论文标题
建模和衡量产生的多行财产和伤亡保险公司的风险负债
Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer
论文作者
论文摘要
我们提出了一个随机模型，允许拥有多个业务范围的财产和伤亡保险公司来衡量其负债，以实现索赔风险并计算相关的资本要求。我们的模型包括许多理想的特征，这些特征能够再现损耗比动力学的经验特性。例如，我们的模型集成了依靠事故学期和开发滞后效应的双重广义线性模型，以代表损失比分布的平均值和分散，各个开发滞后损耗比之间的自相关结构以及层次结构的模型模型推动了各种业务线的依赖性。该模型允许对三角形进行联合模拟，并通过风险度量量化整体投资组合风险。因此，可以根据IFRS 17标准来衡量与经济资本需求相关的多元化收益，该标准允许承认这种收益。然后说明基于Euler分配原则的跨业务范围的资本分配。我们的模型的实施是通过根据从一般保险统计机构（GISA）获得的汽车保险数据来估算其参数的，并进行了数值模拟，然后进行结果。
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable features which enable reproducing empirical properties of loss ratio dynamics. For instance, our model integrates a double generalized linear model relying on accident semester and development lag effects to represent both the mean and dispersion of loss ratio distributions, an autocorrelation structure between loss ratios of the various development lags, and a hierarchical copula model driving the dependence across the various business lines. The model allows for a joint simulation of loss triangles and the quantification of the overall portfolio risk through risk measures. Consequently, a diversification benefit associated to the economic capital requirements can be measured, in accordance with IFRS 17 standards which allow for the recognition of such benefit. The allocation of capital across business lines based on the Euler allocation principle is then illustrated. The implementation of our model is performed by estimating its parameters based on a car insurance data obtained from the General Insurance Statistical Agency (GISA), and by conducting numerical simulations whose results are then presented.
