Modelling repeated insurance claim frequency data using the generalized linear mixed model

Most of the methods used to estimate claim frequency rates in general insurance have assumed that data are independent. However, it is not uncommon for information stored in the database of an insurance company to contain previous years' claim data from each policyholder. We consider the application of the generalized linear mixed model approach to the analysis of repeated insurance claim frequency data in which a conditionally fixed random effect vector is incorporated explicitly into the linear predictor to model the inherent correlation. A motor insurance data set is used as the basis for simulation to demonstrate the advantages of the method. Ignoring the underlying association for observations within the same policyholder results in an underestimation of the standard error of the parameter estimates and a remarkable reduction in the prediction accuracy. The method provides a viable alternative for incorporating repeated claim experience that enables the revision of rates in general insurance.     

A Strengths Perspective in Working with an Adolescent with Dual Diagnosis

Dual diagnosis has gradually become a problem among adolescents in Hong Kong. In working with persons with dual diagnosis, professionals are accustomed to use a disease model in diagnosis, treatment, and rehabilitation. By means of a case illustration, the writer tries to contrast a disease orientation and a strengths perspective in working with persons with dual diagnosis. The disease orientation stresses: addiction and mental illness; intoxication and dependence; symptoms and diagnosis; detoxification and treatment; confusion and control as well as resistance and labeling. The strengths perspective focuses on: decoding frustration and emptiness from addiction; searching for strengths to satisfy normal needs; establishing social support and encouraging participation in a healthy environment; re-anchoring self-confidence and capability development as well as maintaining empathetic trust. In this case, with the strengths perspective, the writer successfully helped an adolescent to re-build his self-confidence and re-establish a healthy social support system to live a normal life.     

A simple endogenous growth model with endogenous fertility: indeterminacy and uniqueness

This paper studies the equilibrium dynamics and indeterminacy of equilibria in an endogenous growth model with endogenous fertility choice. We characterize the conditions that give rise to an unique equilibrium as well as multiple equilibria. Whenever there exists a unique equilibrium, it will be globally determinate; when multiple equilibria arise, indeterminacy occurs. In particular, we find that two equilibria occur – one is associated with high fertility and low growth, while the other is associated with low fertility and high growth. A parameterized example is given to assess the empirical feasibility of our results. The validity of the neo-Malthusian relation between fertility and growth is then re-examined. Finally, we study the relation between growth and welfare and compare different balanced growth equilibria in terms of their lifetime-attained utility. JEL classifications: O41, J13 Received December 11, 1995 / Accepted October 20, 1996     

OPTIMAL PORTFOLIO SELECTION WITH UPPER BOUNDS FOR INDIVIDUAL SECURITIES*

In this paper, we consider optimal portfolio selection with no short sales and with upper bounds for individual securities. The solution is reached by directy revising the optimal portfolio without upper bounds. Specifically, our analysis is based on the single-index model, as well as the general multi-index model that provides the return generating process for securities in the arbitrage pricing theory. As demonstrated in a simulation study, the proposed algorithm for optimal portfolio selection usually requires very few iterations. Also, since our approach is developed using intuitive reasoning and simple linear algebra, we are able to provide direct and intuitive justifications for the resulting portfolio choice. Therefore this paper should be of interest to both finance academics and practitioners in portfolio management.