total claims
1 2 3 4 5 6
2001 647,490 112,191 11,966 1,198 2,094 602
2002 865,998 100,239 22,487 758 209
2003 733,211 50,186 5,605 799
2004 927,769 67,707 4,181
2005 721,054 52,968
2006 981,759
1 2 3 4 5 6
2001 635,030 47,716 15,449 4,627 3,132 32
2002 674,995 70,613 739 8,351 95
2003 841,502 79,438 1,883 704
2004 795,462 70,867 7,478
2005 848,599 58,524
2006 950,476
earned premiums number of claims
Accident y 1 2 3 4 5 6
1,515,248 2001 979 110 13 15 5 1
1,573,673 2002 1,050 97 7 8 1
1,611,995 2003 1,067 99 6 1
1,526,875 2004 1,112 91 10
1,689,679 2005 1,126 101
1,708,221 2006 1,052
1,515,248
1,573,673
1,611,995
1,526,875
1,689,679
1,708,221
Chain Ladder Method raw_data2
Incremental Development year
accident year 1 2 3 4 5
2001 635,030 47,716 15,449 4,627 3,132
2002 674,995 70,613 739 8,351 95
2003 841,502 79,438 1,883 704
2004 795,462 70,867 7,478
2005 848,599 58,524
2006 950,476
Cumulative 1 2 3 4 5
2001 635,030 682,746 698,195 702,822 705,954
2002 674,995 745,609 746,347 754,699 754,793
2003 841,502 920,940 922,823 923,527
2004 795,462 866,330 873,808
2005 848,599 907,123
2006 950,476
sum of column 4,746,065 4,122,747 3,241,173 2,381,048 1,460,747
last value 950,476 907,123 873,808 923,527 754,793
sum of column less 1 3,795,589 3,215,624 2,367,365 1,457,521 705,954
dev factor 1.0862 1.0079 1.0058 1.0022
Projection 1 2 3 4 5
2001 635,030 682,746 698,195 702,822 705,954
2002 674,995 745,609 746,347 754,699 754,793
2003 841,502 920,940 922,823 923,527 925,571
2004 795,462 866,330 873,808 878,858 880,804
2005 848,599 907,123 914,330 919,615 921,651
2006 950,476 1,032,402 1,040,605 1,046,619 1,048,936
Expected Loss ratio method
Expected loss ratio
Accident year Earned premiums
6
32 2001 1,515,248
2002 1,573,673
2003 1,611,995
2004 1,526,875
2005 1,689,679
2006 1,708,221
6
705,986
Bornheutter Ferguson Method
Development year 1
development factor 0.0000
year-to-year run off 92.06%
proportion run-off 90.61%
proportion not run-off 9.39%
705,986
705,986 Accident year Expected total loss
- 2001 1,060,674
2002 1,101,571
1.0000 2003 1,128,397
2004 1,068,813
6 reserve 2005 1,182,775
705,986 - 2006 1,195,755
754,828 34
925,613 2,086
880,844 7,036
921,692 14,570
1,048,984 98,507 Cape Cod
IBNR 122,234 Accident year total claims
2001 705,986
2002 754,793
2003 923,527
2004 873,808
2005 907,123
2006 950,476
5,115,714
Predicted expected loss ratio
Redo Bornheutter Ferguson with new expected loss ratio
Accident year Expected total loss
2001 822,652
2002 854,372
2003 875,177
2004 828,964
2005 917,353
2006 927,420
70%
Expected claims Actual claims Reserve
1,060,674 705,986 354,688
1,101,571 754,793 346,778
1,128,397 923,527 204,870
1,068,813 873,808 195,004
1,182,775 907,123 275,652
1,195,755 950,476 245,278
IBNR 1,622,270
2 3 4 5 6
1.0862 1.0079 1.0058 1.0022 1.0000
99.21% 99.43% 99.78% 100.00%
98.42% 99.20% 99.77% 100.00% 100.00%
1.58% 0.80% 0.23% 0.00% 0.00%
proportion not run-off reserve
0.00% -
0.00% 50
0.23% 2,544
0.80% 8,537
1.58% 18,697
9.39% 112,290
IBNR 142,118
proportion of run-off premiums premiums "run-off"
100.00% 1,515,248 1,515,248
100.00% 1,573,673 1,573,601
99.77% 1,611,995 1,608,361
99.20% 1,526,875 1,514,679
98.42% 1,689,679 1,662,970
90.61% 1,708,221 1,547,806
9,422,666
cted expected loss ratio 54.29%
h new expected loss ratio
proportion not run-off reserve
0.00% -
0.00% 39
0.23% 1,973
0.80% 6,621
1.58% 14,501
9.39% 87,092
IBNR 110,226
Average Cost Per Claim
Number of claims
development year
Accident year 1 2 3 4 5 6
2001 979 110 13 15 5 1
2002 1050 97 7 8 1
2003 1067 99 6 1
2004 1112 91 10
2005 1126 101
2006 1052
Average cost per claim
1 2 3 4 5 6
2001 648.65 433.78 1,188.36 308.49 626.33 32.14
2002 642.85 727.97 105.55 1,043.92 94.69
2003 788.66 802.40 313.87 703.85
2004 715.34 778.76 747.84
2005 753.64 579.44
