Ebook: Financial Models of Insurance Solvency

The First International Conference on Insurance Solvency was held at the Wharton School, University of Pennsylvania from June 18th through June 20th, 1986. The conference was the inaugural event for Wharton's Center for Research on Risk and Insurance. In atten­ dance were thirty-nine representatives from Australia, Canada, France, Germany, Israel, the United Kingdom, and the United States. The papers presented at the Conference are published in two volumes, this book and a companion volume, Classical Insurance Solvency Theory, J. D. Cummins and R. A. Derrig, eds. (Norwell, MA: Kluwer Academic Publishers, 1988). The first volume presented two papers reflecting important advances in actuarial solvency theory. The current volume goes beyond the actuarial approach to encom­ pass papers applying the insights and techniques of financial economics. The papers fall into two groups. The first group con­ sists of papers that adopt an essentially actuarial or statistical ap­ proach to solvency modelling. These papers represent methodology advances over prior efforts at operational modelling of insurance companies. The emphasis is on cash flow analysis and many of the models incorporate investment income, inflation, taxation, and other economic variables. The papers in second group bring financial economics to bear on various aspects of solvency analysis. These papers discuss insurance applications of asset pricing models, capital structure theory, and the economic theory of agency.

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Content:
Front Matter....Pages i-xxv
The Assessment of the Financial Strength of Insurance Companies by a Generalized Cash Flow Model....Pages 1-36
Cash Flow Simulation Models for Premium and Surplus Analysis....Pages 37-55
Some Aspects of Life Assurance Solvency....Pages 57-86
The Solvency of a General Insurance Company in Terms of Emerging Costs....Pages 87-149
Some General Approaches to Computing Total Loss Distributions and the Probability of Ruin....Pages 151-170
Methods for Analyzing the Effects of Underwriting Risk on the Insurer’s Long-Term Solvency....Pages 171-217
Concepts and Trends in the Study of Insurer’s Solvency....Pages 219-241
On the Application of Finance Theory to the Insurance Firm....Pages 243-265
On the Capital Structure of Insurance Firms....Pages 267-281
Risk Based Premiums for Insurance Guaranty Funds....Pages 283-302
Solvency Levels and Risk Loadings Appropriate for Fully Guaranteed Property-Liability Insurance Contracts: A Financial View....Pages 303-354
Back Matter....Pages 355-363

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Content:
Front Matter....Pages i-xxv
The Assessment of the Financial Strength of Insurance Companies by a Generalized Cash Flow Model....Pages 1-36
Cash Flow Simulation Models for Premium and Surplus Analysis....Pages 37-55
Some Aspects of Life Assurance Solvency....Pages 57-86
The Solvency of a General Insurance Company in Terms of Emerging Costs....Pages 87-149
Some General Approaches to Computing Total Loss Distributions and the Probability of Ruin....Pages 151-170
Methods for Analyzing the Effects of Underwriting Risk on the Insurer’s Long-Term Solvency....Pages 171-217
Concepts and Trends in the Study of Insurer’s Solvency....Pages 219-241
On the Application of Finance Theory to the Insurance Firm....Pages 243-265
On the Capital Structure of Insurance Firms....Pages 267-281
Risk Based Premiums for Insurance Guaranty Funds....Pages 283-302
Solvency Levels and Risk Loadings Appropriate for Fully Guaranteed Property-Liability Insurance Contracts: A Financial View....Pages 303-354
Back Matter....Pages 355-363
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