083079 (E50) Beneficial changes in random variables via copulas: An application to insurance : Tibiletti L., The Geneva Papers on Risk and Insurance Theory, Volume 20, N° 2, 1995, pp. 191–202
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 90 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0167-6687
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✦ Synopsis
This paper describes a practical model for measuring insurance risk. it was designed for our company, F&G Re, Inc., a world-wide, multi-line, non-life treaty reinsurer. The Stability and spread of risk by geographic zone and by type of model reflects profitability and spread of risk by geographic zone and by type of business. The authors measured the risk in the current portfolio, then analyzed of adding or subtracting certain types of business or purchasing a retrocessional cover.
The model's input is management's judgments of the probability of results in various business segments. Since the input is subjective, the model's output is for internal use only. Also, unlike most regulatory approaches, our model applies to business that is planned to be written for the coming year, rather than business already on the books.
Section II of the paper describes the construction of the model. Section III applies the model to demonstrate some general underwriting principles. Section IV contains a critique of the method and suggestions for further development.