Reinsurance, ruin and solvency issues: some pitfalls

In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it is usually admitted that reinsurance should lower ruin probabilities, it should be easy to derive an efficient Monte Carlo algorithm to link ruin probability and reinsurance parameter. Unfortunately, if it is possible for proportional reinsurance, this is no longer the case in nonproportional reinsurance. Some examples where reinsurance might increase ruin probabilities are given at the end, when claim arrival and claim size are not independent.Dependence; Reinsurance; Ruin probability; Solvency requirements

On the return period of the 2003 heat wave

Extremal events are difficult to model since it is difficult to characterize formally those events. The 2003 heat wave in Europe was not characterized by very high temperatures, but mainly the fact that night temperature were no cool enough for a long period of time. Hence, simulation of several models (either with heavy tailed noise or long range dependence) yield different estimations for the return period of that extremal event.Heat wave, long range dependence, return period, heavy tails, GARMA processes, SARIMA processes

We are not alone ! (at least, most of us). Homonymy in large scale social groups

This article brings forward an estimation of the proportion of homonyms in large scale groups based on the distribution of first names and last names in a subset of these groups. The estimation is based on the generalization of the "birthday paradox problem". The main results is that, in societies such as France or the United States, identity collisions (based on first + last names) are frequent. The large majority of the population has at least one homonym. But in smaller settings, it is much less frequent : even if small groups of a few thousand people have at least one couple of homonyms, only a few individuals have an homonym

Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves, with "macro" and "micro" models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, application on claims reserving are considered

Income Inequality Games

The paper explores different applications of the Shapley value for either inequality or poverty measures. We first investigate the problem of source decomposition of inequality measures, the so-called additive income sources inequality games, baed on the Shapley Value, introduced by Chantreuil and Trannoy (1999) and Shorrocks (1999). We show that multiplicative income sources inequality games provide dual results compared with Chantreuil and Trannoy's ones. We also investigate the case of multiplicative poverty games for which indices are non additively decomposable in order to capture contributions of sub-indices, which are multiplicatively connected with, as in the Sen-Shorrocks-Thon poverty index. We finally show in the case of additive poverty indices that the Shapley value may be equivalent to traditional methods of decomposition such as subgroup consistency and additive decompositions.

Income Inequality Games

The paper explores different applications of the Shapley value for either inequality or poverty measures. We first investigate the problem of source decomposition of inequality measures, the so-called additive income sources inequality games, baed on the Shapley Value, introduced by Chantreuil and Trannoy (1999) and Shorrocks (1999). We show that multiplicative income sources inequality games provide dual results compared with Chantreuil and Trannoy's ones. We also investigate the case of multiplicative poverty games for which indices are non additively decomposable in order to capture contributions of sub-indices, which are multiplicatively connected with, as in the Sen Shorrocks-Thon poverty index. We finally show in the case of additive poverty indices that the Shapley value may be equivalent to traditional methods of decomposition such as subgroup consistency and additive decompositions.Inequality, Poverty, Shapley, Source decomposition.

ACUTA eNews July 1994, Vol. 23, No. 7

In This Issue Board Report President\u27s message White papers/Blue papers Yale Telecom The year the lights went on in Georgia Curtin Universit

Gamma Sigma Delta, Nebraska Chapter Newsletter, Issue #54 Spring 2017

President’s Message - Dann Husmann ANNUAL SEMINAR, DR. ROD MOXLEY: The USDA-NIFA Shiga Toxin-Producing Escherichia coli Coordinated Agricultural Project: An Update on Major Outcomes and Impacts Welcome New Members Recipients of 2016 Gamma Sigma Delta AwardsAward of Merit for Service Recipient: Ronald YoderExcellence in Research Award Recipient: Jeyam SubbiahExcellence in Teaching Award Recipient: Tom BurkeyExcellence in Extension Award Recipient: Robert Wright Outstanding Undergraduate Senior-- Elizabeth Carreiro Animal Science & Finalists for Outstanding Undergraduate Senior --Alissa Martindale, Animal Science, Andrea Gurney, Agribusiness, & Toni Rassmussen, Agricultural Education Outstanding Graduate Student – Amy Desaulniers – Animal Science Finalists Finalists were Kyle Koch, Entomology & Joshua Miller, Agronomy & Horticulture Chance Vorderstrasse, Grassland Ecology and Management -- Arthur von Bergen Memorial Award In Memoriam: Franklin Eldridge, Glenn Froning, Clinton A. Hoover, Thomas “Tom” Wesley Dorn, Thomas Joseph Tom Helms, Sr., Clayton Yeutter Gamma Sigma Delta Committees 201