Calculation of solvency capital requirements for non-life underwriting risk using generalized linear models
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A86094551" target="_blank" >RIV/61989100:27510/17:86094551 - isvavai.cz</a>
Výsledek na webu
<a href="https://www.vse.cz/pep/621?lang=en" target="_blank" >https://www.vse.cz/pep/621?lang=en</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/j.pep.621" target="_blank" >10.18267/j.pep.621</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Calculation of solvency capital requirements for non-life underwriting risk using generalized linear models
Popis výsledku v původním jazyce
The paper presents various GLM models using individual rating factors to calculate the solvency capital requirements for non-life underwriting risk in insurance. First, we consider the potential heterogeneity of claim frequency and the occurrence of large claims in the models. Second, we analyse how the distribution of frequency and severity varies depending on the modelling approach and examine how they are projected into SCR estimates according to the Solvency II Directive. In addition, we show that neglecting of large claims is as consequential as neglecting the heterogeneity of claim frequency. The claim frequency and severity are managed using generalized linear models, that is, negative-binomial and gamma regression. However, the different individual probabilities of large claims are represented by the binomial model and the large claim severity is managed using generalized Pareto distribution. The results are obtained and compared using the simulation of frequency-severity of an actual insurance portfolio.
Název v anglickém jazyce
Calculation of solvency capital requirements for non-life underwriting risk using generalized linear models
Popis výsledku anglicky
The paper presents various GLM models using individual rating factors to calculate the solvency capital requirements for non-life underwriting risk in insurance. First, we consider the potential heterogeneity of claim frequency and the occurrence of large claims in the models. Second, we analyse how the distribution of frequency and severity varies depending on the modelling approach and examine how they are projected into SCR estimates according to the Solvency II Directive. In addition, we show that neglecting of large claims is as consequential as neglecting the heterogeneity of claim frequency. The claim frequency and severity are managed using generalized linear models, that is, negative-binomial and gamma regression. However, the different individual probabilities of large claims are represented by the binomial model and the large claim severity is managed using generalized Pareto distribution. The results are obtained and compared using the simulation of frequency-severity of an actual insurance portfolio.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50202 - Applied Economics, Econometrics
Návaznosti výsledku
Projekt
Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2017
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Prague Economic Papers
ISSN
1210-0455
e-ISSN
—
Svazek periodika
26
Číslo periodika v rámci svazku
4
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
17
Strana od-do
450-466
Kód UT WoS článku
000410716400005
EID výsledku v databázi Scopus
2-s2.0-85028362698