An Analysis of Fuzzy Loss Ratio in Automobile Physical Damage Insurance－Insurance Capital Asset Pricing Model

• Main Authors: Chun-Hsiang Lu, 盧雋翔
• Other Authors: Li-Hua Lai
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/32633108107135826660

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 92 === This study constructs a set of model, which is composed of underwriting profit margin model, insurance capital asset pricing model and fuzzy theory, for deriving fuzzy loss ratio of automobile physical damage insurance. It is shown that the effect of different from retained loss ratio and expected loss ratio, and it can be applied to the ratemaking policy in insurance companies and regulation. However, the empirical results point out that fuzzy loss ratio is more reasonable and flexible under ICAPM. Besides, no mater what degree of fuzziness of each company’s retention data, fuzzy loss ratio is much larger than expected loss ratio. Next, insurance companies should take the indirect influences of loss ratio because make use of period of capital is longer than foreign regulation. In additions, the companies of less capital should save more reserve to avoid increasing loss ratio. Finally, the empirical results also show that loss ratio of physical damage part-A is larger than physical damage part-B and physical damage part-C in overall industry, and physical damage part-A or physical damage part-B is popular in some insurance companies. Therefore, insurance companies should make the preparation of the lines of higher loss ratio.