2006 903.49
Cumulative 1 2 3 4 5 6
2001 979 1,089 1,102 1,117 1,122 1,123
2002 1,050 1,147 1,154 1,162 1,163
2003 1,067 1,166 1,172 1,173 -
2004 1,112 1,203 1,213 - -
2005 1,126 1,227 - - -
2006 1,052 - - -
sum of column 6,386 5,832 4,641 3,452 2,285 1,123
last value 1,052 1,227 1,213 1,173 1,163 1,123
sum of column les 5,334 4,605 3,428 2,279 1,122 -
dev factor 1.0934 1.0078 1.0070 1.0026 1.0009
Projection 1 2 3 4 5 6 reserve
2001 979 1,089 1,102 1,117 1,122 1,123 -
2002 1,050 1,147 1,154 1,162 1,163 1,164 1
2003 1,067 1,166 1,172 1,173 1,176 1,177 4
2004 1,112 1,203 1,213 1,221 1,225 1,226 13
2005 1,126 1,227 1,237 1,245 1,249 1,250 23
2006 1,052 1,150 1,159 1,167 1,170 1,171 119
Number of outstanding claims 160
Now look at the claims sizes
Average cost per claim
1 2 3 4 5 6
2001 648.65 433.78 1,188.36 308.49 626.33 32.14
2002 642.85 727.97 105.55 1,043.92 94.69
2003 788.66 802.40 313.87 703.85
2004 715.34 778.76 747.84
2005 753.64 579.44
2006 903.49
sum of column 4,453 3,322 2,356 2,056 721 32
last value 903 579 748 704 95 32
sum of column les 3,549 2,743 1,608 1,352 626 -
dev factor 0.9361 0.8588 1.2789 0.5331 0.0513
Projection 1 2 3 4 5 6
2001 649 434 1,188 308 626 32
2002 643 728 106 1,044 95 5
2003 789 802 314 704 375 19
2004 715 779 748 956 510 26
2005 754 579 498 636 339 17
2006 903 846 726 929 495 25
Multiply up 1 2 3 4 5 6
2001 -
2002 5 5
2003 1,159 20 1,179
2004 8,123 1,640 29 9,791
2005 4,773 5,510 1,112 19 11,415
2006 83,069 6,531 7,539 1,522 27 98,688
IBNR 121,078
Inflation Adjusted Reserving
Original data
accident year 1 2 3 4 5 6
2001 635,030 47,716 15,449 4,627 3,132 32
2002 674,995 70,613 739 8,351 95 -
2003 841,502 79,438 1,883 704 - -
2004 795,462 70,867 7,478 - - -
2005 848,599 58,524 - - - -
2006 950,476 - - - - -
Add historical inflation to historical numbers
accident year 1 2 3 4 5 6
2001 736,246 53,710 16,883 4,910 3,258 33
2002 759,788 77,169 784 8,687 97 -
2003 919,622 84,284 1,959 718 - -
2004 843,989 73,716 7,626 - - -
2005 882,713 59,683 - - - -
2006 969,300 - - - - -
Standard Chain Ladder
Cumulative 1 2 3 4 5 6
2001 736,246 789,956 806,839 811,749 815,006 815,039
2002 759,788 836,956 837,740 846,427 846,524
2003 919,622 1,003,906 1,005,865 1,006,583
2004 843,989 917,705 925,331
2005 882,713 942,396
2006 969,300
sum of column 5,111,657 4,490,919 3,575,775 2,664,758 1,661,530 815,039
last value 969,300 942,396 925,331 1,006,583 846,524 815,039
sum of column less 4,142,357 3,548,523 2,650,444 1,658,176 815,006 -
dev factor 1.0841 1.0077 1.0054 1.0020 1.0000
Projection 1 2 3 4 5 6
2001 736,246 789,956 806,839 811,749 815,006 815,039
2002 759,788 836,956 837,740 846,427 846,524 846,558
2003 919,622 1,003,906 1,005,865 1,006,583 1,008,619 1,008,659
2004 843,989 917,705 925,331 930,329 932,211 932,248
2005 882,713 942,396 949,633 954,762 956,693 956,732
2006 969,300 1,050,862 1,058,932 1,064,652 1,066,805 1,066,848
IBNR
Back to incremental figures
Projection 1 2 3 4 5 6
2001 736,246 53,710 16,883 4,910 3,258 33
2002 759,788 77,169 784 8,687 97 34
2003 919,622 84,284 1,959 718 2,036 41
2004 843,989 73,716 7,626 4,998 1,882 37
2005 882,713 59,683 7,237 5,129 1,931 38
2006 969,300 81,562 8,070 5,719 2,154 43
Add future inflation to projected numbers
Projection 1 2 3 4 5 6
2001
2002 34.72
2003 2,076.41 43.02
2004 5,096.51 1,995.88 41.35
2005 7,380.79 5,439.58 2,130.23 44.14
2006 83,177.68 8,559.51 6,308.28 2,470.42 51.19
IBNR
Inflation ratio to 31 dec 2016
2001 3% 1.1593877
2002 3% 1.1256191
2003 3% 1.0928341
2004 2% 1.061004
2005 2% 1.0402
2006 4% 1.0198039
2007 4% 1.0198039
2008 4% 1.0605961
2009 4% 1.1030199
2010 4% 1.1471407
2011 4% 1.1930263
reserve
-
34
2,077
6,917
14,336
97,548
120,912 <-Not necessary but interesting to compare
reserve
-
35
2,119
7,134
14,995
100,567
124,850