Dresden 2006 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.20: Poster

Mittwoch, 29. März 2006, 16:00–18:00, P2

Methods of claim reserving and Monte Carlo Simulation — •Magda Schiegl — Haydnstr. 6, D-84088 Neufahrn

Claims reserving is an important topic for P&C insurance companies both for product pricing and reporting, especially as new reporting and solvency standards will be introduced within the next years. Claim reserves are necessary to cover the liabilities arising from insurance contracts written in the presence and past. They are calculated for homogenious portfolios of insurance contracts via mathematical methods which are well known form actuarial literature. The Chain Ladder method is one famous example.

In reality the claim process consists of claims occurrence, reporting and run off. All classical methods reduce this process to a two dimensional run-off-matrix and estimate on that basis the reserves* expectation value.

We model the realistic claim process by the help of Monte Carlo simulation. The variables of the model are: Number of claims and claim payments. The expectation value and the variance of the reserve are given analytically. The reserve distribution can be calculated numerically. This makes risk measures as VaR or expected shortfall accessible. The performance of the classical reserving methods can be reconsidered in the framework of our model. Thins concept enables investigations if the projection into a two dimensional space, as used for application of classical methods, is appropriate.