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

作　　者：Yixing Zhao Rogemar Mamon Heng Xiong 

机构地区：[1]Lingnan(University)College,Sun Yat-sen University,Guangzhou,China [2]Department of Statistical and Actuarial Sciences,The University of Western Ontario,London,ON,Canada [3]Economics and Management School,Wuhan University,Luojia Hill 430072,Wuhan,China [4]Division of Physical Sciences and Mathematics,University of the Philippines Visayas,Iloilo,Philippines [5]Ningbo National Institute of Insurance Development(NIID),Wuhan University,Ningbo,China

出　　处：《Financial Innovation》2021年第1期1760-1785,共26页金融创新（英文）

基　　金：This study was funded by the MITACS Accelerate Grant-Award Number IT12339;the Foreign Young Talents Program of the Ministry of Science and Technology of China(QN20200017001);the China Postdoctoral Science Foundation(2020M672913).

摘　　要：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.

关 键 词：Incurred claims Paid losses Paid-incurred chain model Moment-based density approximation Risk measures International Financial Reporting Standards 17 

分 类 号：F20[经济管理—国民经济]