loss model - Bosna RE

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Simple Stochastic Model for Large Losses • Approach: Create and apply a model for the (future) losses, based on the loss history. • What should the model predict? 1. number of losses above the priority (200.000 EUR), 2. the severity (loss amount) distribution. • Assumptions (for simplicity): no inflation of premiums or losses, no development of losses (final incurreds are known). For more realistic assumptions, see below. 6
Loss Amount in EUR Simple Stochastic Model for Large Losses Fictive Loss History (above 100.000 EUR in 1999-2008) 1.200.000 1.000.000 800.000 600.000 400.000 200.000 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Accident Year 7
Page 1 and 2: Određivanje cijene reosiguranja vi
Page 3 and 4: Overview of the Pricing Process for
Page 5: Simple Stochastic Model for Large L
Page 9 and 10: Cumulative Probability Simple Stoch
Page 11 and 12: Number of Large Losses Simple Stoch
Page 13 and 14: 1 Overview of the Pricing Process f
Page 15 and 16: Cumulative Probability Calculation
Page 19 and 20: Outlook on Refined Loss Modelling

loss model - Bosna RE

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