Econometric Systems of Simultaneous Equations in Life Insurance

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10101055" target="_blank" >RIV/00216208:11320/11:10101055 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Econometric Systems of Simultaneous Equations in Life Insurance

Popis výsledku v původním jazyce

In the present article, we deal with econometric systems of (linear) simultaneous equations. We apply this approach to a dynamic model of relevant relationships within a life insurance company. Concretely, we focus our attention on an econometric analysis of financial flows in a life insurance company operating in the Czech market. We assemble the linear econometric model and estimate its parameters using the usual three-stage least squares method. Selected results will be interpreted from the economicpoint of view. In this context, we also show a possibility of a residual bootstrap procedure which can be very useful here. For example, we construct bootstrap confidence intervals because in this specific situation (we operate with only a short data range) we cannot rely on the classical approximations by the normal distribution.

Název v anglickém jazyce

Econometric Systems of Simultaneous Equations in Life Insurance

Popis výsledku anglicky

In the present article, we deal with econometric systems of (linear) simultaneous equations. We apply this approach to a dynamic model of relevant relationships within a life insurance company. Concretely, we focus our attention on an econometric analysis of financial flows in a life insurance company operating in the Czech market. We assemble the linear econometric model and estimate its parameters using the usual three-stage least squares method. Selected results will be interpreted from the economicpoint of view. In this context, we also show a possibility of a residual bootstrap procedure which can be very useful here. For example, we construct bootstrap confidence intervals because in this specific situation (we operate with only a short data range) we cannot rely on the classical approximations by the normal distribution.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011

ISBN

978-80-7431-058-4

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

236-241

Název nakladatele

Professional Publishing

Místo vydání

Praha

Místo konání akce

Janská Dolina, Slovakia

Datum konání akce

6. 9. 2011

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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