CAS DARE

Understanding Contingent Capital

This paper is a response to the Casualty Actuarial Society’s request for proposals on "Contingent Capital." In light of the recent financial crisis, contingent capital, a type of hybrid security, is

An Actuarial Model of Excess of Policy Limits Losses

Motivation. Excess of policy limits (XPL) losses is a phenomenon that presents challenges for the practicing actuary.

Method. This paper proposes using a classic actuarial

Pricing Catastrophe Excess of Loss Reinsurance using Market Curves

What is a simple way to price a catastrophe excess of loss reinsurance program (Cat XL)? By simple we mean pricing a Cat XL with limited information. This paper presents pricing methods that only

Reinsurance Arrangements Minimizing the Total Required Capital

Reinsurance reduces the required capital of the primary insurer but in-creases that of the reinsurer. Capital is costly. All capital costs, including that of the reinsurer, are ultimately borne by

PEBELS: Property Exposure Based Excess Loss Smoothing

The invention of PEBELS, or policy exposure based excess loss smoothing, was motivated by the need to develop estimates of high layer expected loss cost for extremely small, non-credible segments of