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NCCI ELF’s Considerations for Reinsurers

NCCI ELF’s Considerations for Reinsurers. Bob Giambo Swiss Re America Seminar on Reinsurance June 2005. Introduction . Reinsurers need to keep in mind that the NCCI analysis: is a detailed study of WC size-of-loss distribution;

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NCCI ELF’s Considerations for Reinsurers

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  1. NCCI ELF’sConsiderations for Reinsurers Bob Giambo Swiss Re America Seminar on Reinsurance June 2005

  2. Introduction • Reinsurers need to keep in mind that the NCCI analysis: • is a detailed study of WC size-of-loss distribution; • but that reinsurance pricing is not necessarily the primary driver of the analysis; • the model assumptions and structure needs to be reexamined based on information available to each reinsurer and the business being reinsured. Bob Giambo - Swiss Re America WC ELF's Seminar on Reinsurance 2005

  3. Things to Consider:ELF’s by Class • Derive ELF’s by class rather than hazard group: • ELF’s by class for facultative business may be necessary; • Need to determine injury group weights by class with some kind of credibility procedure. Bob Giambo - Swiss Re America WC ELF's Seminar on Reinsurance 2005

  4. Things to Consider:Loss Development • Different loss development assumptions: • tail factor from last NCCI data point • does the implied excess loss development factor embedded in NCCI workfactor make sense? Bob Giambo - Swiss Re America WC ELF's Seminar on Reinsurance 2005

  5. Things to Consider:Development CV • What is the “correct” loss development CV? • can one test from individual claim development triangles? • how does it compare to CV implied in life-time payment claims? • what is sensitivity to inflation assumptions? • be aware of interaction between CV and excess loss development. Bob Giambo - Swiss Re America WC ELF's Seminar on Reinsurance 2005

  6. Things to Consider:Independent Analysis • Get special data runs from NCCI and perform independent analysis (Schedule Z data). Bob Giambo - Swiss Re America WC ELF's Seminar on Reinsurance 2005

  7. Things to Consider:Other • Alternative credibility procedure by state. • Alternative adjustment for per claimant to per occurrence coverage: • Consider separately models for “industrial catastrophes” • Rember ELF does not include cat load and has .003 load for losses between 10M and 50M. Bob Giambo - Swiss Re America WC ELF's Seminar on Reinsurance 2005

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