET
- 2004-01-15
This paper considers the links between solvency, capital allocation and fair rate of return in insurance. A method to allocate capital in insurance to lines of business is developed based on an economic definition of solvency and the market value of the insurer balance sheet. Solvency, and its financial impact,...
Equilibrium Insurance Pricing, Market Value of Liabilities & Optimal Value of Market Capitalization
BNET
- 2003-06-05
This paper reviews an insurance pricing model for a simple one period economy with shares in productive firms, insurance firm?s real estate. The paper considers the valuation of insurance firm?s liabilities in the model and in the optimal capitalization of the firm. The relationship of the results to standard financial...
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