Modelling the disability severity score in motor insurance claims: an application to the Spanish case

Bodily injury claims have the greatest impact on the claim costs of motor insurance companies. The disability severity of motor claims is assessed in numerous European countries by means of score systems. In this paper a zero inflated generalized Poisson regression model is implemented to estimate the disability severity score of victims in-volved in motor accidents on Spanish roads. We show that the injury severity estimates may be automatically converted into financial terms by insurers at any point of the claim handling process. As such, the methodology described may be used by motor insurers operating in the Spanish market to monitor the size of bodily injury claims. By using insurance data, various applications are presented in which the score estimate of disability severity is of value to insurers, either for computing the claim compensation or for claim reserve purposes.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement -SCR-, under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Prediction of individual automobile RBNS claim reserves in the context of Solvency II

Automobile bodily injury (BI) claims remain unsettled for a long time after the accident. The estimation of an accurate reserve for Reported But Not Settled (RBNS) claims is therefore vital for insurers. In accordance with the recommendation included in the Solvency II project (CEIOPS, 2007) a statistical model is here implemented for RBNS reserve estimation. Lognormality on empirical compensation cost data is observed for different levels of BI severity. The individual claim provision is estimated by allocating the expected mean compensation for the predicted severity of the victim’s injury, for which the upper bound is also computed. The BI severity is predicted by means of a heteroscedastic multiple choice model, because empirical evidence has found that the variability in the latent severity of injured individuals travelling by car is not constant. It is shown that this methodology can improve the accuracy of RBNS reserve estimation at all stages, as compared to the subjective assessment that has traditionally been made by practitioners.

Lifestyles positius i reserva cognitiva : Implicacions cognitives, clíniques i biològiques

La reserva cognitiva és un concepte hipotètic actual que sembla presentar la clau per a fer front al repte de les malalties neurodegeneratives. Aquesta es defineix com aquelles capacitats funcionals del cervell que ajuden a la persona a tolerar un major dany cerebral sense presentar manifestació clínica al respecte. La estreta relació del concepte amb els hàbits positius de les persones (lifestyles) la converteix en una variable independent per a la intervenció, prevenció i promoció de la salut. Els canvis morfològics del cervell i la consolidació de circuits neuronals més robustos i eficients semblen explicar els mecanismes de funcionament de la reserva cognitiva. Aquesta revisió defineix el concepte de reserva cognitiva i els models que l'expliquen, troba formes de mesurar-la i representar-la, i evidencia la seva relació amb els lifestyles positius mitjançant estudis epidemiològics i de neuroimatge, per tal de comprendre millor el concepte i enfocar-lo en una línia futura d'investigació.