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072052 (M30, M52, B71) A stop loss rating formula
Abstractsand Reviews
The subject of this paper is customer-based rating. The paper is a summary of Larsen, Dengsoe, Egebo and Hansen (1991) that placed second at the first SCOR International Prize in Actuarial Science. The Jury Chairman, Jean Lemaire, Wharton School of the University of Pennsylvania described our contribution to the prize with the following: ‘I(... the) problem of dependence between various lines of business is notoriously absent in the actuarial literature. Actuarial analyses still mostly focus on single products. Therefore the work (...) constitutes an important breakthrough. (...) they show that actuaries would be able to evaluate an insurance portfolio more accurately if they choose to base their analyses at the customer level rather than at the individual product level. This improvement would enable companies to better identify the profitable segments of their portfolios, and to shape their marketing strategy accordingly. A major actuarial application of the models developed by the authors is the forecast of claims ratios in one line of business, given claims reported in another related line.” The intention of this paper is to illustrate the ideas of techniques. A detailed rating customer-based mathematical description is given in Larsen, Dengsoe, (Authors) Egebo and Hansen (1991). Keywords: Customer Based, Rating. 072050 (M30, B40, B41)
Rating the risk of bodily injuries in motor insurance. Holm S., Hoyland T.E., Gjensidige, Association of Norwegian Insurance Companies, Norway, XXIV Astin Colloquium,
Vol. I, 1993, pp. 57-81.
The risk concerning bodily injuries differ from the usual motor damage claims. However, the claims concerning these risks earlier just totalled a marginal share of the total claim amount. Therefore companies seldom did any specific taritication concerning this risk factor. However, the five largest motor insurance companies in Norway decided to pool their data to get the best estimates possible for this risk. A working party consisting of actuaries from these five companies, which have a total market share of 95 pet., was formed by The Norwegian Insurance Association. Their task was to develop a model which could be used for reserving third party bodily claims in motor insurance. They also should study the effects of various inflation elements on the reserves.
215
This paper is based on the report of the working party, and also describes the process of the making of the model. (Authors) Keywords:
Bodily
Injuries,
Third
Party
Motor
Insurance, Norway. 072051 (M30)
The theory and practice of modern rating techniques. Slee D., Deakin University, XXIV Astin Colloquium, Vol. I, 1993, pp. 211-228.
This paper is written in three parts. Part 1 is a general philosophical approach, but part 2 is about practice. Part 3 looks beyond the insurer to the supervisor’s position. (Author) Keywords: Rating. 072052 (M30, M52, B71)
A stop loss rating formula. Benktander G., Sweden and Switzerland,
XXIV Astin
Colloquium, Vol. 2, 1993, pp. I-1 1.
The formula for unlimited coverage due to Newton L. Bowers is discussed in relation to the general rating problem. Countrywide statistics of Hail insurance from ten European countries has been analyzed, separately for each country. The distribution of annual claims ratios in the area above the long term average is well described by the Exponential distribution. Consequently this handy distribution could successfully be used to calculate stop loss risk premiums for unlimited as well as for limited layers. The author would like to stimulate research in other lines of business with the aim to find simple descriptive models. (Author) Keywords: Rating, Stop Loss, Hail Insurance. 072053 (M30, M52)
An insurance market based distribution-free loss premium principle. Hiirlimann W., Winterthur-Leben, Switzerland,
stopXXIV
Astin Colloquium, Vol. 2, 1993, pp. 83-98.
A distribution-free stop-loss premium formula for diatomic risks is derived. It has the property that the reinsurance premium is an additive component of the risk premium. In a mean-variance context this formula leads to an interesting distribution-free stop-loss premium calculation principle which maximizes net stop-loss premiums. Several topics of practical interest are discussed. In particular for the derived stop-loss premium principle there exists a minimum risk premium
The subject of this paper is customer-based rating. The paper is a summary of Larsen, Dengsoe, Egebo and Hansen (1991) that placed second at the first SCOR International Prize in Actuarial Science. The Jury Chairman, Jean Lemaire, Wharton School of the University of Pennsylvania described our contribution to the prize with the following: ‘I(... the) problem of dependence between various lines of business is notoriously absent in the actuarial literature. Actuarial analyses still mostly focus on single products. Therefore the work (...) constitutes an important breakthrough. (...) they show that actuaries would be able to evaluate an insurance portfolio more accurately if they choose to base their analyses at the customer level rather than at the individual product level. This improvement would enable companies to better identify the profitable segments of their portfolios, and to shape their marketing strategy accordingly. A major actuarial application of the models developed by the authors is the forecast of claims ratios in one line of business, given claims reported in another related line.” The intention of this paper is to illustrate the ideas of techniques. A detailed rating customer-based mathematical description is given in Larsen, Dengsoe, (Authors) Egebo and Hansen (1991). Keywords: Customer Based, Rating. 072050 (M30, B40, B41)
Rating the risk of bodily injuries in motor insurance. Holm S., Hoyland T.E., Gjensidige, Association of Norwegian Insurance Companies, Norway, XXIV Astin Colloquium,
Vol. I, 1993, pp. 57-81.
The risk concerning bodily injuries differ from the usual motor damage claims. However, the claims concerning these risks earlier just totalled a marginal share of the total claim amount. Therefore companies seldom did any specific taritication concerning this risk factor. However, the five largest motor insurance companies in Norway decided to pool their data to get the best estimates possible for this risk. A working party consisting of actuaries from these five companies, which have a total market share of 95 pet., was formed by The Norwegian Insurance Association. Their task was to develop a model which could be used for reserving third party bodily claims in motor insurance. They also should study the effects of various inflation elements on the reserves.
215
This paper is based on the report of the working party, and also describes the process of the making of the model. (Authors) Keywords:
Bodily
Injuries,
Third
Party
Motor
Insurance, Norway. 072051 (M30)
The theory and practice of modern rating techniques. Slee D., Deakin University, XXIV Astin Colloquium, Vol. I, 1993, pp. 211-228.
This paper is written in three parts. Part 1 is a general philosophical approach, but part 2 is about practice. Part 3 looks beyond the insurer to the supervisor’s position. (Author) Keywords: Rating. 072052 (M30, M52, B71)
A stop loss rating formula. Benktander G., Sweden and Switzerland,
XXIV Astin
Colloquium, Vol. 2, 1993, pp. I-1 1.
The formula for unlimited coverage due to Newton L. Bowers is discussed in relation to the general rating problem. Countrywide statistics of Hail insurance from ten European countries has been analyzed, separately for each country. The distribution of annual claims ratios in the area above the long term average is well described by the Exponential distribution. Consequently this handy distribution could successfully be used to calculate stop loss risk premiums for unlimited as well as for limited layers. The author would like to stimulate research in other lines of business with the aim to find simple descriptive models. (Author) Keywords: Rating, Stop Loss, Hail Insurance. 072053 (M30, M52)
An insurance market based distribution-free loss premium principle. Hiirlimann W., Winterthur-Leben, Switzerland,
stopXXIV
Astin Colloquium, Vol. 2, 1993, pp. 83-98.
A distribution-free stop-loss premium formula for diatomic risks is derived. It has the property that the reinsurance premium is an additive component of the risk premium. In a mean-variance context this formula leads to an interesting distribution-free stop-loss premium calculation principle which maximizes net stop-loss premiums. Several topics of practical interest are discussed. In particular for the derived stop-loss premium principle there exists a minimum risk premium