Econometric Modelling of the MTPL Insurance Losses in Russia

Motor third party liability insurance (MTPL) is a property insurance policy that applies to all vehicles owners in the Russian Federation. The specifics of the insurance companies' activities, which are conditioned by the legislatively established criteria for the formation of insurance tariffs, determine the need to ensure an effective underwriting policy. This fact determines the special social and economic importance of MTPL insurance and the importance of the current study. This paper is devoted to the analysis of total MTPL payments in Russia at the industry level and at the level of a large insurance company's contract portfolio. In order to study the dynamics of development of the MTPL insurance market in Russia, different types of time series models have been built and the best model for forecasting has been determined. In order to ensure underwriting and adjust the existing insurance rates in accordance with the actual loss ratio, a statistical and actuarial analysis of the MTPL insurance company's contract portfolio was carried out. The scoring card method proposed in this paper for the analysis of the contract portfolio, which makes it possible to identify potentially "highly loss-making" insurers, is a new contribution to the statistical and actuarial analysis of MTPL insurance claims.