Featured Issue

2013

Volume 07 Issue 01

11

Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk

By Neil M. Bodoff

29

The Theory of Split Credibility

By Ira Robbin

61

Estimation of Tail Development Factors in the Paid-Incurred Chain Reserving Method

By Michael Merz, Mario V. Wuthrich

74

Ruin Probability-Based Initial Capital of the Discreet-Time Surplus Process

By Pairote Sattayatham, Kiat Sangaroon, Watcharin Klongdee

82

Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness

By Donald F. Mango, John A. Major, Avraham Adler, Claude B. Bunick

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Mission Statement

Variance is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.