Equity and Credibility

We build on previous work concerned with measuring equity and consider the problem of using observed claim data or other information to calculate premiums which maximize equity. When these optimal premiums are used, we show that gathering more information or refining the risk classification always increases equity. We study the case for which the premium is constrained to be an affine function of the claim data and obtain results analogous to classical credibility theory, including the inhomogeneous and homogeneous cases of the Bu¨hlmann-Straub model. We derive formulas for the credibility weights in certain cases.     

把诚信变成沉甸甸的责任

"真实无妄,始终不息,表里不杂,谓之诚;徇物无违,四端百行,必以其实,谓之信."这是古人对诚信的精辟概括.古代思想家对"人无信不立"、"国无信不兴"的宣传和弘扬,"德主刑辅"、"失礼则入刑"、"一准于礼"等中国刑法思想的儒家化,以及在礼法混同原则下违礼即犯罪,使诚信不仅是一种美德,而且是一种责任.     

通胀目标调整、政策可信度与宏观调控效应北大核心

本文通过构建包含范式转变特征的DSGE模型,对通胀目标调整过程中的结构性变化以及政策可信度如何影响这一结构转变进行研究,并在此基础上分析通胀目标调整过程中政策可信度对宏观经济波动的调控效应。本文分析得到:在政策当局做出政策目标调整后,如果市场预期这一政策可信,那么主要经济变量将会在政策调整期内达到目标均衡水平;反之,如果市场预期这一政策不可信,那么市场预期和政策目标之间的分歧将使得主要经济变量偏离目标均衡水平,导致政策调整无法实现其既定目标。同时,政策可信度不仅有助于实现既定的政策目标,还能降低政策实施过程中的经济波动,具有较好的宏观调控效应,从而降低政策实施成本。特别是,政策可信度对宏观经济波动的这一稳定效应在中长期内更为明显。本文分析为理解经济结构性转变过程中的政策信用和预期管理等问题提供了一些新的思路和方法。     

Credibility Theory

The North American Actuarial Journal is honoring the Society of Actuaries on its golden anniversary in 1999 by publishing a series of articles on the contributions of actuaries to the development of ideas. In this issue, the second of the series, we explore the development of the credibility idea and the relationships of this development to deep issues in the methodology of science. We begin with a short essay by James C. Hickman and continue with comments by three actuaries who were deeply involved with the development of credibility: Robert A. Bailey, Hans Buühlmann, and Charles C. Hewitt.     

Credibility pseudo-estimators

We treat a model with independent claim numbers and claim amounts, conditional on stochastic parameters. Groups are categorized into a smaller number of classes, which likely differ in risk premium. The collective claim frequency and mean claim for a group are modeled as those of the class the group belongs to. For each group we find the Best Linear Predictor, also known as Credibility Estimator, in a generic model covering claim frequency and mean claim, as a weighted mean of the group’s individual estimate and the collective estimate. Assuming Poisson distributed claim numbers and some distributional properties of claim amounts, we find estimators of variance components, estimation errors of the collective claim frequency and mean claim, and covariances between observations, estimators, and stochastic parameters. Pseudo-estimators, i.e. estimators which are defined by expressions that contain them and which must be solved numerically, are given for between-groups variance components. Simulation results, where some of the assumptions are violated, indicate when they are preferable over non-pseudo-estimators.     

Governance Matters III: Governance Indicators for 1996, 1998, 2000, and 2002

Six dimensions of governance are estimated covering 199 countriesand territories for four periods: 1996, 1998, 2000, and 2002.The indicators are based on several hundred individual variablesmeasuring perceptions of governance drawn from 25 data sourcesconstructed by 18 organizations. These individual measures areassigned to categories capturing key dimensions of governance.An unobserved-components model is used to construct six aggregategovernance indicators in each of the four periods. Point estimatesof the dimensions of governance are provided as well as themargins of errors for each country for the four periods. Methodologicalissues are also addressed, including tests for potential biases,and the interpretation and use of the data, given the estimatedmargins of errors for the indicators. The data and a Web-basedgraphical interface are available online at www.worldbank.org/wbi/governance/govdata2002/index.html.     

On Stochastic Approximation and Credibility

Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.     

Evolutionary Credibility Theory

Abstract

The conventional approach to evolutionary credibility theory assumes a linear state-space model for the longitudinal claims data so that Kalman filters can be used to estimate the claims’ expected values, which are assumed to form an autoregressive time series. We propose a class of linear mixed models as an alternative to linear state-space models for evolutionary credibility and show that the predictive performance is comparable to that of the Kalman filter when the claims are generated by a linear state-space model. More importantly, this approach can be readily extended to generalized linear mixed models for the longitudinal claims data. We illustrate its applications by addressing the “excess zeros” issue that a substantial fraction of policies does not have claims at various times in the period under consideration.     

Credibility Using Copulas

Abstract

Credibility is a form of insurance pricing that is widely used, particularly in North America. The theory of credibility has been called a “cornerstone” in the field of actuarial science. Students of the North American actuarial bodies also study loss distributions, the process of statistical inference of relating a set of data to a theoretical (loss) distribution. In this work, we develop a direct link between credibility and loss distributions through the notion of a copula, a tool for understanding relationships among multivariate outcomes.

This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross section of risk classes (towns) with a history of insurance claims available for each risk class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression that also encompasses Weibull and Gamma regressions. Copulas are used to model the dependencies over time; specifically, this paper is the first to propose using a t-copula in the context of generalized linear models. The t-copula is the copula associated with the multivariate t-distribution; like the univariate tdistributions, it seems especially suitable for empirical work. Moreover, we show that the t-copula gives rise to easily computable predictive distributions that we use to generate credibility predictors. Like Bayesian methods, our copula credibility prediction methods allow us to provide an entire distribution of predicted claims, not just a point prediction.

