Description: Preview the next ARC, taking place August 8–11 at Western University.

Description: This paper presents a model for analyzing the impact of underwriting cycles on an insurer’s surplus. The model allows the insurer to vary its security loading in response to the cycles, with a strategy parameter that indicates the extent to which the insurer follows the loading which prevails in the market. The insurer’s claim rate is also allowed to vary to reflect exposure changes that result from the insurer’s strategy. The paper analyzes ruin probabilities using both simulation and a Lundberg-type upper bound which is developed in the paper. It finds that the latter is suitable and convenient for comparing ruin probabilities under the different insurer strategies.

Description: Many quantities arising in non-life insurance depend on claim severity distributions, which are usually modeled assuming a parametric form. Obtaining good estimates of the quantities, therefore, reduces to having good estimates of the model parameters. However, the notion of 'good estimate' depends on the problem at hand. For example, the maximum likelihood estimators [MLE] are efficient, but they generally lack robustness. Since outliers are common in insurance loss data, it is therefore important to have a method that allows one to balance between efficiency and robustness. This presentation suggests a general estimation method that we call the method of trimmed moments [MTM]. This method is appropriate for various model fitting situations including those for which a close fit in one or both tails of the distribution is not required. The MTM estimators can achieve various degrees of robustness, and they also allow the decision maker to easily see the actions of the estimators on the data, which makes them particularly appealing.

Description: This paper presents a statistical analysis of advanced age mortality data, using extreme value models to quantify the upper tail of the distribution of human life spans. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: The abstract for the paper An Extreme Value Analysis of Advanced Age Mortality Data.