Μέθοδοι αποθεματοποίησης γενικών ασφαλειών : σύγκριση των micro και των macro προσεγγίσεων
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ΑσφάλισηAbstract
In order to meet future liabilities, general insurance companies must set up reserves, in
accordance with EU's directive Solvency II. Therefore, it is very important to predict future
cash flows reliably, using appropriate actuarial loss reserving methods. In general, most
methods are based on aggregated run-off triangles and present several important
disadvantages. However, new method called "micro-level" method has been recently
proposed, which take advantage of the detailed historical data set of the insurance companies,
instead of relying exclusively on aggregated data. Thus, by fitting these detailed data to
appropriately selected statistical models, the new method could provide the actuary with more
detailed and valuable reserve calculations.
In this thesis, the "micro-level" loss reserving method is presented and compared with the
conventional aggregate run-off triangles. After justifying the need for more precise reserve
calculations, conventional chain ladder techniques, the Bornhuetter-Ferguson method and
generalized linear reserving methods are presented. Moreover, the recently proposed "microlevel"
method is presented. Finally, the advantages of the new method are demonstrated
through computer simulations using the well known statistics package R.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
106Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές