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Use of the NP-approximation to determine the risk adjustment under IFRS 17 in a non-life portfolio
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Orientador(es)
Resumo(s)
A norma contabilística IFRS 17 "Contratos de Seguro", com data efetiva a 1 de janeiro de 2023, vai requerer que se considere na mensuração dos passivos de contratos de seguro uma compensação explícita pela incerteza associada aos contratos, chamada de risk adjustment.
Nesta dissertação apresentamos um possível modelo a utilizar na determinação da risk adjustment de acordo com a IFRS 17 para o negócio não vida. O modelo tem por base a aplicação da NP-approximation, em que apenas é necessário uma estimativa do segundo e terceiro momentos centrais da distribuição do valor atual dos fluxos de caixa futuros.
A determinação do risk adjustment é apresentada separadamente para a responsabilidade de serviços passados (liability for incurred claims) e a responsabilidade de serviços futuros (liability for remaining coverage). A primeira é ainda separada em sinistros reportados mas não encerrados (claims reported but not settled) e sinistros incorridos mas não reportados (claims incurred but not reported).
Para o processo de pagamento de sinistros, apresentamos primeiro a estimativa dos momentos referidos assumindo uma distribuição compound Poisson. Mais à frente este modelo é generalizado e dois novos pressupostos relativos ao desenvolvimento dos sinistros são apresentados: a multinomial e a Dirichlet.
Por fim, o modelo proposto é aplicado na prática a um portfólio do ramo não vida e os resultados são apresentados e comparados.
The accounting standard IFRS 17 "Insurance Contracts" will become effective as at 1 January 2023 and will require the presentation of an explicit compensation for uncertainty in the measurement of the insurance contracts liability, named the risk adjustment. This dissertation presents a possible model to be applied to determine the risk adjustment under IFRS 17 for the non-life business. In order to do, we apply the NP-approximation, which only requires an estimate of the central second and third order moments of the distribution of the present value of future cash flows. The determination of the risk adjustment is presented separately for the liability for incurred claims and the liability for remaining coverage. The first is further split into claims reported but not settled and claims incurred but not reported. For the claim payment process we first present the estimate of the necessary moments assuming a compound Poisson distribution. Further on we generalise this model and present other two claims development assumptions that can be used: the multinomial and the Dirichlet. Finally, the proposed model is applied in practice to a real non-life business portfolio and the results are presented and compared.
The accounting standard IFRS 17 "Insurance Contracts" will become effective as at 1 January 2023 and will require the presentation of an explicit compensation for uncertainty in the measurement of the insurance contracts liability, named the risk adjustment. This dissertation presents a possible model to be applied to determine the risk adjustment under IFRS 17 for the non-life business. In order to do, we apply the NP-approximation, which only requires an estimate of the central second and third order moments of the distribution of the present value of future cash flows. The determination of the risk adjustment is presented separately for the liability for incurred claims and the liability for remaining coverage. The first is further split into claims reported but not settled and claims incurred but not reported. For the claim payment process we first present the estimate of the necessary moments assuming a compound Poisson distribution. Further on we generalise this model and present other two claims development assumptions that can be used: the multinomial and the Dirichlet. Finally, the proposed model is applied in practice to a real non-life business portfolio and the results are presented and compared.
Descrição
Mestrado em Actuarial Science
Palavras-chave
IFRS 17 risk adjustment NP-approximation responsabilidade de serviços passados responsabilidade de serviços futuros compound Poisson multinomial Dirichlet liability for incurred claims liability for remaining coverage
Contexto Educativo
Citação
Marques, Tatiana Maria dos Santos (2020). "Use of the NP-approximation to determine the risk adjustment under IFRS 17 in a non-life portfolio". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão