Managing the Insolvency Risk of Insurance Companies

. Ed(s): Cummins, J. David; Derrig, Richard A.

ISBN 10: 0792391527 / ISBN 13: 9780792391524

Published by Kluwer Academic Publishers, 1991

About this Item

Proceedings of the Second International Conference on Insurance Solvency. Editor(s): Cummins, J. David; Derrig, Richard A. Series: Huebner International Series on Risk, Insurance and Economic Security. Num Pages: 343 pages, biography. BIC Classification: KFFN. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 234 x 156 x 20. Weight in Grams: 664. . 1991. Hardback. . . . . Books ship from the US and Ireland.

Seller Inventory # V9780792391524

Bibliographic Details

• Title: Managing the Insolvency Risk of Insurance Companies
• Publisher: Kluwer Academic Publishers
• Publication Date: 1991
• Language: English
• ISBN 10: 0792391527
• ISBN 13: 9780792391524
• Binding: Hardcover
• Condition: New

About this title

Synopsis

Two different applications have been considered, automobile claims from Massachusetts and health expenses from the Netherlands. We have fit 11 different distributions to these data. The distributions are conveniently nested within a single four parameter distribution, the generalized beta of the second type. This relationship facilitates analysis and comparisons. In both cases the GB2 provided the best fit and the Burr 3 is the best three parameter model. In the case of automobile claims, the flexibility of the GB2 provides a statistically siE;nificant improvement in fit over all other models. In the case of Dutch health expenses the improvement of the GB2 relative to several alternatives was not statistically significant. * The author appreciates the research assistance of Mark Bean, Young Yong Kim and Steve White. The data used were provided by Richard Derrig of The Massachusetts Automobile Rating and Accident Prevention Bureau and by Bob Van der Laan and The Silver Cross Foundation for the medical insurance claim data. 2~ REFERENCES Arnold, B. C. 1983. Pareto Distributions. Bartonsville: International Cooperative Publishing House. Cummins, J. D. and L. R. Freifelder. 1978. A comparative analysis of alternative maximum probable yearly aggregate loss estimators. Journal of Risk and Insurance 45:27-52. *Cummins, J. D., G. Dionne, and L. Maistre. 1987. Application of the GB2 family of distributions in collective risk theory. University of Pennsylvania: Mimeographed manuscript. Hogg, R. V. and S. A. Klugman. 1983. On the estimation of long tailed skewed distributions with actuarial applications.