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Corporate Decisions in General Insurance: Beyond the Frontier

Published online by Cambridge University Press:  10 June 2011

M. P. Cumberworth ,
A. N. Hitchcox ,
W.D. McConnell  and
A.D. Smith
M. P. Cumberworth
Affiliation:
Prudential Portfolio Managers U. K. Limited, Laurence Pountney Hill, London, EC4R 0HH, U.K. Tel: +44 (0)20-7548-3411; Fax: +44 (0)20-7548-3875; E-mail: [email protected]
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Abstract

This paper shows how the powerful and flexible tool of stochastic modelling can be applied to a range of business decisions extending far beyond the asset allocation solutions that are common to many asset/liability modelling studies. The example used to demonstrate these techniques is a general insurance case study, but similar principles can be extended to many different business situations. At each stage of the analysis we consider the implications of modern financial theory on the management decision process together with a practical perspective on observed behaviour in the real world. Opportunities are taken to suggest directions in which further research may be of benefit to the actuarial profession.

Keywords

Arbitrage Pricing TheoryAsset Liability ModellingCapital Asset Pricing ModelDividend Discount ModelDynamic Financial AnalysisEfficient FrontierFinancial EconomicsGeneral InsuranceModern Portfolio TheoryRiskInvestment StrategySystematic Risk
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 6 , Issue 2 , 01 August 2000 , pp. 259 - 296
Copyright
Copyright © Institute and Faculty of Actuaries 2000

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References

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