暴露与经验评级：概述和注意事项.pdf

1、Intro to Experience&Exposure RatingEvan Palumbo,FCAS,MAAAMichael DeLucca,FCAS,MAAAExperience Rating1)Compile historical/projected premium(or exposures),historical/projected rate change,and individual large loss&ALAE data2)Adjust historical subject premium to prospective period rate level3)Adjust his

2、torical losses to future price and treaty coverage levels4)Develop adjusted layer losses to ultimate(estimate Incurred but not Reported(IBNR)for Reported,Unpaid for Paid)5)Select non-catastrophe/non-shock experience loss&ALAE6)Load for any catastrophe or shock losses,which may be considered over a l

3、onger selection horizon than non-catProcess Steps&MethodologyExperience Rating Historical premiums and losses should align in time to link loss outcomes with the exposures they mostly likely emanated from:Calendar Year(CY)Earned Premiums with Accident Year(AY)Losses Policy Year(PY)Written Premiums w

4、ith Policy Year Losses Either of the above datasets can be used to rate either of the most common prospective treaty accounting periods,with only the trend period changing between approaches.However,typically there is a preference to use:CY/AY for“Losses Occurring”/“Losses Occurring During”PY/PY for

5、“Risks Attaching”/“Losses Occurring on Risks Attaching”Step 1:Compile Historical ExperienceExperience RatingStep 1:Compile Historical Experience1/1/231/1/241/1/251/1/231/1/241/1/25CY Earned PremiumAY Loss OccurrencesPY WP and PY Loss link back to the effective date of when the actual policy was writ

6、ten,mapping to the actual underlying exposureCY EP and AY Loss could come from policies written in the current or prior period(e.g.assuming one year policies),not necessarily mapping to the actual underlying exposureExperience Rating Gather all losses with necessary attributes:Large claims at half t