1 METODOLOGÍAS Y PRÁCTICAS EN RESERVAS TÉCNICAS PARA SEGUROS DE SALUD Y SEGUROS GENERALES LIMA -...
-
Upload
samson-york -
Category
Documents
-
view
216 -
download
0
Transcript of 1 METODOLOGÍAS Y PRÁCTICAS EN RESERVAS TÉCNICAS PARA SEGUROS DE SALUD Y SEGUROS GENERALES LIMA -...
1
METODOLOGÍAS Y PRÁCTICAS EN RESERVAS TÉCNICAS
PARA SEGUROS DE SALUD Y SEGUROS GENERALES
LIMA - 31 DE MAYO, 2007APESEG
Presentado por: APESEG & Milliman, Inc.
■ Advantages and LimitationsAdvantages and Limitations ■
2
RESERVING METHODS IN PRACTICE
UK Survey - Projection Methods used in Practice
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Chain ladder
Bornhuetter-Ferguson
Loss Ratio x Premiums
Average Cost Per Claim
Exposure-based method
Inflation Adjusted Average Cost Per Claim
IBNR to Case Reserve Ratio
Inflation-adjusted chain ladder
Regularly Less frequently Once in a blue moon
Source: Claims Reserving Working Party Paper
3
EXPLORATORY DATA ANALYSIS
Rate of Development
Smoothness of Development
Presence (absence) of Large Losses
Volume of Data
4
EXPLORATORY DATA ANALYSIS
Appropriate Projection Methodologies
Anomalies in the data
Questions to ask management concerning issues manifested in the data
5
ANALYST RESPONSIBILITIES
Recognize normal levels of random fluctuation
Recognize aberrations in loss development patterns
Recognize trends in loss development patterns
Question management concerning patterns
Identify underlying causes of aberrations
Make adjustments/corrections as necessary
6
SENSITIVITY TESTS
Optimistic/Pessimistic Loss Development Factor Selections
Optimistic/Pessimistic Tail Factor Selections
Optimistic/Pessimistic Bornhuetter-Ferguson Expected Loss Estimates (Loss Ratios)
Different Weighting among methods
7
WHEN THINGS GO WRONG
Management reviews the prior year actuarial report and fires claims manager because case reserves develop upwards over time
New claims manager instructs staff to reserve all claims at probable maximum amount
This results in an average 10% increase in the average outstanding reserve along the last diagonal
What will happen to the incurred loss development method?
8
COMPARISON BEFORE AND AFTER STRENGTHENING
Ultimate Reserve Ultimate DifferenceAccident Cumulative Before Before After as Percent
Year Paid Strengthening Strengthening Strengthing Difference of Reserve2000 78,224 82,372 4,148 82,787 415 10%2001 81,287 87,511 6,224 88,568 1,057 17%2002 66,402 70,499 4,097 71,469 969 24%2003 62,347 80,394 18,047 82,841 2,447 14%2004 62,832 92,156 29,324 96,247 4,091 14%2005 33,568 64,040 30,472 68,134 4,094 13%2006 11,346 44,467 33,121 48,495 4,028 12%
Total 125,433 17,101 14%
Case Reserve Strengthening had a leveraged impact on the reserve –
Reserves overstated by 14%
9
WHEN THINGS GO WRONG
Management pushes claims department to settle more claims
In 2006, claims department settled an additional 10% of claims (at the average outstanding + IBNR reserve)
What will happen to the paid loss development method?
10
COMPARISON BEFORE AND AFTER ACCELERATION
Settlement acceleration had a leveraged impact on the reserve –
Reserves overstated by 31%!
Ultimate Reserve Ultimate DifferenceAccident Cumulative Before Before After as Percent
Year Paid Acceleration Acceleration Acceleration Difference of Reserve2000 78,459 80,571 2,112 80,812 242 11%2001 81,782 86,232 4,451 87,017 785 18%2002 67,183 74,210 7,027 75,534 1,324 19%2003 63,771 76,582 12,812 79,111 2,529 20%2004 65,846 92,968 27,122 98,974 6,006 22%2005 36,982 67,706 30,724 76,556 8,851 29%2006 14,676 44,643 29,967 60,282 15,640 52%
Total 114,215 35,376 31%
11
LOSS RATIO
Implicit Assumption─Loss Ratio is known or can be reasonably estimated─Ultimate Loss is proportional to exposures (premium)
Strengths─Simplicity─Basic data requirements─Can use Pricing Assumptions concerning Loss Ratio
Weaknesses─Depends entirely on quality of Loss Ratio estimate
12
PAID LOSS DEVELOPMENT
Implicit Assumption─Losses are paid at the same rate regardless of
accident year
Strengths─Simplicity─Basic data requirements─Does not depend upon case reserves─Provides objective test of incurred loss development
Weaknesses─Sensitive to changes in rate of settlement─Results for immature year may be erratic
13
INCURRED LOSS DEVELOPMENT
Implicit Assumption─Strength of case reserves is dependent only on the
delay from accident date
Strengths─Simplicity─Basic data requirements─Converges to ultimate faster than paid method─May be better than paid for immature years
Weaknesses─Sensitive to changes in case reserve adequacy
14
BORNHUETTER-FERGUSON
Implicit Assumption─Reserve is dependent upon the loss ratio, exposures,
and development pattern
Strengths─Combines loss ratio method with development
method─Avoids problem with development method instability
for immature years─Good to use when data are erratic
Weaknesses─Dependent on the quality of the loss ratio─Requires data on exposures as well as triangle data
15
STRENGTHS / WEAKNESSES
Methods are intuitive – once data is arranged in triangle patterns become obvious
No sophisticated mathematics involved
Spreadsheets can be used
Data requirements are reasonable
Relies on implicit assumptions – may not be true
Failure of implicit assumptions may result in dramatically incorrect results
Too many parameters – fit data well but result in large variance in predictions
No information available on reliability of fit or error distribution
Haven’t really modeled the underlying process
Strengths Weaknesses