Corporate Decisions in General Insurance: Beyond the Frontier

M. P. Cumberworth, A. N. Hitchcox, W.D. McConnell and A.D. Smith

British Actuarial Journal, 2000, vol. 6, issue 2, 259-296

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.

Date: 2000
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