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Prediction of individual automobile RBNS claim reserves in the context of Solvency II
Ayuso, Mercedes; Santolino, Miguel
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.
Accidents de circulació
Víctimes d'accidents de circulació
Assegurances d'automòbils
Assistència hospitalària
Traffic accidents
Traffic accident victims
Automobile insurance
Hospital care
cc-by-nc-nd, (c) Ayuso et al., 2008
Working Paper
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública

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