Research On The Measurement Of One-year Underwriting Risk For Non-life Insurance Company

Compared with other financial institutions, the insurance company is a kind of special enterprises which is running a business dealt with risk, full of uncertainties in the regular course of business. With the rapid development of the industry, the business environment of insurance companies has been changing, the risk is also more diverse. On the one hand, these risks put forward a severe challenge to the sustainable development of insurance companies; on the other hand, the risk also make regulators proposed a more stringent regulatory requirements for insurance companies, of which the EU Solvency II framework explicitly pointed out several types of quantitative risk, and requires the insurance companies to quantify these risks, to ensure the solvency of insurance companies. As to non-life companies,underwriting risk is considered as the most noteworthy aspect, therefore the appropriate risk measurement of underwriting risk is very important.Usually, underwriting risk is divided into two parts:the reserve risk and the premium risk. The reserve risk has got more attention among academics, but the premium risk is rarely mentioned, the understanding of underwriting risk for many people is ambiguous. Therefore, in order to carry out the study on the measurement of underwriting risk, we should first make clear the underwriting risk. In addition, in keeping with the regulatory framework of EU solvency II, this paper focuses on the one-year underwriting risk.This paper begins with the concept of reserve risk and premium risk,and explains them in more detail, find that the one-year reserve risk and the one-year premium risk is consistent, which reveals the connotation of the one-year underwriting risk, and find an analysis tool for the measurement of underwriting risk-Claim development result.This paper also introduces several stochastic claims reserve methods and several common indexes which can used to measure the risk, and then describes the stochastic Re-reserving method,by introducing the Bootstrapping method to the Mack model. Finally, with the help of statistical software R, by using the stochastic Re-reserving method to analyze the measurement of the underwriting risk, this paper proves the feasibility of the stochastic Re-reserving method.