A Study on Measuring Risk Adjustment for Loss Reserve Risk in Property-Liability Insurance

• Main Authors: WU,HSIN-PEI, 吳欣蓓
• Other Authors: LIN,JIN-TIAN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/03507822421142196738

碩士 === 逢甲大學 === 統計學系 === 105 === The reserve that not paid indemnity portion for the incurred claims yet, called loss reserve which is one of the important liability of property insurance industry. There be the uncertainty and errors in estimating the loss reserve. So, how to account enough loss reserve or not has been an important issue for property insurance industry and has a significant impact on the financial stability and solvency of insurer. The quantitative requirements in Pillar One of Solvency II which is proposed by the EU (European Union, EU), includes technical prevision and capital requirement, where the price of technical prevision is the best estimation plus risk adjustment The risk adjustment is mainly to solve the preparation of uncertain amount of the cash flow in the future time points, when the insurer performing the contract. Therefore, the estimation of Risk Adjustment should be valued by the insurer for the stability of finance. Hence, in this thesis, we use Bootstrap method to estimate the loss reserve and examples are cited for explaining, then calculate the Risk Adjustment for each VaR of loss reserve via the equation of Risk Adjustment we mentioned such that the insurance companies could bear the loss and keep the financial stability of company while facing the performance of cash flow in compact and uncertainty of time point.