Notice of RetractionCash Flow Risk Measurement for Chinese Non-life Insurance Industry Based on Estimation of ES and NRR

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

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It is very important to measure cash flow risks for the non-life insurance industry, especially in China. A couple of risk measures named cash flow expected shortfall (ES) and cash flow non-recovery ratio (NRR) are proposed based on several assumptions. Therefore monthly premiums and claims of Chinese insurance industry are fitted by seasonal autoregressive integrated moving average model (SARIMA). Monte Carlo simulation method is applied to generate potential cash outflow and inflow in the next 2 years according to SARIMA model. Finally, cash flow ES and cash flow NRR of the next 2 years are estimated. It is briefly concluded that cash flow ES in the future 2 years is RMB 3-8 billion yuan and cash flow NRR is 3%-13% when expense ratio is between 25% and 35%, which means cash flow of Chinese non-life insurance industry is considerably safe because of adequate buffer asset of 130.1 billion yuan at the end of 2007.