Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments

Yixing Zhao, Rogemar Mamon and Heng Xiong ()
Additional contact information
Yixing Zhao: Sun Yat-sen University
Rogemar Mamon: The University of Western Ontario
Heng Xiong: Wuhan University

Financial Innovation, 2021, vol. 7, issue 1, 1-26

Abstract: Abstract This study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred claims and paid losses. We propose the recovery of the empirical distribution of the outstanding claims liabilities associated with a group of contracts via moment-based density approximation. We determine the risk measures and adjustments that are compliant with the new standard using the Monte–Carlo simulation method and approximated distributions. The historical data on the aggregate Ontario automobile insurance claims over a 15-year period are analyzed to examine the appropriateness and accuracy of our approach.

Keywords: Incurred claims; Paid losses; Paid-incurred chain model; Moment-based density approximation; Risk measures; International Financial Reporting Standards 17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40854-021-00287-5 Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00287-5

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-021-00287-5

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().