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Provisão de Sinistros: Estudo de uma Companhia de Seguros e o Impacto do Fator Cauda
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Orientador(es)
Resumo(s)
O ajuste das provisões técnicas é um tema que tem sido sempre objeto de estudo por parte das Seguradoras. No entanto, existe uma constante preocupação em evitar a ruína, o que leva as Companhias de Seguros a garantir uma gestão de provisões técnicas apropriada e adequada para assegurar as responsabilidades com os seus clientes.
Dos vários tipos de provisões técnicas, as provisões para sinistros são as que têm um impacto mais significativo. Para a sua determinação, existem vários métodos, como os Determinísticos e os Estocásticos. O método Determinístico de Chain Ladder é usado para estimar as provisões para sinistros. Para evitar as limitações que essa metodologia apresenta, são utilizados modelos Estocásticos, como o proposto por Thomas Mack.
A presente Dissertação pretende avaliar diferentes metodologias de extrapolar o fator cauda no cálculo de provisões para sinistros em ramos com desenvolvimento longo. Aplica-se o modelo Thomas Mack (baseado em Chain Ladder) para o cálculo das reservas através da informação providenciada por uma Companhia de Seguros na linha de negócio automóvel. Para extrapolar o fator cauda utilizou-se o valor provisionado caso a caso pela Companhia de Seguros, um modelo de ajuste Log-Linear e o método apresentado por Walter Neuhaus.
The adequacy of technical provisions is a subject that is studied by the Insurers themselves. There is a fear of failure that incentivizes Insurance Companies to guarantee a proper and skilled management of adequate technical provisions, to ensure the responsibilities they have towards their customers. Among the various types of provisions, the provisions for claims are the ones that have the most significant impact on the technical provisions. There are two methods, deterministic and stochastic, for its determination. For this purpose, the deterministic method of Chain Ladder is usually used to estimate the provisions for claims. However, to go around the limitations of this methodology, stochastic models take place, such as the model proposed by Thomas Mack. The present work intends to evaluate different methodologies in the extrapolation of the tail factor in the calculation of provisions for claims in the long development branches. The Thomas Mack model is applied (based on Chain Ladder) for the calculation of provisions for claims on the automobile line of business with the information given by an Insurance Company. To extrapolate the tail factor, a case by case amount provided by the Insurance Company was used, as well as a Log-Linear adjustment model and a Method presented by Walther Neuhaus.
The adequacy of technical provisions is a subject that is studied by the Insurers themselves. There is a fear of failure that incentivizes Insurance Companies to guarantee a proper and skilled management of adequate technical provisions, to ensure the responsibilities they have towards their customers. Among the various types of provisions, the provisions for claims are the ones that have the most significant impact on the technical provisions. There are two methods, deterministic and stochastic, for its determination. For this purpose, the deterministic method of Chain Ladder is usually used to estimate the provisions for claims. However, to go around the limitations of this methodology, stochastic models take place, such as the model proposed by Thomas Mack. The present work intends to evaluate different methodologies in the extrapolation of the tail factor in the calculation of provisions for claims in the long development branches. The Thomas Mack model is applied (based on Chain Ladder) for the calculation of provisions for claims on the automobile line of business with the information given by an Insurance Company. To extrapolate the tail factor, a case by case amount provided by the Insurance Company was used, as well as a Log-Linear adjustment model and a Method presented by Walther Neuhaus.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Provisão para Sinistros Thomas Mack Solvência II Ultimate Fator Cauda Provision for Claims Solvency II Tail Factor