Econometric model 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%2F17%3A10365024" target="_blank" >RIV/00216208:11320/17:10365024 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1007/s13385-017-0148-0" target="_blank" >http://dx.doi.org/10.1007/s13385-017-0148-0</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s13385-017-0148-0" target="_blank" >10.1007/s13385-017-0148-0</a>

Result language

angličtina

Original language name

Econometric model of non-life technical provisions: the Czech insurance market case study

Original language description

The paper introduces and discusses a complex econometric model of nonlife 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 used in econometrics. 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 detail. The suggested simultaneous equations 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, such forecasts can be taken into account by non-life insurance companies in their internal calculations (e.g. for financial planning purposes, for testing the sufficiency of non-life technical provisions, or for liability adequacy tests LAT) or by an insurance regulator or supervisory authority (e.g. for performing stress tests). Alternatively, this approach might motivate development of internal models applicable in the Solvency II framework. Both deterministic and randomly generated scenarios are analysed which can deliver relevant outputs for formulating crucial recommendations and conclusions.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

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

2017

Confidentiality

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

Name of the periodical

European Actuarial Journal

ISSN

2190-9733

e-ISSN

—

Volume of the periodical

7/2017

Issue of the periodical within the volume

1

Country of publishing house

CH - SWITZERLAND

Number of pages

20

Pages from-to

257-276

UT code for WoS article

000406907700010

EID of the result in the Scopus database

2-s2.0-85020673839