The Research of Loss Reserve Evaluation for Non-life Long Tail Insurance
|School||Southwestern University of Finance and Economics|
|Keywords||Non-life insurance business Nagao Assessment of outstanding claims reserve Inflation Actuarial techniques|
Non-life insurance claim reserves for long-tail business is to carry out long-tail business, non-life insurance company provided various types of reserves is the most important type of liability reserve is directly related to the solvency of the insurance company guarantee. Because long-tail business is relatively short tail business, the greater the uncertainty of outstanding claims, greater risk assessment more difficult than short-tailed business. Therefore, the study non-life insurance claim reserves for long-tail business assessment methods and management will help protect the solvency of insurance companies, and promote long-tail business, non-life and stable development, has a very important significance. This paper selected from an actuarial point of view of non-life insurance claim reserves for long-tail business research. Technology is an accurate assessment of the actuarial reserve basis and core. In order to regulate the insurance companies actuarial method, the CIRC has issued a series of non-life insurance actuarial reserve valuation provisions. However, the current provisions for the implementation of the actuarial long-tail business, which reserves for outstanding claims there is an obvious lack of evaluation, there is no outstanding claims against the long-tail business of their own characteristics distinguish long-tailed macaque business and business conditions and methods of reserving . Although the share of non-life insurance business Nagao small proportion of the total non-life insurance business, but with the development of long-tail business, which will lead to long-tail business of non-life assessment of outstanding claims reserve serious discrepancies. Therefore, this control is currently implemented on outstanding claims reserve assessment actuarial regulations around the non-life insurance business of the inherent characteristics of the long tail, the deficiencies of the current regulations applicable to non-life insurance and long-tail business assessment of outstanding claims reserve Actuarial methods and regulatory requirements, hope to long-tail business of non-life insurance claim reserves evaluate ideas, methods, selection and supervision to make some contribution. The main contents and views are as follows: The first chapter discusses the long-tail non-life insurance business of outstanding claims reserve valuation characteristics. Long tail and short-tail business, business classification different from the general product classification, the classification standard provision for outstanding claims arising from the origin. This article claims reserve was never determined the origin of the start, first discusses claim reserves and claims arising in the reporting delay delay. According to the time and expense occurred reserving timing relationships into outstanding claims reserve for outstanding claims incurred but not reported (IBNR) reserves, has occurred and reported claim reserves and claim expenses. Then from various insurance claims reporting delay and the length of the delay angle elaborate tail business and short-tailed business defined and distinguished from each other connotation, indicating that long-tail business assessment of outstanding claims reserve is different from the main characteristics of short-tailed business : Due to reporting delays and long-tail business, claims the delay period is longer, so the outstanding claims reserve assessment must consider future claims may change during the delay period and the delay period eroded by inflation. This is the long-tail business in its entire outstanding claims reserve evaluation system of the core ideas, making its assessment methods in assessing the choice of conditions and is significantly different from the short-tailed business. Subsequently this chapter respectively, from the economic and social inflation inflation further discusses two aspects of its long-tail claim reserves to assess the effects. Inflation not only for social provision for outstanding claims arising outside the environmental impact assessment, and can affect the outstanding claims reserve assessment on internal factors, such as business structure, underwriting standards, tariff levels and other aspects of the long-tail business assessment of outstanding claims reserves combined effect produced. As a basis for the full text of this chapter, highlighting the long-tail non-life business of outstanding claims reserve factors when evaluating the importance of inflation, but also for non-life insurance claim reserves for long-tail business ideas and methods of assessment of selected core guidance clarifies . The second chapter discusses non-life insurance claim reserves for long-tail business basis for assessment. During claim reserves before the assessment, analysis of the data must be evaluated and treated. Therefore chapter first describes the general non-life insurance claims reserve the basis of assessment analysis, including data collection, data validation and data analysis. Including analysis of assessment data traffic triangle technical assessment of modern actuarial basis for claim reserves. Based on the importance of inflation, long-tail non-life insurance business of making outstanding claims reserves before the assessment, in addition to the general data analysis, it also requires analysis and prediction of inflation. This chapter discusses in detail the subsequent data traffic based on the evaluation of the historical triangle inflation analysis. On this basis, combined with reasonable future inflation forecast for the long-tail business, outstanding claims reserve assessment basis. The previous two chapters, based on the paper focuses on the current provisions of the non-life insurance actuarial reserves for outstanding claims assessment methods required for long-tail business were discussed its claim reserves assess the efficacy and discussed for long-tail business outstanding claims reserve assessment methods and assessment for more results. The first chapter discusses the long tail business IBNR reserve valuation. Existing provisions concerning actuarial IBNR reserve method is based on the assessment of the chain ladder method based compensation progress law, including the chain ladder method, the average loss method, and BF reserve development method and other methods. This chapter begins with an assessment of these methods described long-tail business ideas meet the characteristics of IBNR reserve requirements, but applies to long-tail business, IBNR reserve assessment must consider the inflation adjustments. Then the chain ladder method as the core, compared to the standard chain ladder method and discusses inflation adjusted chain ladder method of assessment ideas and methods, reflecting the long-tail business IBNR reserve assessment for inflation the basic idea. And through data analysis shows that this line of thinking on long-tail business IBNR reserve evaluation is feasible and effective. Therefore, the idea of ??using this adjusting for inflation, the article discusses the matter further average loss method, reserve development method and BF France IBNR reserve for long-tail business evaluation. Data test results show that the average loss of inflation adjustment method is not only effective for economic inflation, and can respond effectively lost due to social inflation triggered by the