Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study

The study is undertaken with dual aims. The first is to improve loss reserves estimation of the Egyptian general insurance market by applying and comparing the accuracy several actuarial techniques namely, modified Chain Ladder Technique (CLT) that takes the actual past and future inflation rates i...

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Main Author:	Taha, Tarek Abd Elhamid Ahmed
Format:	Thesis
Language:	eng
Published:	2010
Subjects:	HG Finance
Online Access:	https://etd.uum.edu.my/2410/1/Tarek_Abd_Elhamid_Ahmed_Taha.pdf
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spelling	my-uum-etd.24102013-07-24T12:15:54Z Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study 2010 Taha, Tarek Abd Elhamid Ahmed Ibrahim, Yusnidah College of Business (COB) College of Business HG Finance The study is undertaken with dual aims. The first is to improve loss reserves estimation of the Egyptian general insurance market by applying and comparing the accuracy several actuarial techniques namely, modified Chain Ladder Technique (CLT) that takes the actual past and future inflation rates into consideration and use different types of mean to find the development factors, Taylor Separation Technique (TST) and Bornhuetter-Ferguson Technique (BFT) with some modifications. The second aim is to estimate reported loss reserve using cross sectional regression and time series regression techniques. The estimation techniques and forecasting models are evaluated based on an improved error calculation and an error evaluation, which have not being used before in the reserve estimation literature. Data for actuarial reserve estimation techniques is collected from the biggest governmental insurance company's (Misr Insurance Company) internal reports and consists of incremental paid claims within the last six years from 2003/2004 till 2008/2009. As for the forecasting models, the data are taken from both the company under investigation (27 yearly observations) and for the total market (151 yearly observations) for all tested variables. The tested variables include underwriting premiums, paid claim, reinsurance issued premiums,inflation rate, and the investment rate. The results of the study show that CLT that incorporates inflation rates adjustments and time value of money, and uses harmonic mean development factors is the best among all the techniques evaluated in this study. The cross sectional regression results show that only underwriting premium, paid claims and inflation rate are significantly related to the loss reserves, where the relationship is positive for underwriting premium and paid claims, and negative for inflation rate. For all the adopted time series models, the estimations are done by using the reported loss reserves data in fire insurance in the Egyptian market for the period 1981-2007. The series from 1981-2002 were used for the estimations process and the other remaining observations (data from 2003 till 2007) are used to evaluate the models as outside sample data. The models are evaluated based on their accuracy in predicting outside sample data. The study concludes that the best reported loss reserve estimation model in the case of fire insurance segment in Misr Insurance Company is the ARIMA model in all steps-ahead. 2010 Thesis https://etd.uum.edu.my/2410/ https://etd.uum.edu.my/2410/1/Tarek_Abd_Elhamid_Ahmed_Taha.pdf application/pdf eng validuser http://lintas.uum.edu.my:8080/elmu/index.jsp?module=webopac-l&action=fullDisplayRetriever.jsp&szMaterialNo=0000763427 Ph.D. doctoral Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng
advisor	Ibrahim, Yusnidah
topic	HG Finance
spellingShingle	HG Finance Taha, Tarek Abd Elhamid Ahmed Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study
description	The study is undertaken with dual aims. The first is to improve loss reserves estimation of the Egyptian general insurance market by applying and comparing the accuracy several actuarial techniques namely, modified Chain Ladder Technique (CLT) that takes the actual past and future inflation rates into consideration and use different types of mean to find the development factors, Taylor Separation Technique (TST) and Bornhuetter-Ferguson Technique (BFT) with some modifications. The second aim is to estimate reported loss reserve using cross sectional regression and time series regression techniques. The estimation techniques and forecasting models are evaluated based on an improved error calculation and an error evaluation, which have not being used before in the reserve estimation literature. Data for actuarial reserve estimation techniques is collected from the biggest governmental insurance company's (Misr Insurance Company) internal reports and consists of incremental paid claims within the last six years from 2003/2004 till 2008/2009. As for the forecasting models, the data are taken from both the company under investigation (27 yearly observations) and for the total market (151 yearly observations) for all tested variables. The tested variables include underwriting premiums, paid claim, reinsurance issued premiums,inflation rate, and the investment rate. The results of the study show that CLT that incorporates inflation rates adjustments and time value of money, and uses harmonic mean development factors is the best among all the techniques evaluated in this study. The cross sectional regression results show that only underwriting premium, paid claims and inflation rate are significantly related to the loss reserves, where the relationship is positive for underwriting premium and paid claims, and negative for inflation rate. For all the adopted time series models, the estimations are done by using the reported loss reserves data in fire insurance in the Egyptian market for the period 1981-2007. The series from 1981-2002 were used for the estimations process and the other remaining observations (data from 2003 till 2007) are used to evaluate the models as outside sample data. The models are evaluated based on their accuracy in predicting outside sample data. The study concludes that the best reported loss reserve estimation model in the case of fire insurance segment in Misr Insurance Company is the ARIMA model in all steps-ahead.
format	Thesis
qualification_name	Ph.D.
qualification_level	Doctorate
author	Taha, Tarek Abd Elhamid Ahmed
author_facet	Taha, Tarek Abd Elhamid Ahmed
author_sort	Taha, Tarek Abd Elhamid Ahmed
title	Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study
title_short	Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study
title_full	Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study
title_fullStr	Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study
title_full_unstemmed	Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study
title_sort	toward an optimal loss reserves estimation technique for egyption general insurance business - an empirical study
granting_institution	Universiti Utara Malaysia
granting_department	College of Business (COB)
publishDate	2010
url	https://etd.uum.edu.my/2410/1/Tarek_Abd_Elhamid_Ahmed_Taha.pdf
_version_	1747827338719002624

Toward an Optimal Loss Reserves Estimation Technique for Egyption General Insurance Business - An Empirical Study

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