A Stochastic Model to Evaluate Pricing Distortions in Indemnity Insurance Methods for MTPL Insurance

Direct compensation or the direct reimbursement scheme is an indemnity insurance method that many European and American countries use to manage motor liability claims in which the driver that suffers an accident is paid by his/her insurance company that possibly later receives a flat-rate reimbursement (known as forfeit). Using non-life actuarial methodologies, this article analyses the distortion effects due to the direct compensation mechanisms and the effects of different forfeit reimbursement systems on policyholder tariffs in the management of motor liability claims involving vehicles in two different sectors, i.e. automobile and motorcycle. We empirically analyse and formalize the distortion effects resulting from the mechanism that different direct reimbursement systems produce, and explore the correlation between increasing tariffs for motorcycle policyholders and decreasing tariffs for other vehicle policyholders. We propose some alternative methods to overcome these distortion effects, evaluating their pricing impact through a stochastic model applied to a case study

Best estimate of the motor liability claims reserve under the direct reimbursement scheme

In some European countries, a large subset of motor liability claims is managed under a direct reimbursement (DR) scheme. The first component that loss adjustors use to evaluate the claims reserve is given by the sum of the estimated provision for each outstanding claim (known as case reserves). Due to the heterogeneity of data available, the introduction of direct indemnity in third-party liability insurance has resulted in greater attention to the traditional statistical-actuarial methods used to control and/or verify the evaluations. This paper presents the first results of a study undertaken to define a new calculation method that enables quantifying the claims reserve using different hypotheses of the evolution of settlement mechanisms and in so doing offers greater transparency, objectivity as well as the opportunity to perform stress tests. A numerical application is presented comparing the results of the proposed model with those using traditional statistical methods

Comparison of the claims reserves methods by analyzing the run-off error

The variability of claim costs represents an important risk component, which should be taken into account while implementing the internal models for solvency evaluation of an insurance undertaking. This component can generate differences between future payments for claims and the provisions set aside for the same claims (run-off error). If the liability concerning the claims reserve is evaluated using synthetic methods, then the run-off error depends on the statistical method adopted; when it is not possible to study analytically the properties of the estimators, methods based on stochastic simulation are particularly effective. This work focuses on measuring the run-off error with reference to claims reserves evaluation methods applied to simulated run-off matrices for the claims settlement development. The results from the numerical implementations provide the authors with useful insights for a rational selection of the statistical-actuarial method for the claims reserve evaluation on an integrated risk management framework. The setting of the analysis is similar to that adopted in other studies (Stanard, 1986; Pentikainen and Rantala, 1992; Buhlmann et al., 1980), however, it differs for estimation and simulation methods considered and for the statistics elaborated in the comparison. Keywords: run-off error, outstanding claims reserves, stochastic simulatio

Disruption of Life Insurance Profitability in the Aftermath of the COVID-19 Pandemic

5noopenLife insurance profitability depends on reliable mortality risk projections and pricing. While the COVID-19 pandemic has caused disruptions around the world, this is a temporary mortality shock likely to dissipate. In this paper, we investigate the long-run impact of COVID-19 on life insurance profitability. Due to the long-run dynamics of the mortality characterised by a decreasing effect of the COVID-19 mortality acceleration, we suggest proactive mortality risk management by implementing prompt premium adjustments, in order to increase the resilience of the business.openCarannante, M.; D’Amato, V.; Fersini, P.; Forte, S.; MelisiCarannante, M.; D’Amato, V.; Fersini, P.; Forte, S.; Melisi

Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market

In this paper, we contribute to the topic of the non-performing loans (NPLs) business proftability on the secondary market by developing machine learning-based due diligence. In particular, a loan became non-performing when the borrower is unlikely to pay, and we use the ability of the ML algorithms to model complex relationships between predictors and outcome variables, we set up an ad hoc dependent random forest regressor algorithm for projecting the recovery rate of a portfolio of the secured NPLs. Indeed the proftability of the transactions under consideration depends on forecast models of the amount of net repayments expected from receivables and related collection times. Finally, the evaluation approach we provide helps to reduce the ”lemon discount” by pricing the risky component of informational asymmetry between better-informed banks and potential investors in particular for higher quality, collateralised NPLs

Analisi del mercato assicurativo R. C. auto per il settore V \u2013 Motoveicoli: distorsioni di pricing a seguito dell\u2019introduzione del sistema di indennizzo diretto

Il mercato dei motocicli e dei ciclomotori rappresenta, ad oggi, uno dei settori che ha risentito maggiormente degli effetti della crisi economica, registrando una consistente contrazione del mercato. Una delle potenziali cause potrebbe essere l\u2019aumento del costo dell\u2019assicurazione di responsabilit\ue0 civile Auto (R.C. Auto) per il Settore V \u2013 MOTOVEICOLI. Obiettivo della presente ricerca \ue8 quello di indagare, dal punto di vista attuariale, sulle cause dell\u2019aumento del costo dell\u2019assicurazione di responsabilit\ue0 civile Auto (R.C. Auto) per il Settore V con l\u2019obiettivo di studiare le dinamiche dei costi assicurativi, al fine di individuare eventuali criticit\ue0 e problematiche all\u2019interno dell\u2019attuale quadro regolamentare del sistema assicurativo RCA in Italia, con conseguenti proposte di potenziale miglioramento

Previdenza complementare: proiezioni di lungo periodo nell’ottica dell’analisi di sostenibilità

5noopenopenFersini, Paola; Barone, Gaia; Forte, Salvatore; Olivieri, Gennaro; Melisi, GiuseppeFersini, Paola; Barone, Gaia; Forte, Salvatore; Olivieri, Gennaro; Melisi, Giusepp

International consensus on the management of metastatic gastric cancer:step by step in the foggy landscape: Bertinoro Workshop, November 2022

Background: Many gastric cancer patients in Western countries are diagnosed as metastatic with a median overall survival of less than twelve months using standard chemotherapy. Innovative treatments, like targeted therapy or immunotherapy, have recently proved to ameliorate prognosis, but a general agreement on managing oligometastatic disease has yet to be achieved. An international multi-disciplinary workshop was held in Bertinoro, Italy, in November 2022 to verify whether achieving a consensus on at least some topics was possible. Methods: A two-round Delphi process was carried out, where participants were asked to answer 32 multiple-choice questions about CT, laparoscopic staging and biomarkers, systemic treatment for different localization, role and indication of palliative care. Consensus was established with at least a 67% agreement. Results: The assembly agreed to define oligometastases as a “dynamic” disease which either regresses or remains stable in response to systemic treatment. In addition, the definition of oligometastases was restricted to the following sites: para-aortic nodal stations, liver, lung, and peritoneum, excluding bones. In detail, the following conditions should be considered as oligometastases: involvement of para-aortic stations, in particular 16a2 or 16b1; up to three technically resectable liver metastases; three unilateral or two bilateral lung metastases; peritoneal carcinomatosis with PCI ≤ 6. No consensus was achieved on how to classify positive cytology, which was considered as oligometastatic by 55% of participants only if converted to negative after chemotherapy. Conclusion: As assessed at the time of diagnosis, surgical treatment of oligometastases should aim at R0 curativity on the entire disease volume, including both the primary tumor and its metastases. Conversion surgery was defined as surgery on the residual volume of disease, which was initially not resectable for technical and/or oncological reasons but nevertheless responded to first-line treatment.</p