Commercial Property Size of Loss Distributions损耗分布的商业性.ppt

Commercial Property Size of Loss Distributions Glenn Meyers Insurance Services Office, Inc. Casualty Actuaries in Reinsurance June 15 , 2000 Boston, Massachusetts Outline Data Classification Strategy Amount of Insurance Occupancy Class Mixed Exponential Model “Credibility” Considerations Limited Classification Information Program Demonstration Goodness of Fit Tests Comparison with Ludwig Tables Separate Tables For Commercial Property (AY 1991-95) Sublines BG1 (Fire and Lightning) BG2 (Wind and Hail) SCL (Special Causes of Loss) Coverages Building Contents Building + Contents Building + Contents + Time Element Exposures Reported separately for building and contents losses Model is based on combined building and contents exposure Even if time element losses are covered Classification Strategy Amount of Insurance Big buildings have larger losses How much larger? Occupancy Class Group Determined by data availability Not used Construction Class Protection Class Potential Credibility Problems Over 600,000 Occurrences 59 AOI Groupings 21 Occupancy Groups The groups could be “grouped” but: Boundary discontinuities We have another approach The Mixed Exponential Size of Loss Distribution ?i’s vary by subline and coverage wi’s vary by AOI and occupancy group in addition to subline and coverage The Mixed Exponential Size of Loss Distribution ?i = mean of the ith exponential distribution For higher ?i’s, a higher severity class will tend to have higher wi’s. The Fitting Strategyfor each Subline/Coverage Fit a single mixed exponential model to all occurrences Choose the wi’s and ?i’s that maximize the likelihood of the model. Toss out the wi’s but keep the ?i’s The wi’s will be determined by the AOI and the occupancy group. Back to the Credibility Problem Back to the Credibility Problem Varying Wi’s by AOI Prior expectations Larger AOIs will tend to have higher losses In mixed exponential terminology, the AOI’s will tend to have higher wi’s for the higher ?i’s. How