《保险费率厘定》PPT课件

Ratemaking保险费率厘定SteveD’Arcy史蒂夫·达尔希ChairmanoftheBoardoftheCasualtyActuarialSociety财险精算协会董事会主席ProfessorofFinanceattheUniversityofIllinois伊利诺伊大学金融学教授PresentedatNankaiUniversity南开大学June29,2006Overview提纲ObjectivesinRatemaking保险费率厘定的目标Terminology术语RatemakingMethods保险费率厘定方法AdvancedIssues高级问 题 快递公司问题件快递公司问题件货款处理关于圆的周长面积重点题型关于解方程组的题及答案关于南海问题 讨论SourcesforAdditionalInformation补充信息资源RatemakingObjectivesforCompanies公司保险费率厘定的目标Ratesshouldbe:费率应该：Stable稳定Responsive合理Promotelosscontrol促进防损Covercontingencies包括意外损失Understandable被理解、接受OtherRatemakingObjectives其它保险费率厘定目标Regulatoryview(inUnitedStates)从法规角度看（美国）Ratesmustbe:费率必须Adequate充足Notexcessive不过高Notunfairlydiscriminatory不能不公平的加以区别Financialmarketview从金融市场角度看Competitivemarketswillassureappropriaterates竞争的市场将会保证恰当的费率Terminology–1术语Exposureunit=basicratingunit保险金额单位=基本费率单位Example:caryearWrittenexposures投保的保险金额Exposuresonpolicieswrittenduringperiod在保险 合同 劳动合同范本免费下载装修合同范本免费下载租赁合同免费下载房屋买卖合同下载劳务合同范本下载 期内的被保金额Earnedexposures以获保的保险金额Exposureunitsactuallyexposedtolossduringperiod在保险合同期内实际已经承担损失的保险金额ExampleApolicycovering2carsiswrittenonOctober1,2006一份保险单投保2辆汽车Writtenexposurefor2006=2caryearsEarnedexposurefor2006=2x¼ofayear=½caryearsTerminology-2Writtenpremium保险费Premiumsbooked以入账的保险费Earnedpremium满期保险费Pro-rataportionofpremiumsexposedtoloss按实际承担损失比例均摊的保险费Claimfrequency索赔频率Numberofclaimsperexposureunit每保险金额单位索赔的数量Severity索赔额度Averagelossperclaim每次索赔的平均赔付额Purepremium纯保险费Claimfrequencyxseverity索赔频率乘以索赔额度Terminology-3Lossratio:损失率IncurredlossespluslossadjustmentexpensesEarnedpremium（发生的损失+损失调整费用）/满期保险费Expenseratio:费用比率（费用/总保险费）ExpensesWrittenpremiumSurplus:盈余Assets–Liabilities资产–负债Terminology-4Combinedratio联合损失率Lossratio+Expenseratio损失率+费用比率Underwritingprofitmargin(UPM)承保利率1–Combinedratio1–联合损失率Operatingratio经营比率Combinedratio–investmentincome/earnedpremium联合损失率–投资收益/满期保险费Whatshouldbeincludedininvestmentincome什么应该包括在投资收益中Netinvestmentincome(interest,dividendsandrents)净投资收益（利息，分红和租金）Capitalgains资本收益Realizedorunrealized实现的或未实现的RatemakingintheRealWorld保险费率厘定实际应用Incurredlosses已发生的损失Lossreserves损失准备金Lossdevelopmentfactors损失发展因素Inflation通货膨胀Othertimedependentfactors(autoinsurance)其它受时间影响的因素（机动车辆保险）Trafficdensity交通拥挤度Lawenforcementefforts法律执行力度Legalrulesgoverninglosssettlements陪付结算的法律条例Trendingadjustsfortimedependentfactors对受时间影响的因素进行趋势调整Severity额度Frequency频率RatemakingMethods保险费率厘定的方法Lossratiomethod损失率方法Percentratechange=(A-E)/E百分率变化A=Actuallossratio实际损失率E=Expectedlossratio期望损失率=1–ExpenseRatio–UnderwritingProfitMargin1–费用比率–承保利率Purepremiummethod纯保险费方法G=(P+F)/(1-V)G=Grosspremium保险费总额P=Purepremium=frequencyxseverity纯保险费F=Fixedexpenses固定费用V=Variableexpenses(