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From PricingWiki

Capital allocation and capital charges references

Stewart Myers and James Read, Capital Allocation for Insurance Companies, (Journal for Risk and Insurance, http://www.aib.org/RPP/Myers-Read.pdf)

Michel Denault, Coherent Allocation of Risk Capital, (http://www.riskwaters.com/jor/freepdfs/jor_v4n1a1a.pdf)

Donald Mango and John Mulvey, Capital Adequacy and Allocation Using Dynamic Financial Analysis, (Casualty Actuarial Society Forum Summer 2000 http://www.casact.org/pubs/forum/00sforum/00sf055.pdf)

Stephen Philbrick and Robert Painter, DFA Insurance Company Case Study, Part 2 Capital Adequacy and Capital Allocation, (Casualty Actuarial Society Forum Spring 2001 http://www.casact.org/pubs/forum/01spforum/01spf099.pdf)

Shaun Wang, A Set of New Methods and Tools for Enterprise Risk Capital Management and Portfolio Optimization, (Casualty Actuarial Society Forum Summer 2002, http://www.casact.org/pubs/forum/02sforum/02sf043.pdf)

Paul Brehm, Correlation and the Aggregation of Unpaid Loss Distributions, (Casualty Actuarial Society Forum 2002 Fall, http://www.casact.org/pubs/forum/02fforum/02ff001.pdf)

Donald Mango, The Concentration Charge: Reflecting Property Catastrophe Exposure Accumulation in Rates, (Casualty Actuarial Society Forum 1998 http://www.casact.org/pubs/forum/98wforum/98wf193.pdf)

Paul Kaye, Risk Measurement in Insurance, (Casualty Actuarial Society 2005 Discussion Paper Program http://www.casact.org/pubs/dpp/dpp05/05dpp1.pdf)

Donald Mango, Insurance Capital as a Shared Asset, (ASTIN Bulletin Volume 35 Issue 2, November 2005, http://library.soa.org/library-pdf/arch06v40n1_xiv.pdf)

Personal lines references

GLM theory

P McCullagh and JA Nelder, Generalized Linear Models (Chapman & Hall, 1989)

DR Cox and EJ Snell, Analysis of Binary Data (Chapman & Hall, 1989)

Murray Aitkin, Dorothy Anderson, Brian Francis and John Hinde, Statistical Modelling in GLIM (Oxford Science Publications, 1989)

GLIM 4 The Statistical System for Generalized Linear Interactive Modelling (Oxford Science Publications, 1993)

Bent Jørgensen, The Theory of Dispersion Models (Chapman & Hall, 1997)

GLMs in Insurance

MJ Brockman and TS Wright, Statistical Motor Rating: Making Effective Use of Your Data, (JIA 119III, http://www.actuaries.org.uk/files/pdf/library/JIA-119/0457-0543.pdf)

Greg Taylor, Technical Aspects of Domestic Lines Pricing, (http://www.taylorfry.com.au/papers/Technical%20Aspects%20of%20Domestic%20Lines%20Pricing.pdf)

Karl Murphy, Michael Brockman and Peter Lee,Using Generalized Linear Models to Build Dynamic Pricing Systems, (Casualty Actuarial Society Forum, 2000 Winter, http://www.casact.org/pubs/forum/00wforum/00wf107.pdf)

Duncan Anderson, Sholom Feldblum, Claudine Modlin, Doris Schirmacher, Ernesto Schirmacher and Neeza Thandi,A Practitioner's Guide to Generalized Linear Models(http://www.casact.org/library/studynotes/anderson9.pdf)

Gordon K Smyth and Bent Jørgensen, Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (ASTIN Bulletin, May 2002, Volume 32, No. 1, http://www.casact.org/library/astin/vol32no1)

Classification

R Verrall and M Boskov, Premium Rating by Geographic Area Using Spatial Models (Proceedings, ASTIN Colloquium, 1993, Cambridge ASTIN Bulletin 24 (1) , 131-143, http://www.casact.org/library/astin/vol24no1/131.pdf)

Randall E Brubaker, Geographic Rating of Individual Risk Transfer Costs without Territorial Boundaries (Casualty Actuarial Society Forum 1996 Winter Page(s): 97-127, http://www.casact.org/pubs/forum/96wforum/96wf097.pdf)

Steven Christopherson and Debra L Werland, Using a Geographic Information System to Identify Territory Boundaries (Casualty Actuarial Society Forum 1996 Winter Page(s): 191-211 http://www.casact.org/pubs/forum/96wforum/96wf191.pdf)

