Abstract
An excess loss factor is a measure of expected loss that is in excess of a given per-occurrence limit. The National Council on Compensation Insurance (NCCI) uses excess loss factors in its retrospective rating plan as well as in aggregate and class ratemaking.
NCCI computes annual updates of excess loss factors by state and hazard group for certain limits ranging from $10K to $10M. These annual updates are filed with regulators in 37 NCCI states.
Periodically, NCCI reviews the methodology behind these annual updates. Such a review concluded in 2014 and made significant changes to the methodology used. This paper describes the new methodology and highlights some improvements over prior NCCI methodologies.
Volume
14
Issue
1
Year
2021
Keywords
bayesian statistical model, claim severity distribution, extreme value theory, dispersion, excess loss factor, excess ratio
Publications
Variance
