Αποθεματοποίηση ζημιών με βάση τη θεωρία αξιοπιστίας και εφαρμογές στο Solvency II

Μαθιόπουλος, Αλέξανδρος

Loss reserving based on credibility theory with applications to Solvency II

Master Thesis

Author

Μαθιόπουλος, Αλέξανδρος

Date

2016

Abstract

Loss Reserving is an important process for insurance companies. The aim of Loss Reserving is to provide the necessary funds must have insurance in order to cover any future claims from insurance risks that have already occurred. The aim of this work is the presentation and analysis of Loss Reserving methods based on credibility theory and applications in Solvency II, for Non - Life insurance. In order to create reserves, an insurance company must have at its disposal historical loss data for the widest range of years. Also it should be able to calculate the Technical Reserves of the portfolio at any time. The main and most widespread Loss Reserving methods are the Chain Ladder and Bornhuetter - Ferguson. In recent years, however, several insurance companies use stochastic claim reserving models. A summary of the claims reserves, premiums and claims created by the creation of an insurance contract presented with reference to the deterministic Claim Reserving methods like Chain Ladder, Bornhuetter - Ferguson, Expected Loss Ratio and Benktander - Hovinen. Moreover for each of the aforementioned methods a calculation of the reserves presented. Further to the above, a reference to stochastic Claim Reserving methods and more specifically for the models as presented and analyzed by Mack based on the Chain Ladder method, and De Vylder. Finally, presented the Solvency II regime for insurance companies. First is a summary of the new directive, then follows a presentation to the three pillars that constitute it and the main articles of it. Finally, presented the Non - Life UW risk and the calculation of the Solvency Capital Requirements.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/9868

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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