The Theory of optimal stochastic control as applied to insurance underwriting cycles

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<nonSort xml:space="preserve">The  </nonSort>
<title>Theory of optimal stochastic control as applied to insurance underwriting cycles</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080648558">
<namePart>Eckles, David L.</namePart>
<nameIdentifier>MAPA20080648558</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170002031">
<namePart>McCarthy, David G.</namePart>
<nameIdentifier>MAPA20170002031</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140000111">
<namePart>Zeng, Xudong</namePart>
<nameIdentifier>MAPA20140000111</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">usa</placeTerm>
</place>
<dateIssued encoding="marc">2016</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">We use the theories of optimal stochastic control and engineering process control to analyze the well-known phenomenon of insurance underwriting cycles in continuous time. We show in a continuous time framework that underwriting cycles can be explained with a model where premiums are set rationally, but where there are various reporting and regulatory lags. We find that the observed cycle length depends on the length of these underlying lags. Our result can be seen as consistent with previous empirical work showing underwriting cycles varying across countries and lines of insurance. In the event that no lags exist, our result is also consistent with more recent literature suggesting that insurance cycles may not exist.</abstract>
<note type="statement of responsibility">David L. Eckles, David G. McCarthy, Xudong Zeng</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080598532">
<topic>Provisiones técnicas</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586447">
<topic>Modelo estocástico</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080626617">
<topic>Cálculo de provisiones técnicas</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>North American actuarial journal</title>
</titleInfo>
<originInfo>
<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
</originInfo>
<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>30/12/2016 Tomo 20 Número 4 - 2016 , p. 327-340</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">170214</recordCreationDate>
<recordChangeDate encoding="iso8601">20170214105226.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20170004684</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>