Solvency II QIS4 Additional national guidance to the technical specification concerning Polish market parameters for proxies

Transcription

1 Polish Financial Supervision Authority Solvency II QIS4 Additional national guidance to the technical specification concerning Polish maret parameters for proxies In QIS4 insurance undertaings may use proxies to determine technical provisions after fulfilling defined conditions. This document presents the methodology of determining the proxy parameters as well as their values for Polish maret. Calculations were based on the Polish maret data which are available in the PFSA (the Polish Financial Supervision Authority databases. The parameters are prepared for the following proxies: 1. Maret development pattern proxy, 2. Frequency-Severity proxy, 3. Ris margin proxy, 4. Factor-based claims-handling-costs proxy. For the purpose of the estimation of the values of parameters for proxies 1, 2, 4, the analysis uses historical aggregated insurance data which are provided to the PFSA by non-life insurance undertaings in additional annual financial and statistical reports of insurance undertaings for the years -26 (seven periods in the reporting form information on claims according to the year of loss occurrence. Figure 1. Input data in form of a run-off triangle Years of loss development ( Details Y, Y,1 Y,2 Y,3 Y,4 Y,5 Y,6 21 Y 21, Y 21,1 Y 21,2 Y 21,3 Y 21,4 Y 21,5 22 Y 22, Y 22,1 Y 22,2 Y 22,3 Y 22,4 23 Y 23, Y 23,1 Y 23,2 Y 23,3 24 Y 24, Y 24,1 Y 24,2 Years of loss occurrence (i 25 Y 25, Y 25,1 26 Y 26, where: O Gross paid claims, excluding returns, recourses and recoveries (reporting form 12.2, point I for losses incurred in the year i and paid in year i+, R Returns, recourses and recoveries included in the gross paid claims from the technical account (reporting form 12.2, point II for losses incurred in the year i and received in year i+, K Claims settlement costs (reporting form 12.2, point I (1b for losses incurred in the year i and paid in year i+, - 1 -

2 Number of losses incurred in the year i and paid in year i+ (reporting form 12.2, point I, 1. Maret development pattern proxy The lin ratios ξ for the amount of gross claims for the each insurance class in non-life insurance are determined according to Chain-adder method: ξ ( ( O R ( O R, 5; Table 1. Estimated values of lin ratios for the amount of gross claims. Class 1 in ratios ξ Frequency-Severity proxy The lin ratios for the number of losses ξ is calculated as follows: ξ , 5; Table 2. Estimated values of lin ratios for the number of losses. Class in ratios ξ Classes of insurance according to the Polish law: Act of 22 May 23 on insurance activity

3 Class in ratios ξ Average value of the loss paid X is calculated as follows: i ( O R K 26 X. 26 i Table 3. Average value of the gross loss paid [PN]. Class oss

4 3. Ris margin proxy Ris margin proxy parameters have been determined on the basis of data provided to the PFSA by the non-life insurance undertaings which participated in QIS3. Parameters have been determined for the each line of business defined in QIS4 technical specification. Calculation: For each insurance company and for each line of business the following ratio was created: CoC margin Best Estimate, where i insurance company, ob then for each line of business the global average and median were determined. Table 4. The amount of average and median for each line of business Number of ine of business firms with Average available Median EU data Worers Compensation % Health Insurance % 3.59% 6% Accident & Health % 4.45% 12% Motor liability % 5.42% 13% Motor other % 1.85% 4% MAT % 6.5% 1% Fire & Other % 2.36% 6% 3rd party iability % 6.27% 14% Credit & suretyship % 3.66% 9% egal expenses % 1.18% 5% Assistance %.74% 6% Miscellaneous % 4.7% 15% Non-proportional reinsurance.property % Non-proportional reinsurance.casualty % Non-proportional reinsurance.mat % 4. Factor-based claims-handling-costs proxy The average ratio of claims settlement costs in relation to total gross claims paid is calculated as follows: i ( O R K i K κ. Table 5. Ratio of claims settlement costs in relation to total gross claims paid. Class Ratio % % % % - 4 -

5 Class Ratio % % % % 9 8.2% % % % % % % - 5 -