Abstract
AbstractThis study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred claims and paid losses. We propose the recovery of the empirical distribution of the outstanding claims liabilities associated with a group of contracts via moment-based density approximation. We determine the risk measures and adjustments that are compliant with the new standard using the Monte–Carlo simulation method and approximated distributions. The historical data on the aggregate Ontario automobile insurance claims over a 15-year period are analyzed to examine the appropriateness and accuracy of our approach.
Funder
Mitacs
the Foreign Young Talents Program of the Ministry of Science and Technology of China
the China Postdoctoral Science Foundation
Publisher
Springer Science and Business Media LLC
Subject
Management of Technology and Innovation,Finance
Cited by
3 articles.
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