《保险费率厘定》PPT课件.ppt

1,Ratemaking 保险费率厘定,Steve DArcy史蒂夫达尔希Chairman of the Board of the Casualty Actuarial Society财险精算协会董事会主席Professor of Finance at the University of Illinois伊利诺伊大学金融学教授Presented at Nankai University南开大学June 29,2006,2,Overview 提纲,Objectives in Ratemaking保险费率厘定的目标Terminology 术语Ratemaking Methods 保险费率厘定方法Advanced Issues 高级问题讨论Sources for Additional Information 补充信息资源,3,Ratemaking Objectives for Companies公司保险费率厘定的目标,Rates should be:费率应该：Stable 稳定Responsive 合理Promote loss control 促进防损Cover contingencies 包括意外损失Understandable 被理解、接受,4,Other Ratemaking Objectives其它保险费率厘定目标,Regulatory view(in United States)从法规角度看（美国）Rates must be:费率必须Adequate 充足Not excessive 不过高Not unfairly discriminatory 不能不公平的加以区别Financial market view从金融市场角度看Competitive markets will assure appropriate rates 竞争的市场将会保证恰当的费率,5,Terminology 1 术语,Exposure unit=basic rating unit 保险金额单位=基本费率单位Example:car yearWritten exposures 投保的保险金额Exposures on policies written during period 在保险合同期内的被保金额Earned exposures 以获保的保险金额Exposure units actually exposed to loss during period 在保险合同期内实际已经承担损失的保险金额ExampleA policy covering 2 cars is written on October 1,2006 一份保险单投保2辆汽车Written exposure for 2006=2 car yearsEarned exposure for 2006=2 x of a year=car years,6,Terminology-2,Written premium 保险费Premiums booked 以入账的保险费Earned premium 满期保险费Pro-rata portion of premiums exposed to loss 按实际承担损失比例均摊的保险费Claim frequency 索赔频率Number of claims per exposure unit 每保险金额单位索赔的数量Severity 索赔额度Average loss per claim 每次索赔的平均赔付额Pure premium 纯保险费Claim frequency x severity 索赔频率乘以索赔额度,7,Terminology-3,Loss ratio:损失率Incurred losses plus loss adjustment expensesEarned premium（发生的损失+损失调整费用）/满期保险费Expense ratio:费用比率（费用/总保险费）Expenses Written premiumSurplus:盈余Assets Liabilities 资产 负债,8,Terminology-4,Combined ratio 联合损失率Loss ratio+Expense ratio 损失率+费用比率Underwriting profit margin(UPM)承保利率1 Combined ratio 1 联合损失率Operating ratio 经营比率Combined ratio investment income/earned premium联合损失率 投资收益/满期保险费What should be included in investment income什么应该包括在投资收益中Net investment income(interest,dividends and rents)净投资收益（利息，分红和租金）Capital gains 资本收益Realized or unrealized 实现的或未实现的,9,Ratemaking in the Real World保险费率厘定实际应用,Incurred losses已发生的损失Loss reserves 损失准备金Loss development factors 损失发展因素Inflation 通货膨胀Other time dependent factors(auto insurance)其它受时间影响的因素（机动车辆保险）Traffic density 交通拥挤度Law enforcement efforts 法律执行力度Legal rules governing loss settlements 陪付结算的法律条例Trending adjusts for time dependent factors对受时间影响的因素进行趋势调整Severity 额度Frequency 频率,10,Ratemaking Methods 保险费率厘定的方法,Loss ratio method 损失率方法Percent rate change=(A-E)/E 百分率变化A=Actual loss ratio 实际损失率E=Expected loss ratio 期望损失率=1 Expense Ratio Underwriting Profit Margin 1 费用比率 承保利率Pure premium method 纯保险费方法G=(P+F)/(1-V)G=Gross premium 保险费总额P=Pure premium=frequency x severity 纯保险费F=Fixed expenses 固定费用V=Variable expenses(and profit)可变费用（利润）,11,Examples,Loss Ratio MethodActual LR=66%Expected LR=60%Percent rate change=(66-60)/60=+10%,Pure Premium MethodPure premium=400Fixed expenses=50Variable expenses=25%Gross premium=(400+50)/(1-.25)=600,12,Methods for Determining the Appropriate Profit Margin 1确定恰当利润率的方法,Standard Underwriting Profit Margin 标准承保利润率 5%(or some other constant)（或其它常数）Ignores investment income 忽略投资收益Ignores leverage(Premium/Surplus ratio)忽略（保险费/盈余）比率Standard Profit Margin minus Investment Income标准承保利润率减去投资收益 What should be included in investment income什么应该包括在投资收益中Net investment income(interest,dividends and rents)净投资收益（利息，分红和租金）Capital gains 资本收益Realized or unrealized 实现的或未实现的,13,Methods for Determining the Appropriate Profit Margin-2,Capital Asset Pricing Model(CAPM)资本定价模型Basic model without taxes:不包括税收的基本模型UPM=-k Rf+u E(Rm)-Rfk=funds generating coefficient 基金产生系数 Rf=risk free rate 无风险利率E(Rm)=Expected return on market portfolio 平均市场组合期望收益率u=underwriting beta 保险业相对市场的beta值No compensation for underwriting risk uncorrelated with market risk 没有考虑与市场风险不相关联的承保风险,14,Methods for Determining the Appropriate Profit Margin-3,Total Rate of Return Model 总回报率模型TRR=(IA/S)(IR)+(P/S)(UPM)TRR=Target total rate of return 目标回报率IA=Investable assets 可投资资产S=Surplus 盈余IR=Investment return 投资回报P=Premium 保险费UPM=Underwriting profit margin 承保利率How is target rate of return determined?怎样确定目标回报率,15,Methods for Determining the Appropriate Profit Margin-4,Discounted Cash Flow Model 折现现金流模型Equates premiums with risk adjusted cash flows for expenses,taxes and losses 经过风险调整的现金流保费收入等于支出（费用、税和损失）Need to keep track of timing of payments 需要跟踪支付的时间No consensus on method to determine risk adjustment 没有统一的确定风险调整的方法Allocation and timing of surplus flows is arbitrary 盈余的分配和时间的确定是主观臆断的,16,General Risk-Adjusted Discount Technique Formula,PV(P)=PV(L)+PV(E)+PV(TUW)+PV(TII),where:PV=present value operator 折现指数P=premiums 保险费L=losses and loss adjustment expense 损失和损失调整费用E=underwriting expenses 承保费用TUW=taxes on underwriting profit or loss 承保利润税金TII=taxes on investment income 投资收益税金,17,Risk Classification 风险分类,For automobile insurance 机动车辆保险Age of driver 驾驶员年龄Sex and marital status of driver驾驶员性别和婚姻状况Type of vehicle 车辆类型Use of vehicle 车辆用途Driving record of driver 驾驶员驾驶记录Mileage driven 行驶里程Territory where vehicle is garaged 车辆停靠地点Other driver characteristics use of predictive modeling 其它关于驾驶员的特征可由预测模型得到,18,Additional Sources 补充的资料来源,Chapter 3 Ratemaking by Charles McClenahan in the Foundations of Casualty Actuarial ScienceCan purchase at:http:/Casualty Actuarial Society Ratemaking Seminar handoutsA Comparison of Property/Casualty Insurance Financial Pricing Models by DArcy and GorvettRatemaking:A Financial Economics Approach by DArcy and Dyer,