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IR08-006_Ayuso.pdf (127.41 KB)

Tipus de document

Document de treball

Data de publicació

2008

Llicència de publicació

cc-by-nc-nd, (c) Ayuso et al., 2008
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/62288

Prediction of individual automobile RBNS claim reserves in the context of Solvency II

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Resum

Automobile bodily injury (BI) claims remain unsettled for a long time after the accident. The estimation of an accurate reserve for Reported But Not Settled (RBNS) claims is therefore vital for insurers. In accordance with the recommendation included in the Solvency II project (CEIOPS, 2007) a statistical model is here implemented for RBNS reserve estimation. Lognormality on empirical compensation cost data is observed for different levels of BI severity. The individual claim provision is estimated by allocating the expected mean compensation for the predicted severity of the victim’s injury, for which the upper bound is also computed. The BI severity is predicted by means of a heteroscedastic multiple choice model, because empirical evidence has found that the variability in the latent severity of injured individuals travelling by car is not constant. It is shown that this methodology can improve the accuracy of RBNS reserve estimation at all stages, as compared to the subjective assessment that has traditionally been made by practitioners.

Matèries

Accidents de circulació, Víctimes d'accidents de circulació, Assegurances d'automòbils, Assistència hospitalària, Empirisme

Matèries (anglès)

Traffic accidents, Traffic accident victims, Automobile insurance, Hospital care, Empiricism

Citació

Col·leccions

Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citació

AYUSO, Mercedes and SANTOLINO, Miguel. Prediction of individual automobile RBNS claim reserves in the context of Solvency II. IREA – Working Papers. 2008. Vol.  IR08/06. ISSN 2014-1254. [consulted: 11 of August of 2026]. Available at: https://hdl.handle.net/2445/62288

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