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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

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

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Conference Proceedings MSED 2016

ISBN

978-80-87990-10-0

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

554-563

Název nakladatele

Löster, T., Pavelka, T. eds.

Místo vydání

Prague

Místo konání akce

Prague

Datum konání akce

8. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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