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  #1  
Old 01-13-2006, 09:25 AM
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Default Underwriting Year to Accident Year

I have some data given to me by UW Year that needs to be by AY. If my UW Year goes from 9/97 to 9/98, do I give a 1/3 of the weight to AY97 and 2/3 to AY98 or do I need to give 1/18 weight to AY97, 13/18 to AY98 and 4/18 to AY99?
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  #2  
Old 01-13-2006, 09:40 AM
joeorez joeorez is offline
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Default Underwriting Year Losses

Let's assume everything happens in the beginning of each policy month (the alternative is to assume it happens on the midpoint of the month), and that everything is uniform by month. Let's assume we are doing twelve month policies, and we are not worrying about months with 30 days, etc.

The first policy is written on 9/1/97 and expires 8/30/98. The last policy is written 8/30/98 and expires 8/29/99. This is a period of 24 months for accidents to occur. Assuming uniformity etc., 4 of those 24 months belong to accident year 1997, 12 belong to accident year 1998, and 8 belong to accident year 1999.

So I would allocate the underwriting year losses by accident year 4/24, 12/24, and 8/24.
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Old 01-13-2006, 10:11 AM
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If you were drawing this, would it look like a big rectangle instead of a paralellogram?
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Old 01-13-2006, 10:37 AM
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Your use of the term "underwriting year" makes me wonder if you are talking reinsurance. Joeorez has given you a way to turn Policy Year Written Premium into Accident Year Written Premium. This may not be what you are looking for. Confirm whether this is reinsurance or primary insurance.
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Old 01-13-2006, 10:44 AM
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It's quota share assumed reinsurance
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Old 01-13-2006, 10:48 AM
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Quote:
Originally Posted by Just Another Student
It's quota share assumed reinsurance
Okay, so it's a little different.

First of all, joeorez said something about allocating losses from UY to AY. I would assume that you have losses by accident year, but not premium. You were just trying to allocate the premium, right?
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Old 01-13-2006, 10:59 AM
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I'm talking about losses. I have a report that looks something like this...

QS Treaty --- CY Paid Loss
A - 2002 U/Y --- 500
A - 2003 U/Y --- 750
A - 2004 U/Y --- 800

B - 9/97 UY --- 150,000
B - 9/98 UY --- 10,000

I'm supposed to change these into accident year losses.
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Old 01-13-2006, 11:11 AM
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Quote:
Originally Posted by Just Another Student
I'm talking about losses. I have a report that looks something like this...

QS Treaty --- CY Paid Loss
A - 2002 U/Y --- 500
A - 2003 U/Y --- 750
A - 2004 U/Y --- 800

B - 9/97 UY --- 150,000
B - 9/98 UY --- 10,000

I'm supposed to change these into accident year losses.
Here are some questions you should probably answer:

1. Are we just looking at two treaties here, treaties A and B?
2. If this is an aggregate of many treaties, are the treaty effective dates uniform throughout the year, or do most of them renew at, say 1/1/ or 7/1?
3. Are the treaties risks-attaching or losses-occuring?
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Old 01-13-2006, 11:23 AM
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I'm looking at two different treaties that were renewed a couple of times. A starts on 1/1 and B starts on 9/1. I think they're loss-occurring.
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Old 01-13-2006, 11:52 AM
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Quote:
Originally Posted by Just Another Student
I'm looking at two different treaties that were renewed a couple of times. A starts on 1/1 and B starts on 9/1. I think they're loss-occurring.
1. If you have just the two treaties on a loss-occurring basis, then you are pretty much set. The diagram looks like a rectangle not a parallelogram*. Your first option of UY 9/1/1997-9/1/1998 getting allocated 1/3 to AY 1997 and 2/3 to AY 1998 is correct. With loss-occurring, your Underwriting period is an Accident period.

2. One more thing: what's the deal with Calendar Year? I'm guessing that for each UY you have Paid Losses for multiple CY's. I'm not sure what I would do for UY 9/1/1997 losses paid in CY 1997. Should they all go into AY 1997? I'm guessing you don't have any data like this, since the 1997 CY would probably be over before the first bordereau from UY 9/1997 even came in. But I don't know. But other than such considerations, I would use the allocation in part 1 above. There might be some argument about using development factors for allocation of losses in the tail, though. I've never seen an allocation of UY losses to AY; it's usually premium that needs to be converted.

3. BTW, is this a long-tailed line? You don't need to give too much away.

* For all you geometers out there, yes, I do know that a rectangle is a right-angled parallelogram.
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