David Coughlan, Duncan Anderson, Saideh Charlton, Mark Harrison, Stephen Jones, Roger Massey, Chris Spiller, Kim Pape, James Tanser, Richard Verrall, Vehicle postcode zoning in personal lines rating (GIRO 1999, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic1999/0173-0205.pdf)

Duncan Anderson, Determination of Statistically Indicated Territory Boundaries (Casualty Actuarial Society Seminar on Ratemaking 2006 http://www.casact.org/education/RateSem/2006/handouts/anderson.pdf)

Retention / Lifetime Customer Value models

Richard Bland, Duncan Anderson, Tim Carter, Susan Cooper, David Coughlan, Stephen Jones, Richard Kelsey, Customer Selection and Retention Working Party (GIRO 1997, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic1997/0493-0514.pdf)

David Brown, Rudi Van Delm, Stephen Hill, James Hillon, Derek Newton and Darren Michaels, Customer Value Measurement Working Party, (GIRO 2002, http://www.actuaries.org.uk/files/pdf/giro2002/Brown.pdf)

Other methods

L Breiman, JH Friedman, R Olshen and CJ Stone, Classification and Regression Trees (Wadsworth 1984)

TJ Hastie and RJ Tibshirani, Generalized Additive Models (Chapman & Hall, 1990)

JH Friedman, Multivariate Adaptive Regression Splines (Annals of Statistics 19, 1)

Julian Lowe, Louise Pryor, Neural networks vs GLMs in pricing general insurance (GIRO 1996, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic1996/0417-0438.pdf)

S Mildenhall, A Systematic Relationship Between Minimum Bias and Generalized Linear Models (1999 Proceedings of the Casualty Actuarial Society, http://www.casact.org/pubs/proceed/proceed99/99317.pdf)

Murray Smith, Neural Networks for Statistical ModelingISBN: 0442013108

Louise Francis, Neural Networks Demystified (Casualty Actuarial Society 2001 Winter Forum, Ratemaking Discussion Papers and Data Management/Data Quality/Data Technology Call Papers, http://www.casact.org/pubs/forum/01wforum/01wf253.pdf)

Louise Francis, Martian Chronicles: Is MARS Better than Neural Networks? (Casualty Actuarial Society Forum Spring 2003, http://www.casact.org/pubs/forum/03spforum/03spf269.pdf)

Karl Murphy, Generalized Non-Linear Models: Applications to Auto (COSIS: Predictive Modeling September 2005,http://www.emb.co.uk/downloads/GNMs%20Final.ppt)

Other classes of business

Kathy Byrne, Simon Jeffery and Graham Bolton, Unemployment, Past, Present and Future (The Staple Inn Actuarial Society, http://www.sias.org.uk/view_paper?id=Unemployment)

London Market references

Swiss Re / Hans Scmitter, Peter Butikofer, Estimating Property excess of Loss premiums by means of the Pareto model, 1997

James Berquist and Richard Sherman, Loss Reserve Adequacy Testing A Comprehensive, Systematic Approach (Casualty Actuarial Society Proceedings 1977:LXVII, http://www.casact.org/pubs/proceed/proceed77/77123.pdf)

J.O. Marker and J.J. Mohl, Rating Claims-Made Insurance Policies (Casualty Actuarial Society Discussion Paper Program, 1980, pp. 265-304 and errata, http://www.casact.org/pubs/dpp/dpp80/80dpp265.pdf)

Michael F McManus, a review of Rating Claims-Made Insurance Policies by Joseph O Marker and F James Mohl (Casualty Actuarial Society Discussion Paper Program, 1980 http://www.casact.org/pubs/dpp/dpp80/80dpp305.pdf)

E Pinto and D.F Gogol, An Analysis of Excess Loss Development (Casualty Actuarial Society Proceedings LXXIV, 1987, pp. 227-255, http://www.casact.org/pubs/proceed/proceed87/87227.pdf)

Amy S Bouska, Exposure Bases Revisited (Casualty Actuarial Society Proceedings 1989 LXXVI Part 1, http://www.casact.org/pubs/proceed/proceed89/89001.pdf)

David E A Sanders, Patrick F Grealy, Andrew N Hitchcox, Torbjorn Magnusson, Ravi Manjrekar, J Ross, Stuart M Shepley and Leslie F Waters, Pricing in the London Market (GIRO 1995, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic1995/0103-0211.pdf)

