Scenario analysis of non-life technical provisions: The Czech insurance market case study

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329022" target="_blank" >RIV/00216208:11320/16:10329022 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Scenario analysis of non-life technical provisions: The Czech insurance market case study

Original language description

This contribution introduces and discusses a complex econometric model of non-life technical provisions based on the Czech non-life insurance market data. Selected economic-actuarial relations among given insurance variables are described by means of the dynamic linear system of simultaneous equations. In particular, the provision for outstanding claims, the provision for unearned premium, the other (marginal) technical provisions, the acquisition and administrative expenses, the benefit expenses, and their mutual interactions are studied in greater detail. The suggested econometric model is estimated, statistically verified, and interpreted with special regard to the actuarial point of view. The proposed modelling scheme can be further employed for prognosing the considered non-life technical provisions. Particularly, these forecasts can be taken into account by non-life insurance companies in their internal calculations (e.g. for financial planning purposes, for verifying the sufficiency of non-life technical provisions, or for liability adequacy tests LAT) or by an insurance regulator (e.g. for performing stress tests). Alternatively, this approach might motivate development of an internal model applicable in the Solvency II framework. Both deterministic and randomly generated scenarios are analysed; they are capable of delivering relevant outputs for formulating various recommendations and conclusions.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BA - General mathematics

OECD FORD branch

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Project

<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Conference Proceedings MSED 2016

ISBN

978-80-87990-10-0

ISSN

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e-ISSN

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Number of pages

10

Pages from-to

554-563

Publisher name

Löster, T., Pavelka, T. eds.

Place of publication

Prague

Event location

Prague

Event date

Sep 8, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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