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All Subjects: Actuarial
All Subjects: Insurance
Creators: Cunningham, Matthew Lee
Member of: Barrett, The Honors College Thesis/Creative Project Collection
Status: Published

Linear Modeling for Insurance Ratemaking/Reserving: Modeling Loss Development Factors for Catastrophe Claims

Description

Catastrophe events occur rather infrequently, but upon their occurrence, can lead to colossal losses for insurance companies. Due to their size and volatility, catastrophe losses are often treated separately from other insurance losses. In fact, many property and casualty insurance companies feature a department or team which focuses solely on modeling catastrophes. Setting reserves for catastrophe losses is difficult due to their unpredictable and often long-tailed nature. Determining loss development factors (LDFs) to estimate the ultimate loss amounts for catastrophe events is one method for setting reserves. In an attempt to aid Company XYZ set more accurate reserves, the research conducted focuses on estimating LDFs for catastrophes which have already occurred and have been settled. Furthermore, the research describes the process used to build a linear model in R to estimate LDFs for Company XYZ's closed catastrophe claims from 2001 \u2014 2016. This linear model was used to predict a catastrophe's LDFs based on the age in weeks of the catastrophe during the first year. Back testing was also performed, as was the comparison between the estimated ultimate losses and actual losses. Future research consideration was proposed.

ContributorsSwoverland, Robert Bo (Author) / Milovanovic, Jelena (Thesis director) / Zicarelli, John (Committee member) / School of Mathematical and Statistical Sciences (Contributor) / Barrett, The Honors College (Contributor)

Created2018-05

Formulation of Logic Model & Evaluation Plan for CPLC Insurance Program: A Collaboration Between Chicanos Por La Causa and the C.A.R.E. Program at the T. Denny Sanford School of Social and Family Dynamics, Arizona State University

Description

There is a widespread inequality in health care access and insured rates suffered by the Latino, Spanish-speaking population in Arizona, resulting in poor health measures and economic burden. The passage of the Affordable Care Act in 2010 provided mechanisms to alleviate this disparity, however, many Latino communities lack accessible information and means to gain access to health insurance enrollment. Chicanos Por La Causa (CPLC) is a community based organizing that provides many services to low-income communities across Arizona, one of which is the CPLC Insurance Program. In collaboration with the Community Action Research Experiences (CARE) at Arizona State University, the program was studied to help address the need of a LOGIC model and evaluation plan to determine its effectiveness. Interviews with three executives within CPLC were conducted in conjunction with a literature review to determine the inputs, strategies, outputs, and outcomes of the LOGIC model that drive CPLC Insurance's mission. Evaluation measures were then created to provide the necessary quantitative data that can best show to what degree the program is achieving its goals. Specifically, the results indicated the key outcomes that drive the LOGIC model, and an evaluation plan designed to provide indicators of these outcomes was produced. The implications of this study are that the suggested data collection can verify how effectively the program's actions are creating positive change, as well as show where further improvements may be necessary to maximize effectiveness.

ContributorsCunningham, Matthew Lee (Author) / Fey, Richard (Thesis director) / Dumka, Larry (Committee member) / School of Molecular Sciences (Contributor) / Department of Psychology (Contributor) / Barrett, The Honors College (Contributor) / T. Denny Sanford School of Social and Family Dynamics (Contributor)

Created2016-05

Automating by Developing Model Components for the Insurance Ratemaking Actuarial Procedures

Description

The objective of this study is to build a model using R and RStudio that automates ratemaking procedures for Company XYZ’s actuaries in their commercial general liability pricing department. The purpose and importance of this objective is to allow actuaries to work more efficiently and effectively by using this model that outputs the results they otherwise would have had to code and calculate on their own. Instead of spending time working towards these results, the actuaries can analyze the findings, strategize accordingly, and communicate with business partners. The model was built from R code that was later transformed to Shiny, a package within RStudio that allows for the build-up of interactive web applications. The final result is a Shiny app that first takes in multiple datasets from Company XYZ’s data warehouse and displays different views of the data in order for actuaries to make selections on development and trend methods. The app outputs the re-created ratemaking exhibits showing the resulting developed and trended loss and premium as well as the experience-based indicated rate level change based on prior selections. The ratemaking process and Shiny app functionality will be detailed in this report.

ContributorsGilkey, Gina (Author) / Zicarelli, John (Thesis director) / Milovanovic, Jelena (Committee member) / Barrett, The Honors College (Contributor) / School of Mathematical and Statistical Sciences (Contributor)

Created2022-05