Credibility Modelling for Extreme Losses of Natural Hazards in the Czech Republic: An Acturaioal Approach

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24310%2F19%3A00007119" target="_blank" >RIV/46747885:24310/19:00007119 - 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

Credibility Modelling for Extreme Losses of Natural Hazards in the Czech Republic: An Acturaioal Approach

Original language description

Credibility theory is an actuarial approach that is used to calculate insurance premiums. The aim of this article is: to calculate the credibility premium based on real data collected from non-life Czech insurance industry. The Czech insurance market is affected badly by the natural hazards which in many cases have high losses. In this research an empirical study is carried out to calculate the credibility premiums during the period from 2006 to 2018. The past data are collected from Czech nonlife insurance market taking into consideration the amount of three highest risks areas and the number of extreme losses in each area. Bühlmann and Bühlmann-Straub credibility models are used to estimate the net credible premium for the following year as a linear function of the prior claims and the number of extreme losses. This multivariate model allows to estimate the conditional mean square error of prediction for the credibility predictor of the ultimate claim. The three areas of natural hazards under study will be analyzed and the credible premium in each area will be estimated. Taking into consideration the number of extreme losses, the results of this paper can be a good guidance to the Czech insurance industry in the case of occurring of extreme losses in natural hazards.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

10102 - Applied mathematics

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2019

Confidentiality

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

Article name in the collection

Liberec Economic Forum. Proceedings of the 14th International Conference.

ISBN

978-80-7494-482-6

ISSN

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e-ISSN

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Number of pages

12

Pages from-to

81-92

Publisher name

Technical University of Liberec

Place of publication

Liberec

Event location

Liberec

Event date

Jan 1, 2019

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000540987200007