Aktuelle praktische Probleme in der Rckversicherung

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Aktuelle praktische Probleme in der
Rückversicherung
Aktuelle Aspekte der Finanz- und
Versicherungsmathematik in Forschung und Praxis
24.-26.Juni 05 Harald Bredl
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Agenda

• US-Haftpflicht tarifierbar?
• Alternative Experience-Verfahren
• Überlegungen zu Exposure

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Agenda

• US-Haftpflicht tarifierbar?
• Alternative Experience-Verfahren
• Überlegungen zu Exposure

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US PC Primary IndustryGeneral Liability
Occurrence Loss Ratios

• Note
• GL includes Products Liability.
• Losses grew at 3.5 per year since 1984 and 7.7
  per year since 1995.
• Smoothing the premium virtually eliminates the
  cycle with only a small residual cyclical effect.

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US PC Primary IndustryProfessional Liability
Loss Ratios
Unlike other lines, losses in Professional
Liability have grown at a rapid rate and present
a special challenge to the US insurance
marketplace.
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US Reinsurance Industry Casualty Loss Ratios

• Losses grew at 7.6 per year.
• From 1996 to 2001 losses increased by 129 or 18
  per year.
• From 2001 to 2003 losses dropped by 30.
• Smoothing the premium only has a partial effect.
• Required premium is significantly more than
  smoothed premium, especially for 99-01

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US Casualty Loss RatiosPrimary vs. Reinsurers
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US Reinsurance IndustryReserve DevelopmentAll
Lines Net - Billions
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Conclusions

• The unprofitability of the Casualty primary
  market during 1997- 2001 was primarily driven by
  underpricing rather than severe growth in losses.
• The unprofitability of the Casualty reinsurance
  market during 1997-2001 was primarily driven by
  underpricing, softening terms and conditions, as
  well as poor underwriting.

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Preisfindungsalternativen

• Wie kann man den Preis festlegen?

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Agenda

• US-Haftpflicht tarifierbar?
• Alternative Experience-Verfahren
• Überlegungen zu Exposure

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General weakness of Standard Chain Ladder

• Its easy to see that for each OY (occurrence
  year)
• in other words
• A low current P/I ratio will result in a low
  ultimate P/I ratio and vice versa
• at the end of the day an OY with an above average
  P/I ratio will have a high P/I ratio and vice
  versa
• Thus the Standard Chain Ladder (SCL)
  systematically produces a GAP between estimates
  for paid and incurred

The P/I problem
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Example German MTPL QS
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Example German MTPL QS
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Munich Chain Ladder Conditional Expected
Values of Development Factors
represent the slopes of the regression
lines in the residual plots For 0 this is
the normal Chain ladder factor
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Example German MTPL QS
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Example German MTPL QS
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Agenda

• US-Haftpflicht tarifierbar?
• Alternative Experience-Verfahren
• Überlegungen zu Exposure

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Experience Rating und Exposure Verschiebungen
Das Problem

• Eine Verschiebung der Zeichungslimiten auf
  Erstversicherungsseite über die Zeit macht die
  Erfahrungstarifierung schwierig.
• Die Verzerrung bleibt auch bestehen, falls
• individuelle Schäden indexiert werden
• und dann auf die RV-Deckung angewendet werden.
• Extremes Beispiel
• Ein EV hat historisch ein 50/50 Mischung von
  KH-Policen mit Deckungssumme 500 und 1
  gezeichnet.
• Ab sofort wird zeichnet er nur noch 1-Policen
• Die normale Experience Tarifierung würde die
  Schäden für den Layer 500 x 500 um ca. 50
  unterschätzen (ohne Anpassung).
• Welches ist die optimale Lösung für dieses
  Problem?

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Current shortcomings

• The global insurance industry continues to report
  negative financial year results with respect to
  long-tail liability business.
• Investors doubt the ability of (re)insurers to
  write liability profitably.
• Worsening liability regimes, with past claim
  experience not representing the future claims
  environment.
• The pricing of treaty business is merely based on
  loss experience pricing.
• There are difficulties in quantifying the
  reinsurers exposures to defined liability threat
  scenarios.
• Threat scenarios quantifications are not clearly
  reflected in the pricing process.

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Liability Data Cube Initiative The vision
What happened in Nat Cat
The equivalent for Liability

• 1970ies
• first big losses
• nat cat uninsurable
• 1977 Cresta standard
• accumulation zone maps
• standard data reports
• 1980ies evolution
• awareness building
• ins.-reins. data exchange
• cat model development
• 1990ies maturity
• full modelling capabilities
• automatic data flow
• consistent pricingsteering
• 21st century nat cat best quantifiable
  insurable risk

Define a methodology to collect and apply
liability exposure data for exposure pricing and
consistent threat scenario calculations

• (1) Activate the dialogue between all
  stakeholders
• (2) Specify the Data Cube concept, i.e.
• which exposure data to collect
• how to cluster them by industry segment / LoB
• how to link exposure data with claims information
• (3) Use this data for
• a more robust pricing process and outcome
• improved threat scenarios calculations
• improved portfolio management
• (4) Hopefully in 2.5 years instead of 25 .