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    Indonesia Loss Reserving (Example)

    Uploaded by

    Setyo Tyas Jarwanto
    The document provides loss development data for XYZ Insurance Company from 2010 to 2011. It includes incurred losses on both an incremental and cumulative basis by accident quarter. It also shows incurred loss development factors. The document then provides several projections of ultimate losses using chain ladder and Bornhuetter-Ferguson methods and selects an ultimate loss estimate. Finally, it calculates loss reserves and discounts them to the present.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Indonesia Loss Reserving (Example)

    Uploaded by

    Setyo Tyas Jarwanto
    40 views6 pages
    The document provides loss development data for XYZ Insurance Company from 2010 to 2011. It includes incurred losses on both an incremental and cumulative basis by accident quarter. It also shows incurred loss development factors. The document then provides several projections of ultimate losses using chain ladder and Bornhuetter-Ferguson methods and selects an ultimate loss estimate. Finally, it calculates loss reserves and discounts them to the present.

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    Indonesia Loss Reserving (example)

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    Indonesia Loss Reserving (example)

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    The document provides loss development data for XYZ Insurance Company from 2010 to 2011. It includes incurred losses on both an incremental and cumulative basis by accident quarter. It also shows incurred loss development factors. The document then provides several projections of ultimate losses using chain ladder and Bornhuetter-Ferguson methods and selects an ultimate loss estimate. Finally, it calculates loss reserves and discounts them to the present.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    40 views6 pages

    Indonesia Loss Reserving (Example)

    Uploaded by

    Setyo Tyas Jarwanto
    The document provides loss development data for XYZ Insurance Company from 2010 to 2011. It includes incurred losses on both an incremental and cumulative basis by accident quarter. It also shows incurred loss development factors. The document then provides several projections of ultimate losses using chain ladder and Bornhuetter-Ferguson methods and selects an ultimate loss estimate. Finally, it calculates loss reserves and discounts them to the present.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 6

    XYZ Insurance Company

    Incurred Loss - Incremental

    Accident Development Quarter


    Quarter 1 2 3 4 5 6 7 8 Tail
    2010-Q1 94 122 71 43 35 14 11 9
    2010-Q2 109 120 58 46 11 27 15
    2010-Q3 111 138 68 33 21 14
    2010-Q4 112 140 56 34 23
    2011-Q1 146 128 44 39
    2011-Q2 166 121 47
    2011-Q3 158 142
    2011-Q4 169

    Incurred Loss - Cumulative

    Accident Development Quarter


    Quarter 1 2 3 4 5 6 7 8 Tail
    2010-Q1 94 216 288 331 366 380 391 400
    2010-Q2 109 229 287 333 343 370 385
    2010-Q3 351 372 385
    2010-Q4 112 252 308 343 366
    2011-Q1 146 274 318 357
    2011-Q2 166 287 334
    2011-Q3 158 300
    2011-Q4 169

    Incurred Loss Development Factor

    Accident Development Quarter


    Quarter 2:1 3:2 4:3 5:4 6:5 7:6 8:7 Tail
    2010-Q1 2.305 1.330 1.151 1.106 1.038 1.028 1.024
    2010-Q2 2.101 1.251 1.159 1.032 1.078 1.040
    2010-Q3 1.061 1.036
    2010-Q4 2.242 1.224 1.112 1.067
    2011-Q1 1.877 1.162 1.124
    2011-Q2 1.727 1.163
    2011-Q3 1.902
    2011-Q4

    Arithmetic Average 2.026 1.226 1.136 1.051 1.034 1.024


    Weight Average 1.985 1.220 1.428 1.050 1.034 1.024
    Wght Avg - Last 3 1.832 1.181 1.678 1.050 1.035 1.026

    Selections
    A-T-A
    A-T-U - - - - - - - - 1.000
    % Inc #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! 100%
    XYZ Insurance Company

    Incurred Chain Ladder Projection

    Accident Incurred Incurred Estimated Earned Estimated


    Quarter to Date LDF (A-T-U) Ultimate Loss Premium Ult. Loss Ratio
    2010-Q1 400 - - 539 0.0%
    2010-Q2 385 - - 544 0.0%
    2010-Q3 385 -
    2010-Q4 366 - - 566 0.0%
    2011-Q1 357 - - 589 0.0%
    2011-Q2 334 - - 624 0.0%
    2011-Q3 300 - - 684 0.0%
    2011-Q4 169 - - 734 0.0%
    Total 2,697 - 4,280 0.0%
    XYZ Insurance Company