We present an illustrative example of Massachusetts automobile claims, and compare our new credibility estimates with those currently existing in the literature.     

行业差异、利益相关者治理机制与治理指数分析

有鉴于利益相关者的相关问题已成为现行公司治理框架中不可或缺的一部分,本文设置五个利益相关者治理评价指标,考察中国上市公司利益相关者参与公司治理和利益相关者权益的保护状况,并得出利益相关者治理指数.对上市公司利益相关者治理指数进行的行业分析表明:不同行业的上市公司和样本总体在利益相关者治理机制及其所涉及的五个具体方面均存在重要差异,这说明行业差异可能对上市公司利益相关者治理机制和治理水平存在重要的影响.     

公司会计治理与公司治理:同构、嵌入还是交叉?

公司会计治理通常被看作是公司治理的一部分,而且将公司会计治理看作是嵌入公司治理中或与公司治理同构。因此,以公司治理为导向的会计治理强调弥合公司治理中委托代理关系链务的缺陷及其对审计独立性的影响。本文从会计信息产权演变的角度将公司会计治理从公司治理中“解析”出来,认为公司治理与公司会计治理同源于委托代理难题,但治理的基础和目标不同,公司治理的监督机制与会计治理对监督机制的内在需求是不同的,因此,公司会计治理结构与公司治理结构应该是交叉的或大部分同构,同属于现代企业组织制度的范畴。本文主张应按照公司会计治理的逻辑结构及其与公司治理的关联性对其进行研究和建构。     

Sovereign Debt Portfolios,Bond Risks,and the Credibility of Monetary Policy

We document that governments whose local currency debt provides them with greater hedging benefits actually borrow more in foreign currency. We introduce two features into a government's debt portfolio choice problem to explain this finding: risk-averse lenders and lack of monetary policy commitment. A government without commitment chooses excessively countercyclical inflation ex post, which leads risk-averse lenders to require a risk premium ex ante. This makes local currency debt too expensive from the government's perspective and thereby discourages the government from borrowing in its own currency.     

Target zones in theory and history: Credibility, efficiency, and policy autonomy

An experiment with an exchange-rate band in Austria-Hungary in the early 20th century provides a rare opportunity to discuss critical aspects of the theory of target zones. Providing a new derivation of the target zone model as a set of nested hypotheses, the inference is drawn that policy credibility and market efficiency were paramount in the success of the Austro-Hungarian experience.     

Governance,tax and folk tales

This paper develops a particular narratological approach to analyse a common category of narratives: individuals’ accounts of their organization’s context and purpose. In two phases of interview research with 45 senior UK accounting professionals (tax officials, tax advisors to, and tax directors of, multinational companies) we focus on a pivotal period in the governance of UK taxation. We advocate analysing what ordinarily could be called ‘real world’ narratives about this context (‘tax tales’) as if they were folk tales. This approach draws on an influential analysis of folk tales by Propp. Our theoretical contribution is to show how features of strong or dominant plots, of the kind that structure folk tales, also help accounting professionals to make sense of this complex governance environment. This helps us understand personal projects of sense making in a context that is technically, legally and morally complex and has implications for governance, for policy, and for accounting as a professional project.     

Overconfidence,CEO Selection,and Corporate Governance

We develop a model that shows that an overconfident manager, who sometimes makes value‐destroying investments, has a higher likelihood than a rational manager of being deliberately promoted to CEO under value‐maximizing corporate governance. Moreover, a risk‐averse CEO's overconfidence enhances firm value up to a point, but the effect is nonmonotonic and differs from that of lower risk aversion. Overconfident CEOs also underinvest in information production. The board fires both excessively diffident and excessively overconfident CEOs. Finally, Sarbanes‐Oxley is predicted to improve the precision of information provided to investors, but to reduce project investment.     

Corporate Governance, Incentives, and Industry Consolidations

This article studies the determinants of the success of industryconsolidations using a unique sample of firms established atthe time of their initial public offering: roll-up IPOs. Inthese transactions, small, private firms merge into a shellcompany, which goes public at the same time. These firms deliverpoor stock returns; their operating performance mimics thatof comparable firms but does not justify their high initialvaluations. However, if the managers and owners of the firmsincluded in the transaction remain involved in the businessas shareholders and directors, operating and stock price performanceimprove, and future acquisitions are better received by themarket. Higher ownership by the sponsor of the transaction leadsto a reduction in performance, consistent with the view thatthe sponsor's compensation is excessive. These findings highlightthe impact of corporate governance on performance.     

Credibility for Severity Revisited

Abstract

It is basic actuarial knowledge that the pure premium of an insurance contract can be written as the product of the expected claim number and the expected claim amount. Actuaries use credibility theory to incorporate the contract’s individual experience into this calculation in a statistically optimal way. For many years, however, the use of credibility was limited to the frequency component. Starting with the paper by Hewitt (1971), there have been various suggestions as to how credibility theory also can be applied to the severity component of the pure premium. The latest such suggestion, Frees (2003), revived the interest in the problem.

In this paper, we review four different formulas incorporating frequency and severity into credibility calculations. We then compare by simulation which one is most accurate at predicting a contract’s next-year outcome. It is found that the classical formula of Bühlmann (1967) is as good as the other ones in many cases. Alternatives, however, may offer easier analysis of the separate effects of frequency and severity on the premium.

We also show that all the formulas reviewed in this paper stem from the same minimization problem, and we present a general, integrated, solution. At the same time, we complete Gerber (1972) by providing a proof to the main result of this paper and by stating required additional assumptions.