Patrik

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Esaie
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26181
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Patrik
Updated:
2010-07-09 16:56:49
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Exam6
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  1. Reinsurance Loss Reserving Problems
    • 1. Longer report lags
    • 2. Persistent upward development of most claim reserves
    • 3. Heterogeneity: Claim reporting patterns di ffer by line, type of contract, cedent, and intermediary
    • 4. Industry statistics are hard to use due to heterogeneity
    • 5. Reports to reinsurer may be lacking certain information
    • 6. Data coding and IT systems problems due to heterogeneity
    • 7. Size of adequate loss reserve is larger and more uncertain for reinsurer
  2. 6 Components of Reinsurer's Loss Reserve
    • 1. Case reserves reported by the ceding companies
    • 2. Reinsurer additional reserves on individual claims
    • 3. Actuarial estimate of future development on Components 1. and 2. (IBNER)
    • 4. Actuarial estimate of pure IBNR
    • 5. Discount for future investment income
    • 6. Risk load
  3. General Procedure for Reinsurance Loss Reserving
    • 1. Partition reinsurance portfolio into reasonably homogeneous exposure groups
    • 2. Analyze historical development patterns
    • a) If possible, consider case reserve development and pure IBNR claims separately
    • 3. Estimate future development
    • a) If possible, estimate bulk reserves for IBNER and pure IBNR separately
    • 4. Monitor and test predictions, at least by calendar quarter
  4. Important Variables for Partitioning Reinsurance Portfolio into Exposure Groups (In Order of Priority)
    • 1. Line of Business
    • 2. Type of Contract
    • 3. Type of Reinsurance Cover
    • 4. Primary Line of Business
    • 5. Attachment Point
    • 6. Contract Terms
    • 7. Type of Cedent
    • 8. Intermediary
  5. Reserve Estimation Methods for Short-Tailed Exposure Categories
    • 1. Use percentage of latest-year earned premium
    • 2. Use selected loss ratio
    • 3. Use chain ladder with accident year data
  6. Examples of Short-Tailed Exposures
    • 1. Treaty property proportional
    • 2. Treaty property catastrophe
    • 3. Treaty property excess
    • 4. Facultative property
    • 5. Fidelity proportional
  7. Examples of Medium-Tailed Exposures
    • 1. Treaty property excess higher layers
    • 2. Construction risks
    • 3. Surety and Fidelity excess
    • 4. Ocean and Inland marine
    • 5. International property
    • 6. Non-casualty aggregate excess
  8. Examples of Long-Tailed Exposures
    • 1. Treaty property excess higher layers
    • 2. Construction risks
    • 3. Surety and Fidelity excess
    • 4. Ocean and Inland marine
    • 5. International property
    • 6. Non-casualty aggregate excess
  9. Suggested Reserving Methods for Long-Tailed Exposures
    • 1. CL Method
    • 2. BF Method
    • 3. Stanard-Buhlmann Method (i.e., Cape Cod Method)
    • 4. Credibility IBNR Estimates
    • 5. Claim Count/Claim Severity Model
  10. Stanard-Buhlmann Method vs. Bornheutter-Ferguson Method
    • 1. Both use an expected loss ratio to apply to premium
    • 2. Both use an unreported loss percentage to apply to expected losses
    • 3. SB incorporates reported losses for all years into the estimation of the expected loss ratio. BF judgmentally uses separate estimate for each year.
    • 4. SB uses EP adjusted for rate level and trend. BF used unadjusted EP.
  11. Stanard-Buhlmann Formulas for ELR and IBNR
    • 1. SB ELR = ∑Rpt Loss / ∑(Adj EP * %Rpt)
    • 2. SB IBNR = SB ELR * ∑(Adj EP * [1 - %Rpt])

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