    Incurred Bornhuetter Ferguson (BF) Projection

    Accident Init. Expected Earned Init. Expected Expected Incurred to Date Expected Estimated Estimated
    Quarter Loss Ratio Premium Ultimate Loss %ge Incurred Expected Actual Act - Exp Unreported Ultimate Loss Ult. Loss Ratio
    2010-Q1 77% 539 415 #DIV/0! #DIV/0! 400 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    2010-Q2 77% 544 419 #DIV/0! #DIV/0! 385 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    2010-Q3 77% - - #DIV/0! #DIV/0! 385 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    2010-Q4 77% 566 436 #DIV/0! #DIV/0! 366 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    2011-Q1 77% 589 453 #DIV/0! #DIV/0! 357 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    2011-Q2 77% 624 #DIV/0! #DIV/0! 334 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    2011-Q3 77% 684 527 #DIV/0! 300 300 300 43.9%
    2011-Q4 77% 734 565 #DIV/0! #DIV/0! 169 #DIV/0! #DIV/0! 0.0%
    Total 4,280 2,815 #DIV/0! 2,697 #DIV/0! #DIV/0! #DIV/0! #DIV/0!
    XYZ Insurance Company

    Ultimate Loss Selection

    Accident Ultimate Loss Earned Ultimate Loss Ratio


    Quarter Inc CL Inc BF Selected Premium Inc CL Inc BF Selected
    2010-Q1 - #DIV/0! 539 0.0% #DIV/0!
    2010-Q2 - #DIV/0! 544 0.0% #DIV/0!
    2010-Q3 - #DIV/0! - #DIV/0! #DIV/0!
    2010-Q4 - #DIV/0! 566 0.0% #DIV/0!
    2011-Q1 - #DIV/0! 589 0.0% #DIV/0!
    2011-Q2 - #DIV/0! 624 0.0% #DIV/0!
    2011-Q3 - 300 684 0.0% 43.9%
    2011-Q4 - - 734 0.0% 0.0%
    Total - #DIV/0! - 4,280 0.0% #DIV/0! 0.0%
    XYZ Insurance Company

    Loss Reserves

    Accident Paid Case Incurred Ultimate Undiscounted Discount Discounted


    Quarter Loss Estimates Loss IBNR Loss Reserve Factor Reserve
    2010-Q1 384 16 400 (400) - (384) 1.000 (384)
    2010-Q2 363 22 385 (385) - (363) 1.000 (363)
    2010-Q3 356 30 385 (385) - (356) 1.000 (356)
    2010-Q4 325 41 366 (366) - (325) 1.000 (325)
    2011-Q1 293 64 357 (357) - (293) 1.000 (293)
    2011-Q2 215 119 334 (334) - (215) 1.000 (215)
    2011-Q3 130 170 300 (300) - (130) 1.000 (130)
    2011-Q4 45 125 169 (169) - (45) 1.000 (45)
    Total 2,111 586 2,697 (2,697) - (2,111) 1.000 (2,111)
    XYZ Insurance Company

    Discounting Loss Reserves

    Accident Undiscounted Discount Discounted %ge Future Quarter


    Quarter Reserve Factor Reserve Unpaid 1 2 3 4 5 6 7 8 9 10 11
    2010-Q1 (384) 1.000 (384) 8.5% (124) (106) (87) (67)
    2010-Q2 (363) 1.000 (363) 12.0% (106) (83) (71) (58) (45)
    2010-Q3 (356) 1.000 (356) 17.0% (104) (74) (57) (49) (40) (31)
    2010-Q4 (325) 1.000 (325) 24.6% (100) (66) (47) (36) (31) (26) (20)
    2011-Q1 (293) 1.000 (293) 34.4% (84) (64) (42) (30) (23) (20) (16) (13)
    2011-Q2 (215) 1.000 (215) 53.1% (76) (40) (31) (20) (14) (11) (10) (8) (6)
    2011-Q3 (130) 1.000 (130) 74.0% (37) (33) (17) (13) (9) (6) (5) (4) (3) (3)
    2011-Q4 (45) 1.000 (45) 92.0% (9) (10) (9) (5) (4) (2) (2) (1) (1) (1) (1)
    Total (2,111) 1.000 (2,111)

    Undiscounted Reserve (2,111) (639) (476) (362) (279) (166) (96) (52) (26) (11) (4) (1)
    Discounted Reserve (2,111) (639) (476) (362) (279) (166) (96) (52) (26) (11) (4) (1)
    Risk-Free Rate
    Duration 0.125 0.375 0.625 0.875 1.125 1.375 1.625 1.875 2.125 2.375 2.625
    Discount Factor 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000

    %ge Paid - Incremental 8.0% 18.0% 20.8% 18.7% 9.8% 7.5% 5.0% 3.5% 2.7% 2.4% 1.9% 1.5%
    %ge Paid - Cumulative 8.0% 26.0% 46.9% 65.6% 75.4% 83.0% 88.0% 91.5% 94.2% 96.6% 98.5% 100.0%
    A-T-U 12.484 3.841 2.134 1.524 1.325 1.205 1.137 1.093 1.061 1.035 1.015 1.000
    A-T-A 3.250 1.800 1.400 1.150 1.100 1.060 1.040 1.030 1.025 1.020 1.015 1.000

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