Αποθέματα ζημιών συλλογικού μοντέλου κινδύνου στα πλαίσια του Solvency II
Stochastic claim reserving based on CRM for Solvency II
Θεοδοσάκη, Ιωάννα Ε.
SubjectΔιαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Αποθέματα ; Insurance -- Statistical methods ; Monte Carlo method ; Poisson processes
To model uncertainty of future loss payments has been a primary goal of actuarial literature over last decade. Stochastic methodologies have indeed been recently developed with the aim to obtain the assessment of the Reserve Risk capital requirement. We propose to estimate the loss reserve assuming that each single cell of the lower parts of the run-off triangle follows a Compound Poisson Process. Accurately, we introduce a correlation that acts separately between claim count and average cost in the bottom part of the loss triangle. Furthermore, Monte Carlo methods allow simulating outstanding claims distributions for each accident year, for both the overall reserve until complete run-off and the next calendar year only. The model is applied in a Solvency II framework in order to compare the Internal Model capital requirement to the Standard Formula approaches. At this regard, the case study concerns different insurers and several lines of business with the purpose to obtain a reliable comparison. Finally in this model the parameters are calibrated by observed data and through the Fisher-Lange method, with the aim to estimate uncertainty related to this deterministic method too (Savelli & Clemente, 2011).