andprofit)可变费用（利润）ExamplesLossRatioMethodActualLR=66%ExpectedLR=60%Percentratechange=(66-60)/60=+10%PurePremiumMethodPurepremium=400Fixedexpenses=50Variableexpenses=25%Grosspremium=(400+50)/(1-.25)=600MethodsforDeterminingtheAppropriateProfitMargin–1确定恰当利润率的方法StandardUnderwritingProfitMargin标准承保利润率5%(orsomeotherconstant)（或其它常数）Ignoresinvestmentincome忽略投资收益Ignoresleverage(Premium/Surplusratio)忽略（保险费/盈余）比率StandardProfitMarginminusInvestmentIncome标准承保利润率减去投资收益Whatshouldbeincludedininvestmentincome什么应该包括在投资收益中Netinvestmentincome(interest,dividendsandrents)净投资收益（利息，分红和租金）Capitalgains资本收益Realizedorunrealized实现的或未实现的MethodsforDeterminingtheAppropriateProfitMargin-2CapitalAssetPricingModel(CAPM)资本定价模型Basicmodelwithouttaxes:不包括税收的基本模型UPM=-kRf+u[E(Rm)-Rf]k=fundsgeneratingcoefficient基金产生系数Rf=riskfreerate无风险利率E(Rm)=Expectedreturnonmarketportfolio平均市场组合期望收益率u=underwritingbeta保险业相对市场的beta值Nocompensationforunderwritingriskuncorrelatedwithmarketrisk没有考虑与市场风险不相关联的承保风险MethodsforDeterminingtheAppropriateProfitMargin-3TotalRateofReturnModel总回报率模型TRR=(IA/S)(IR)+(P/S)(UPM)TRR=Targettotalrateofreturn目标回报率IA=Investableassets可投资资产S=Surplus盈余IR=Investmentreturn投资回报P=Premium保险费UPM=Underwritingprofitmargin承保利率Howistargetrateofreturndetermined?怎样确定目标回报率MethodsforDeterminingtheAppropriateProfitMargin-4DiscountedCashFlowModel折现现金流模型Equatespremiumswithriskadjustedcashflowsforexpenses,taxesandlosses经过风险调整的现金流保费收入等于支出（费用、税和损失）Needtokeeptrackoftimingofpayments需要跟踪支付的时间Noconsensusonmethodtodetermineriskadjustment没有统一的确定风险调整的方法Allocationandtimingofsurplusflowsisarbitrary盈余的分配和时间的确定是主观臆断的GeneralRisk-AdjustedDiscountTechniqueFormulaPV(P)=PV(L)+PV(E)+PV(TUW)+PV(TII)where:PV=presentvalueoperator折现指数P=premiums保险费L=lossesandlossadjustmentexpense损失和损失调整费用E=underwritingexpenses承保费用TUW=taxesonunderwritingprofitorloss承保利润税金TII=taxesoninvestmentincome投资收益税金RiskClassification风险分类Forautomobileinsurance机动车辆保险Ageofdriver驾驶员年龄Sexandmaritalstatusofdriver驾驶员性别和婚姻状况Typeofvehicle车辆类型Useofvehicle车辆用途Drivingrecordofdriver驾驶员驾驶记录Mileagedriven行驶里程Territorywherevehicleisgaraged车辆停靠地点Otherdrivercharacteristics–useofpredictivemodeling其它关于驾驶员的特征可由预测模型得到AdditionalSources补充的资料来源Chapter3–RatemakingbyCharlesMcClenahanintheFoundationsofCasualtyActuarialScienceCanpurchaseat:http://www.casact.org/pubs/castext.htmCasualtyActuarialSocietyRatemakingSeminarhandoutshttp://www.casact.org/coneduc/ratesem/2006/handouts/AComparisonofProperty/CasualtyInsuranceFinancialPricingModelsbyD’ArcyandGorvetthttp://www.casact.org/pubs/proceed/proceed98/980001.pdfRatemaking:AFinancialEconomicsApproachbyD’ArcyandDyerhttp://www.casact.org/pubs/proceed/proceed97/97301.pdf