J.J. Siewert, A Model for Reserving Workers Compensation High Deductibles (Casualty Actuarial Society Forum, Summer 1996, pp. 217-244, http://www.casact.org/library/reserves/96sf217.pdf)

Stuart A Klugman, Harry H Panjer, Gordon E Willmot, Loss Models: From Data to Decisions

Gary Patrik, Estimating Casualty Insurance Loss Amount Distributions (CAS Proceedings Volume LXVII, Numbers 127 & 128 http://www.casact.org/pubs/proceed/proceed80/80057.pdf)

David Sanders, Pricing in the London Market, Part 2, Practical Pricing Non Marine Market (GIRO 1996, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic1996/0141-0174.pdf)

David R. Clark, Basics of Reinsurance Pricing (1996, http://www.casact.org/library/studynotes/clark6.pdf)

Nicholas Michaelides, Peter R Brown, Francis X Chacko, Mark C Graham, Jeremy W Haynes, David J Hindley, Sheree K Howard, R Henry Johnson, Kathryn A Morgan, Craig T Pettengell, Richard A Rodriguez, David S Simmons, The Premium Rating of Commercial Risks (GIRO 1997, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic1997/0397-0491.pdf)

Hans Schmitter and Peter Butikofer, Estimating Property Excess of Loss Risk Premium: The Pareto Model (Swiss Re: http://www.swissre.com/internet/pwswpspr.nsf/fmBookMarkFrameSet?ReadForm&BM=../vwAllbyIDKeyLu/estr-537jfh?OpenDocument)

Paul Struzzieri and Paul Hussian, Using Best Practices to Determine a Best Reserve Estimate (Casualty Actuarial Society Forum Fall 1998, http://www.casact.org/pubs/forum/98fforum/struhuss.pdf)

Sanjiv Chandaria, Tony Hartington, Matthew Maguire, Grant Maxwell, Bill McConnell, Gregory Overton, Julian Ross, Simon Sheaf, Les Waters and Rosi Winn, 1998 GISG Reinsurance Pricing Working Party (GIRO 1998, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/1998gic/paper1.pdf)

P Embrechts, C Klupperlberg, T Mikosch, Modelling Extremal Events for Insurance and Finance (Springer Verlag 1999)

Shaun S. Wang, Aggregation of Correlated Risk Portfolios: Models & Algorithms (Casualty Actuarial Society Proceedings 1999 LXXXVI, http://www.casact.org/pubs/proceed/proceed98/980848.pdf)

Sanjiv Chandaria, Fergus J Mackie, James S Faulkner, Paul D Gates, Matthew J Maguire, Grant H Maxwell, Gregory L Overton, Simon H Sheaf, Reinsurance Pricing (GIRO 1999, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/1999gic/reinsprice.pdf)

Ana J Mata, Parameter Uncertainty for Extreme Value Distributions (GIRO 2000, http://www.actuaries.org.uk/files/pdf/library/proceedings/gen_ins/gic2000/0151-0173.pdf)

Ana J. Mata, Brian Fannin and Mark A Verheyen, Pricing Excess of Loss Treaty with Loss Sensitive Features: An Exposure Rating Approach (GIRO 2002, http://www.actuaries.org.uk/files/pdf/giro2002/mata.pdf)

Thomas Mack and Michael Fackler, Exposure Rating in Liability Reinsurance (ASTIN Colloquium Berlin 2003, http://www.astin2003.de/img/papers/mack.pdf)

Ana J. Mata and Mark A. Verheyen, An Improved Method for Experience rating Excess of Loss Treaties using Exposure Rating Techniques (Casualty Actuarial Society Spring 2005 Forum, http://www.casact.org/pubs/forum/05spforum/05spf171.pdf)

Combating the Insurance Cycle - A Modelling Approach (http://www.lloyds.com/NR/rdonlyres/A27B9CEB-6F19-4364-BD0A-02AA92384544/0/360_ManagingtheCycle06%2012%2006.pdf)

Additional references can be found in Mark Flower, Ian Cook, Craig Divitt, Visesh Gosrani, Andrew Gray, Gillian James, Mark Julian, Lawrence Lee, David Maneval and Roger Massey, A Review of Papers Relevant to Non-Life Reinsurance (With a Liability Focus) (GIRO 2006, http://www.actuaries.org.uk/files/pdf/proceedings/giro2006/Flower.pdf). This paper also includes a brief explanation of the contents of each paper.