A Risk Based Approach for the Solvency Capital Requirement for Health Plans

Fabio Baione (), Davide Biancalana () and Paolo De Angelis ()
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Fabio Baione: Sapienza University of Rome
Davide Biancalana: Sapienza University of Rome
Paolo De Angelis: Sapienza University of Rome

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 63-69 from Springer

Abstract: Abstract The study deals with the assessment of risk measures for Health Plans in order to assess the Solvency Capital Requirement. For the estimation of the individual health care expenditure for several episode types, we suggest an original approach based on a three-part regression model. We propose three Generalized Linear Models (GLM) to assess claim counts, the allocation of each claim to a specific episode and the severity average expenditures respectively. One of the main practical advantages of our proposal is the reduction of the regression models compared to a traditional approach, where several two-part models for each episode types are requested. As most health plans require co-payments or co-insurance, considering at this stage the non-linearity condition of the reimbursement function, we adopt a Montecarlo simulation to assess the health plan costs. The simulation approach provides the probability distribution of the Net Asset Value of the Health Plan and the estimate of several risk measures.

Keywords: Health; SCR; GLM; Simulation; Risk measure (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_11

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DOI: 10.1007/978-3-030-78965-7_11

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