number of cases to increase the impact of IBNR reserves; Progress in inflation-adjusted reserves Act evaluate the historical accuracy of the results depends on the reported claim has occurred accurate assessment of reserves, and the results of the evaluation of this method compared with other methods too high; assess the BF method IBNR reserves the reference coefficient of ultimate claims and IBNR two Big parameters are difficult to carry out effectively adjusted for inflation, so the BF method does not apply to changes in inflation, long-tail business conditions IBNR reserve valuation. The fourth chapter discusses the long-tail business has occurred and reported claim reserve valuation. First discusses the current actuarial provisions required by case law and estimates the average loss method does not apply to long-tail business has occurred and reported claim reserve valuation reasons: Both evaluation methods can not be assessed objectively reflect the idea of ??long- delay of longer tail business outstanding claims arising from the uncertainty and the risk of inflation. Then learn effectively assess the long-tail business Chapter IBNR reserve valuation of the basic ideas, discussion applies to long-tail business Incurred and reported claim reserves assessed several other assessment methods. Among them, the by-case estimates predict flow method produced in IBNR reserve valuation reserve in progress France; reports annual loss delay method using chain ladder method, the average loss method and other methods for ultimate loss estimates, to avoid subjectivity of the assessment; against workers' compensation insurance, liability insurance, health insurance and other long-tail business, you can use the table titration for evaluation. These methods are based on data flow analysis, can effectively analyze and adjust the effects of inflation, from an objective point of view of long-tail business has occurred and reported claim reserve valuation. Chapter V, respectively, from the direct and indirect claims expense reserves claims expense reserves two part discusses long-tail non-life insurance claims expense reserves assessments. Direct claim expenses directly related with Pei, so used to assess the occurrence of reported claim reserve method is also applicable in assessing the direct claims expense reserves. This paper first discusses the direct claim expenses unified Assessment Act, will join the paid indemnity claims expenses incurred in the reunification of the reported claim reserves and claim expenses directly assessments; according to the conclusions of Chapter IV , recommended by-case estimates predict flow method, reported in Table titration method and the loss of such delay evaluation. Then discusses the chain ladder method based on the direct assessment of ideas alone claims expense reserves Assessment Act: Paid ALAE chain ladder method and paid reparations paid ALAE ratio method. Both methods inherited the chain ladder method has the advantage that can be adjusted for inflation, higher costs for direct claims of liability insurance tail business. For indirect claims expense reserves, the article first introduces the required actuarial provisions prorate method, and then illustrate simple proportional overheads portray the relationship between paid and claims assessment method does not reflect the long-tail business delay is not caused by a longer period uncertainty and inflation risks. Subsequent relevant experience from abroad, detailing the U.S. for the use of the most common long-tail business, indirect claims expense reserves assess ideas and methods: Based on the procedure of Johnson Assessment Act, for our long-tail business of non-life insurance claims indirect costs reserve valuation reference. This Chapter discusses the non-life insurance claim reserves for long-tail business practice require further discussion assess some of the main issues and regulations. First, from the perspective of risk control discussion on non-life insurance business of the tail long-tail data processing, you can control the long-tail business of reinsurance arrangements outstanding claims the delay period, on this basis, combined with a large number of external information reasonably estimate the progress of the tail factor to improve In the chain ladder method based on outstanding claims reserve assessment accuracy. Then combined with long-tail business of foreign non-life insurance claim reserves actuarial assessment supervisory experience on long-tail business assessments outstanding claims reserve discounting issues. Under reasonable conditions of supervision, appropriate to allow long-tail business outstanding claims reserve assessment paste existing insurance companies will help improve capital efficiency, promote the company and the long-tail business. Combined with the results of this study, the last part of this chapter for our long-tail non-life insurance business of the actuarial assessment of outstanding claims reserve regulation put forward reasonable proposals: (a) for business and long-tailed macaque different business risk characteristics of outstanding claims reserve, respectively management actuarial assessment methods; (2) on the inflation rate and other actuarial valuation parameters to make more specific provisions of the different manifestations of inflation recommend different actuarial assessment methods; (3) requires the insurance companies on the assessment data in particular rear handle to make a more detailed data analysis and explanation; (4) in the steady, careful monitoring is recommended to allow the principle of long-tail business, outstanding claims reserve was assessed using a reasonable discount rate; addition, improve our long-tail non-life insurance business actuarial systems also need to strengthen our actuarial data management system of the building, including the company's internal data management systems and industry operational data management system. The innovation of paper: This paper claims reserve was never determined the origin and long-tail business connotation for long-tail business assessment of outstanding claims reserve a systematic study. Established a long-tail business outstanding claims reserve assessment needs to consider future claims during the delay period, and during the delay period may be affected by changes in inflation affect this core idea. Closely linked to the existing non-life actuarial reserve requirements, through theoretical derivation and mathematical analysis of the existing methods fully demonstrated long-tail business outstanding claims reserve the feasibility assessment. Quantitative research which IBNR reserve valuation method to adjust the effect of inflation on the one hand with the objective results for a number of actuarial techniques exist propositions were studied, on the other hand to explore a suitable long-tail business ideas outstanding claims reserve assessment foundation. Combined with foreign non-life insurance claim reserves for long-tail business assessment and management experience, our long-tail business practices claim reserves and actuarial regulatory assessment made reasonable proposals. Papers inadequacies: My actuarial techniques from the 1980s started from abroad, due to time and data constraints, the paper can not find reference information about the study abroad firsthand information, which makes it possible in the dissemination of information some deviations. The author also was not able to obtain long-tail business stage of China's non-life insurance claim reserves assess personal practical experience, so this study has some limitations.