2019保险费率厘定.ppt

1 Ratemaking保险费率厘定 SteveD Arcy史蒂夫 达尔希ChairmanoftheBoardoftheCasualtyActuarialSociety财险精算协会董事会主席ProfessorofFinanceattheUniversityofIllinois伊利诺伊大学金融学教授PresentedatNankaiUniversity南开大学June29 2019 2 Overview提纲 ObjectivesinRatemaking保险费率厘定的目标Terminology术语RatemakingMethods保险费率厘定方法AdvancedIssues高级问题讨论SourcesforAdditionalInformation补充信息资源 3 RatemakingObjectivesforCompanies公司保险费率厘定的目标 Ratesshouldbe 费率应该 Stable稳定Responsive合理Promotelosscontrol促进防损Covercontingencies包括意外损失Understandable被理解 接受 4 OtherRatemakingObjectives其它保险费率厘定目标 Regulatoryview inUnitedStates 从法规角度看 美国 Ratesmustbe 费率必须Adequate充足Notexcessive不过高Notunfairlydiscriminatory不能不公平的加以区别Financialmarketview从金融市场角度看Competitivemarketswillassureappropriaterates竞争的市场将会保证恰当的费率 5 Terminology 1术语 Exposureunit basicratingunit保险金额单位 基本费率单位Example caryearWrittenexposures投保的保险金额Exposuresonpolicieswrittenduringperiod在保险合同期内的被保金额Earnedexposures以获保的保险金额Exposureunitsactuallyexposedtolossduringperiod在保险合同期内实际已经承担损失的保险金额ExampleApolicycovering2carsiswrittenonOctober1 2019一份保险单投保2辆汽车Writtenexposurefor2019 2caryearsEarnedexposurefor2019 2x ofayear caryears 6 Terminology 2 Writtenpremium保险费Premiumsbooked以入账的保险费Earnedpremium满期保险费Pro rataportionofpremiumsexposedtoloss按实际承担损失比例均摊的保险费Claimfrequency索赔频率Numberofclaimsperexposureunit每保险金额单位索赔的数量Severity索赔额度Averagelossperclaim每次索赔的平均赔付额Purepremium纯保险费Claimfrequencyxseverity索赔频率乘以索赔额度 7 Terminology 3 Lossratio 损失率IncurredlossespluslossadjustmentexpensesEarnedpremium 发生的损失 损失调整费用 满期保险费Expenseratio 费用比率 费用 总保险费 ExpensesWrittenpremiumSurplus 盈余Assets Liabilities资产 负债 8 Terminology 4 Combinedratio联合损失率Lossratio Expenseratio损失率 费用比率Underwritingprofitmargin UPM 承保利率1 Combinedratio1 联合损失率Operatingratio经营比率Combinedratio investmentincome earnedpremium联合损失率 投资收益 满期保险费Whatshouldbeincludedininvestmentincome什么应该包括在投资收益中Netinvestmentincome interest dividendsandrents 净投资收益 利息 分红和租金 Capitalgains资本收益Realizedorunrealized实现的或未实现的 9 RatemakingintheRealWorld保险费率厘定实际应用 Incurredlosses已发生的损失Lossreserves损失准备金Lossdevelopmentfactors损失发展因素Inflation通货膨胀Othertimedependentfactors autoinsurance 其它受时间影响的因素 机动车辆保险 Trafficdensity交通拥挤度Lawenforcementefforts法律执行力度Legalrulesgoverninglosssettlements陪付结算的法律条例Trendingadjustsfortimedependentfactors对受时间影响的因素进行趋势调整Severity额度Frequency频率 10 RatemakingMethods保险费率厘定的方法 Lossratiomethod损失率方法Percentratechange A E E百分率变化A Actuallossratio实际损失率E Expectedlossratio期望损失率 1 ExpenseRatio UnderwritingProfitMargin1 费用比率 承保利率Purepremiummethod纯保险费方法G P F 1 V G Grosspremium保险费总额P Purepremium frequencyxseverity纯保险费F Fixedexpenses固定费用V Variableexpenses andprofit 可变费用 利润 11 Examples LossRatioMethodActualLR 66 ExpectedLR 60 Percentratechange 66 60 60 10 PurePremiumMethodPurepremium 400Fixedexpenses 50Variableexpenses 25 Grosspremium 400 50 1 25 600 12 MethodsforDeterminingtheAppropriateProfitMargin 1确定恰当利润率的方法 StandardUnderwritingProfitMargin标准承保利润率5 orsomeotherconstant 或其它常数 Ignoresinvestmentincome忽略投资收益Ignoresleverage Premium Surplusratio 忽略 保险费 盈余 比率StandardProfitMarginminusInvestmentIncome标准承保利润率减去投资收益Whatshouldbeincludedininvestmentincome什么应该包括在投资收益中Netinvestmentincome interest dividendsandrents 净投资收益 利息 分红和租金 Capitalgains资本收益Realizedorunrealized实现的或未实现的 13 MethodsforDeterminingtheAppropriateProfitMargin 2 CapitalAssetPricingModel CAPM 资本定价模型Basicmodelwithouttaxes 不包括税收的基本模型UPM kRf u E Rm Rf k fundsgeneratingcoefficient基金产生系数Rf riskfreerate无风险利率E Rm Expectedreturnonmarketportfolio平均市场组合期望收益率 u underwritingbeta保险业相对市场的beta值Nocompensationforunderwritingriskuncorrelatedwithmarketrisk没有考虑与市场风险不相关联的承保风险 14 MethodsforDeterminingtheAppropriateProfitMargin 3 TotalRateofReturnModel总回报率模型TRR IA S IR P S UPM TRR Targettotalrateofreturn目标回报率IA Investableassets可投资资产S Surplus盈余IR Investmentreturn投资回报P Premium保险费UPM Underwritingprofitmargin承保利率Howistargetrateofreturndetermined 怎样确定目标回报率 15 MethodsforDeterminingtheAppropriateProfitMargin 4 DiscountedCashFlowModel折现现金流模型Equatespremiumswithriskadjustedcashflowsforexpenses taxesandlosses经过风险调整的现金流保费收入等于支出 费用 税和损失 Needtokeeptrackoftimingofpayments需要跟踪支付的时间Noconsensusonmethodtodetermineriskadjustment没有统一的确定风险调整的方法Allocationandtimingofsurplusflowsisarbitrary盈余的分配和时间的确定是主观臆断的 16 GeneralRisk AdjustedDiscountTechniqueFormula PV P PV L PV E PV TUW PV TII where PV presentvalueoperator折现指数P premiums保险费L lossesandlossadjustmentexpense损失和损失调整费用E underwritingexpenses承保费用TUW taxesonunderwritingprofitorloss承保利润税金TII taxesoninvestmentincome投资收益税金 17 RiskClassification风险分类 Forautomobileinsurance机动车辆保险Ageofdriver驾驶员年龄Sexandmaritalstatusofdriver驾驶员性别和婚姻状况Typeofvehicle车辆类型Useofvehicle车辆用途Drivingrecordofdriver驾驶员驾驶记录Mileagedriven行驶里程Territorywherevehicleisgaraged车辆停靠地点Otherdrivercharacteristics useofpredictivemodeling其它关于驾驶员的特征可由预测模型得到 18 AdditionalSources补充的资料来源 Chapter3 RatemakingbyCharlesMcClenahanintheFoundationsofCasualtyActuarialScienceCanpurchaseat casact org pubs castext htmCasualtyActuarialSocietyRatemakingSeminarhandoutscas