Τιμολόγηση και φερεγγυότητα σύνθετων συμβολαίων ασφάλισης ζωής
Pricing and reserving for composite life insurance policies
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Subject
Ασφάλιση -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Ασφάλεια ζωήςAbstract
In this paper we discuss the modeling of the requirements of composite life insurance policies, depending on the prevailing economic conditions and the Gross Domestic Product. The net premium and the necessary capital reserves are calculated in accordance with the requirements of the directive Solvency II and the Swiss Solvency Test. Our data regarding the United States of America are derived from the Federal Reserve of Economic Data and the American Council of Life Insurers. In our study we will include economic cycles given that during an economic crisis the losses can be devastating. The prediction of the frequency and the magnitude of the recessions in made through a Markov regime switching model, while the estimation of this model is performed using Bayesian methods. At the same time, the future claim amounts are predicted through a transfer function model, where the explanatory variable is the Gross Domestic Product. Finally, the calculation of the net premium and the required capital is achieved through the use of predictive distributions. The results of our study showed that, although rare, the economic crisis places a significant burden on the initial reserves and therefore it should be seriously taken into account in their calculation.