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精算问题关于outstanding claim provision
Temperance19
4275 6
2013-09-08
ass2 develop ratio.png 问题：
1. underwriting profit 是指 earned premium-administrative expenses; 那insurance profit是指什么？应该不是net profit吧？为什么说underwriting loss and insurance profit是不好的？

2. 这道题我做了a.b的部分，但是不知道development ratio 能证明什么，所以不会分析后面的题目。。。。。所以想问问该怎么做后面的小题。
You are a consulting actuary being hired by a general insurance company to review its outstanding claims provision as at 31 December 2012. This insurance company has been selling engineering construction business which covers large construction projects which lasts between 3-8 years. The policies cover for the entire duration of the project. You have been provided with the claims development triangle for the cumulative incurred claims since the 2009 calendar year. The cumulative incurred claim amounts have been expressed in dollar value as at 31 December 2012 :
     Cumulative Incurred Claims by Accident and Development Years ($ 000)
                                          Development year
Accident year          This year          Next year        2 years      3 years       4 years          5+ years
2007                          5 425             8 023             10 248         11 255        11 777       12 067
2008                          8 561              10 546            12 295       12 985        13 684
2009                          5 085              6 118               9 232        10 756
2010                          5 063              6 859               9 658
2011                          37 292            59 977
2012                          46 723
(a) Comment on the observed data trend. How may the global financial crisis, which began in late 2007, contribute to this?
(b) Calculate the claims development ratios for each accident and development year with respect to claims in the accident years 2007-2010. Discuss your results.
那个ratio我算了放在最上面那个图。。。。。

(c) In relation to 2011, one of the clients is a well-known construction contractor which had delayed the delivery of a large construction project due to poor weather and industrial disputes. As a result, this contractor has reported a claim in relation to the late penalty charged by their client. This amount is expected to be subject to further negotiations and may increase. Let us assume that this claim amount is worth $30 million in the first development year and is expected to be $50 million in the subsequent year. Does the development ratio with respect to claims in this accident year follow the trend calculated in b.)?
(d) As a result of the peaking of the mining boom in Australia, the 2012 year has seen some significant mining project delays and cancellations. This has led to increased claims by policyholders resulting from compensation being paid to clients for broken contracts。 Comment on the suitability of your results in b.) in projecting future claims.
(e) What further information may you need to assist you in completing this exercise of projecting the required outstanding claims reserve? What obstacles do you expect to face?
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ass2 develop ratio.png

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ass2 develop ratio.png

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皮蛋瘦肉周
2013-9-8 22:54:04
1. 我不知道你们澳大利亚的咋算。我在北美。
fundamental insurance equation：
Premium = Loss + LAE + underwriting profit + investment profit.
因为财险investment profit太少，可以认为underwriting profit = premium - loss - LAE。

2. a) Take a look at 2007 12-24 development ratio, greater than 2008 12-24, 2007 24-36, increasing claims after financial crisis.

b) You only calculate development ratio(link ratio), you didn't select and calculate CDF(cumulative development ratio)

c)follow. 50/30 is similar to 59977/37292

d)may not suit. 2012 has significant increase, so the development pattern might not be the same as in b) meaning unreported claims do not develop based on reported claims.

e)paid claims, reported/closed/claim counts, earned premium etc.  You also need to communicate with management of claims see if any changes in claim handling, case reserve adequacy. Also to Marketing to see if product mix has changed.

Hope it helps.
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Temperance19
2013-9-9 10:03:22
皮蛋瘦肉周 发表于 2013-9-8 22:54
1. 我不知道你们澳大利亚的咋算。我在北美。
fundamental insurance equation：
Premium = Loss + LAE +  ...
恩恩，谢谢！
其实我想问的是什么是insurance profit.
然后我算的是cumulative development ratio,没算单个的development ratio...
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皮蛋瘦肉周
2013-9-9 19:56:23
Temperance19 发表于 2013-9-9 10:03
恩恩，谢谢！
其实我想问的是什么是insurance profit.
然后我算的是cumulative development ratio,没算 ...
我没有听说过insurance profit, 你可以看下textbook，也许各国定义不同。

CDF没有你这么算的……必须select，然后相乘。
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Temperance19
2013-9-13 19:25:49
皮蛋瘦肉周 发表于 2013-9-9 19:56
我没有听说过insurance profit, 你可以看下textbook，也许各国定义不同。

CDF没有你这么算的……必须s ...
select? 不是挨个相加以后，用后一个development yr的值的和除以前一个development yr的值得到的吗？
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皮蛋瘦肉周
2013-9-14 06:47:39
Temperance19 发表于 2013-9-13 19:25
select? 不是挨个相加以后，用后一个development yr的值的和除以前一个development yr的值得到的吗？
你说的这种是weighted average的快速算法，只是好多种里的一种，虽然比较常见，但不一定适用于所有情况。

而且也不是CDF，是age-to-age ratio, 就是development ratio,或者link ratio.
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