  The study deals with the assessment of risk measures for Health Plans in
order to assess the Solvency Capital Requirement. For the estimation of the
individual health care expenditure for several episode types, we suggest an
original approach based on a three-part regression model. We propose three
Generalized Linear Models (GLM) to assess claim counts, the allocation of each
claim to a specific episode and the severity average expenditures respectively.
One of the main practical advantages of our proposal is the reduction of the
regression models compared to a traditional approach, where several two-part
models for each episode types are requested. As most health plans require
co-payments or co-insurance, considering at this stage the non-linearity
condition of the reimbursement function, we adopt a Montecarlo simulation to
assess the health plan costs. The simulation approach provides the probability
distribution of the Net Asset Value of the Health Plan and the estimate of
several risk measures.
