《保险费率厘定》PPT课件

1,Ratemaking保险费率厘定,SteveDArcy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June29,2006,2,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,Terminology1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ExampleApolicycovering2carsiswrittenonOctober1,2006一份保险单投保2辆汽车Writtenexposurefor2006=2caryearsEarnedexposurefor2006=2xofayear=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AssetsLiabilities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1Combinedratio1联合损失率Operatingratio经营比率Combinedratioinvestmentincome/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=1ExpenseRatioUnderwritingProfitMargin1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,MethodsforDeterminingtheAppropriateProfitMargin1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+uE(Rm)-Rfk=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Otherdrivercharacteristicsuseofpredictivemodeling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,Chapter3RatemakingbyCharlesMcClenahanintheFoundationsofCasualtyActuarialScienceCanpurchaseat:/pubs/castext.htmCasualtyActuarialSocietyRatemakingSeminarhandouts/coneduc/r