2011-10-13Richard Blom, S:t Erik Försäkring1 The Actuary’s View S:t Erik Försäkring AB.

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Presentationens avskrift:

Richard Blom, S:t Erik Försäkring1 The Actuary’s View S:t Erik Försäkring AB

Richard Blom, S:t Erik Försäkring2 Portfolio Signatures PROPERTY

Richard Blom, S:t Erik Försäkring3 Portfolio Signatures SISAB

Richard Blom, S:t Erik Försäkring4 Portfolio Signatures LIABILITY

Richard Blom, S:t Erik Försäkring5 SUMMARY  PREMIUMS (UWY 2011) –PROPERTY: 17.6 mSEK –SISAB:14 mSEK –LIABILITY0.9 mSEK  EXPECTED CLAIMS –PROPERTY: 3.5 mSEK –SISAB:10+ mSEK (approx) (actual losses 6-7 mSEK; trend shift...? ) –LIABILITY0.9- mSEK (approx)  RI Price Ratio –PROPERTY: 5 –SISAB:1+ ≈ –LIABILITY1+ ≈  PROPERTY –Contract Boundary: mSEK (< TSI) –ROL (”2 nd Layer”) : ( )/1 600 = 9 p/m (?...) (cf ”Mässan”, ROL = 0.4 p/m)

Richard Blom, S:t Erik Försäkring6 SUMMARY  PORTFOLIOS –PROPERTY  Moderate volatility (base: severity)  VC s ≈ 1.8  VC fq ≈ 0.15 –SISAB  High volatility (base: frequency)  VC s ≈ 1  VC fq ≈ 0.5  Few, but large claims  Claims mass has declined to more ”normal” levels –ANSVAR  Moderately high volatility (base: severity & frequency)  VC s ≈ 2+  VC fq ≈ 0.25

Richard Blom, S:t Erik Försäkring7 SUMMARY RI Cost - Property

Richard Blom, S:t Erik Försäkring8 SUMMARY RI Cost (TAIL /VaR T) – Property (approx.) VaR T XL ≈ 2 mSEK; STD XL ≈ 7 mSEK

Richard Blom, S:t Erik Försäkring9 SUMMARY RI Cost - Property

Richard Blom, S:t Erik Försäkring10 SUMMARY RI Cost - Property

Richard Blom, S:t Erik Försäkring11 Key Indicators & Claims Data The following Slides is a Summary of some leading Key Indicators and Portfolio Measures

Richard Blom, S:t Erik Försäkring12 Risk Operation S:t Erik – Key Indicators

Richard Blom, S:t Erik Försäkring13 RI Indicators RI Costs (Attacments ”as if”)

Richard Blom, S:t Erik Försäkring14 RI Indicators RI Claims Ratio

Richard Blom, S:t Erik Försäkring15 RI Indicators RI (gross)Profit (-2003: XL/SL ”as if”)

Richard Blom, S:t Erik Försäkring16 Claims Data Claims Mass /year

Richard Blom, S:t Erik Försäkring17 Claims Data Property (excl claims adj costs)

Richard Blom, S:t Erik Försäkring18 Claims Data Property

Richard Blom, S:t Erik Försäkring19 Claims Data Sisab (excl claims adj costs)

Richard Blom, S:t Erik Försäkring20 Claims Data SISAB

Richard Blom, S:t Erik Försäkring21 Claims Data Liability (excl claims adj costs)

Richard Blom, S:t Erik Försäkring22 Claims Data Liability

Richard Blom, S:t Erik Försäkring23 Claims Data FREQUENCIES

Richard Blom, S:t Erik Försäkring24 Claims Data Average Claims

Richard Blom, S:t Erik Försäkring25 Severity Probability of Claim Outcome (single claim) PORTFOLIO / PROPERTY

Richard Blom, S:t Erik Försäkring26 Severity Probability of Claim Outcome (single claim) PORTFOLIO / all LOBs