Actuarial reinsurance premium calculation uses the similar mathematical tools as actuarial insurance premium. Nevertheless, Catastrophe modeling, Systematic risk or risk aggregation statistics tools are more important.
Burning cost
editTypically burning cost is the estimated cost of claims in the forthcoming insurance period, calculated from previous years' experience adjusted for changes in the numbers insured, the nature of cover and medical inflation.
- Historical (aggregate) data extraction
- Adjustments to obtain 'as if' data:
- present value adjustment using actuarial rate, prices index,...
- base insurance premium correction,
- underwriting policy evolution,
- clauses application 'as if' data, calcul of the 'as if' historical reinsurance indemnity,
- Reinsurance pure premium rate computing,
- add charges, taxes and reduction of treaty
"As if" data involves the recalculation of prior years of loss experience to demonstrate what the underwriting results of a particular program would have been if the proposed program had been in force during that period.[1]
Probabilist methods
editPremium formulation
editLet us note the and the deductible of XS or XL, with the limite ( XS ).
The premium :
where
XS or XL premium formulation with Pareto
editIf and : $
if and there is no solution.
If and :
If and :
XS premium using Lognormal cost distribution
editIf follows then follows
Then:
With deductible and without limit :
Monte Carlo estimation
editThis section is empty. You can help by adding to it. (November 2014) |
Vulnerability curve
editThis section is empty. You can help by adding to it. (November 2014) |
Regression estimation
editThis method uses data along the x-y axis to compute fitted values. It is actually based on the equation for a straight line, y=bx+a.(2)
Includes reinsurances specificities
editClauses
editLong-Term Indemnity Claims
editActuarial reserves modellisation.