1 / 10

Casualty Pricing

Casualty Pricing. Lessons from America. Order of Play. Moderator’s Opening Remarks James Orr, Tillinghast Culture Clash Doug LaCoss, Converium Solving the Actuarial Puzzle John Buchanan, Platinum Re Questions & Answers Luncheon 12:30 to 13:30. Let’s remind ourselves….

cuyler
Télécharger la présentation

Casualty Pricing

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Casualty Pricing Lessons from America James Orr

  2. Order of Play • Moderator’s Opening Remarks • James Orr, Tillinghast • Culture Clash • Doug LaCoss, Converium • Solving the Actuarial Puzzle • John Buchanan, Platinum Re • Questions & Answers • Luncheon • 12:30 to 13:30

  3. Let’s remind ourselves… • Why this is so difficult • no direct measure of exposure • long lead times and slow development • inflationary effects • economic • judicial • Why this matters • APH • “laddering”, Enron, WorldCom

  4. The value of benchmarking • Insurance cover is • unique/bespoke • rarely traded in a secondary market • So • no common currency • not hedgeable

  5. Examples of benchmarking • GLD – Global Loss Distributions • floated in late 90s • not presently live, but much needed • CLIPS – Commercial Lines Insurance Pricing Survey • US since 2003 • UK variant launching in 2006

  6. Global Loss Distributions • Data-sharing benchmarking • Motor and General Liability • Computing various size of loss distributions • 4 scenarios for each country • Assess impact of assumptions by scenario • Benchmarking Process Adjust data for loss development and claim inflation Filter claims, fit curve & calculate excess factors All-industry application of results

  7. Comparison of Actual and Fitted Data Global Loss Distribution – Example Exhibit

  8. Comparison of Expected Excess Loss Cost Global Loss Distribution – Example Exhibit

  9. Incurred Loss DevelopmentUnited Kingdom Global Loss Distribution – Example Exhibit Development Years

  10. Our speakers • Doug LaCoss, FCAS • Head of Actuarial Pricing – UK/Ireland • Converium • John Buchanan, FCAS • Senior Vice President • Platinum Underwriters Reinsurance Inc

More Related