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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10102 - Applied mathematics

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

12

Strana od-do

81-92

Název nakladatele

Technical University of Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

1. 1. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000540987200007