Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments

Abstract This study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred cl...

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Autores principales:	Yixing Zhao, Rogemar Mamon, Heng Xiong
Formato:	article
Lenguaje:	EN
Publicado:	SpringerOpen 2021
Materias:	Incurred claims Paid losses Paid-incurred chain model Moment-based density approximation Risk measures International Financial Reporting Standards 17 Public finance K4430-4675 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/fc94fb435dbb4cc5b1cbb3f4e246e033
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spelling	oai:doaj.org-article:fc94fb435dbb4cc5b1cbb3f4e246e0332021-11-08T10:57:10ZClaim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments10.1186/s40854-021-00287-52199-4730https://doaj.org/article/fc94fb435dbb4cc5b1cbb3f4e246e0332021-11-01T00:00:00Zhttps://doi.org/10.1186/s40854-021-00287-5https://doaj.org/toc/2199-4730Abstract This study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred claims and paid losses. We propose the recovery of the empirical distribution of the outstanding claims liabilities associated with a group of contracts via moment-based density approximation. We determine the risk measures and adjustments that are compliant with the new standard using the Monte–Carlo simulation method and approximated distributions. The historical data on the aggregate Ontario automobile insurance claims over a 15-year period are analyzed to examine the appropriateness and accuracy of our approach.Yixing ZhaoRogemar MamonHeng XiongSpringerOpenarticleIncurred claimsPaid lossesPaid-incurred chain modelMoment-based density approximationRisk measuresInternational Financial Reporting Standards 17Public financeK4430-4675FinanceHG1-9999ENFinancial Innovation, Vol 7, Iss 1, Pp 1-26 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Incurred claims Paid losses Paid-incurred chain model Moment-based density approximation Risk measures International Financial Reporting Standards 17 Public finance K4430-4675 Finance HG1-9999
spellingShingle	Incurred claims Paid losses Paid-incurred chain model Moment-based density approximation Risk measures International Financial Reporting Standards 17 Public finance K4430-4675 Finance HG1-9999 Yixing Zhao Rogemar Mamon Heng Xiong Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments
description	Abstract This study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred claims and paid losses. We propose the recovery of the empirical distribution of the outstanding claims liabilities associated with a group of contracts via moment-based density approximation. We determine the risk measures and adjustments that are compliant with the new standard using the Monte–Carlo simulation method and approximated distributions. The historical data on the aggregate Ontario automobile insurance claims over a 15-year period are analyzed to examine the appropriateness and accuracy of our approach.
format	article
author	Yixing Zhao Rogemar Mamon Heng Xiong
author_facet	Yixing Zhao Rogemar Mamon Heng Xiong
author_sort	Yixing Zhao
title	Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments
title_short	Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments
title_full	Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments
title_fullStr	Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments
title_full_unstemmed	Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments
title_sort	claim reserving for insurance contracts in line with the international financial reporting standards 17: a new paid-incurred chain approach to risk adjustments
publisher	SpringerOpen
publishDate	2021
url	https://doaj.org/article/fc94fb435dbb4cc5b1cbb3f4e246e033
work_keys_str_mv	AT yixingzhao claimreservingforinsurancecontractsinlinewiththeinternationalfinancialreportingstandards17anewpaidincurredchainapproachtoriskadjustments AT rogemarmamon claimreservingforinsurancecontractsinlinewiththeinternationalfinancialreportingstandards17anewpaidincurredchainapproachtoriskadjustments AT hengxiong claimreservingforinsurancecontractsinlinewiththeinternationalfinancialreportingstandards17anewpaidincurredchainapproachtoriskadjustments
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Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments

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