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Magda Schiegl

Publications and source records attributed to Magda Schiegl.

3 recordsLinked to original sources

About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model

The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance depend on the number of claims the driver has reported to the insurance company during the last years. Classically these prices are calculated on the basis of a mixed Poisson model with a gamma mixing distribution. The mixing distribution models the car drivers' qualities across the insured portfolio. This is just one example for experience rating. In the classical context the price is equal to the expectation of the Bayesian posterior distribution. In some lines of business (especially third party liability and lines with exposure to extreme weather events) we that the real world data cannot be described well enough by the classical Poisson - gamma model. Therefore we investigate the influence of the mixing distribution on the posterior distribution conditional on the experienced number of claims. This enables the application of other - more risk adequate premium principles than the expectation principle. We introduce the inverse - gamma distribution as a new mixing distribution to model claim numbers and compare it to the classical gamma distribution. In both cases a closed analytic representation of the mixed distribution can be found: In the classic case the well known negative binomial distribution, in our new one a representation using the Bessel functions. Additionally we present numerical results about the tail behaviour of the mixed Poisson - inverse - gamma distribution. Finally we introduce the concept of resolution. It enables us to decide if the classification of risk groups via the number of experienced claims is a risk adequate procedure.

q-fin.RM

On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study

A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reserving. This is an important question in the framework of integrated risk management of an insurance company. Furthermore we investigate the relative bias of Chain Ladder estimators. We use Monte Carlo simulation technique as well as the collective model of risk theory in each cell of run-off table. We analyse deviation between Chain Ladder reserves and Monte Carlo simulated reserves statistically. Our results document dependency on claim number and claim size distribution types and parameters.

q-fin.RM

A three dimensional stochastic Model for Claim Reserving

Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this challenge. For property and casualty (P&C) insurance companies the risk adequate modelling of the claim reserves is a very important topic as this liabilities determine up to 70% percent of the balance sum. We propose a three dimensional (3D) stochastic model for claim reserving. It delivers consistently the reserve's distribution function as well as the distributions of all parts of it that are needed for accounting and controlling. The calibration methods for the model are well known from data analysis and they are applicable in an practitioner environment. We evaluate the model numerically by the help of Monte Carlo (MC) simulation. Classical actuarial reserve models are two dimensional (2D). They lead to an estimation algorithm that is applied on a 2D matrix, the run off triangle. Those methods (for instance the Chain - Ladder or the Bornhuetter - Ferguson method) are widely used in practice nowadays and give rise to several problems: They estimate the reserves' expectation and some of them - under very restriction assumptions - the variance. They provide no information about the tail of the reserve's distribution, what would be most important for risk calculation, for assessing the insurance company's financial stability and economic situation. Additionally, due to the projection of the claim process into a two dimensional space the results are very often distorted and dependent on the kind of projection. Therefore we extend the classical 2D models to a 3D space because we find inconsistencies generated by inadequate projections into the 2D spaces.

q-fin.RM