文章基本信息

标题：Deductibles, Policy Limits, and Reinsurance: A Case Study in Malaysia
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作者：Noriszura Ismail, Ph.D. ; Ansar Asnawi Ahmad Anuar
期刊名称：Casualty Actuarial Society Forum
印刷版ISSN：1046-6487
出版年度：2011
卷号：2
出版社：CAS
摘要：In developing countries such as Malaysia, the availability of reinsurance arrangements provides several advantages to primary insurers, such as keeping their risk exposures at prudent levels by having large risk exposures reinsured by another company, meeting client requests for larger insurance coverage by having their limited financial sources supported by another company, and acquiring another company’s underwriting skills, experience and complex claim handling ability. These are essential considerations for primary insurers that wish to expand their insurance business and reduce the size of their loss exposure, especially in countries like Malaysia, where the number of primary insurers is large and the size of their resources is small. This paper aims to model the amount of insurance loss, to provide a range of deductibles and policy limits based on Loss Elimination Ratios (LER), to compute insolvency probabilities via linear loading and PH-Transform assumptions, to calculate Increased Limit Factors (ILF), to apply a frequency and severity approach to pricing excess-of-loss layers, and to assess the insolvency probability of a reinsurance treaty. In particular, the PHTransform assumption is applied throughout as a means of incorporating a risk load, thus lowering the insolvency probability of a single excess-of-loss layer as well as multiple layers of a reinsurance treaty.
关键词：Loss elimination ratio; insolvency probability; reinsurance; general insurance; PH-Transform.