Regulatory capital requirement for supplementary health insurance: a solvency perspective
| dc.contributor.author | Han, Xiao | |
| dc.contributor.examiningcommittee | Pai, Jeffrey (Warren Centre for Actuarial Studies and Research) Muthukumarana, Saman (Statistics) | en_US |
| dc.contributor.supervisor | Hao, Xuemiao (Warren Centre for Actuarial Studies and Research) | en_US |
| dc.date.accessioned | 2020-01-13T19:29:25Z | |
| dc.date.available | 2020-01-13T19:29:25Z | |
| dc.date.issued | 2019-12 | en_US |
| dc.date.submitted | 2019-12-23T02:41:30Z | en |
| dc.date.submitted | 2020-01-10T21:07:20Z | en |
| dc.degree.discipline | Management | en_US |
| dc.degree.level | Master of Science (M.Sc.) | en_US |
| dc.description.abstract | This thesis investigates how a solvency regulatory capital requirement, like that in Solvency Ⅱ, affects the risk load of a supplementary health insurance product. Motivated by a credit risk model, we introduce a static structural model in which the latent variable represents an individual's severity of a certain illness. In this model, we include the effects on an individual's health from common shock, systematic risk and idiosyncratic risk. We derive the asymptotic distribution of the aggregate supplementary health claims, based on which the minimum risk load can be calculated in order to meet the solvency regulatory capital requirement. The main contributions of this thesis are first proposing an appropriate model for the aggregate supplementary health claims, and then finding the lower bound of the risk load from the solvency perspective. | en_US |
| dc.description.note | February 2020 | en_US |
| dc.identifier.uri | http://hdl.handle.net/1993/34496 | |
| dc.language.iso | eng | en_US |
| dc.rights | open access | en_US |
| dc.subject | Supplementary health insurance | en_US |
| dc.title | Regulatory capital requirement for supplementary health insurance: a solvency perspective | en_US |
| dc.type | master thesis | en_US |