To see the other types of publications on this topic, follow the link: Insurance reserve.
Dissertations / Theses on the topic 'Insurance reserve'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Insurance reserve.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Chen, Huijun. "Automobile insurance claim reserve modeling." Thesis, McGill University, 2013. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=119758.
Full textAbstract:
This thesis describes a model for predicting individual claim losses and estimating the capital reserve for the automobile portfolio of a large Canadian insurance company. Depending on the nature of a claim, its settlement can involve medical costs, rehabilitation costs, income compensation costs, optional coverage costs, and even death benefit coverage. Any combination of these costs can occur, and the dependence between them must be accounted for. To this end, a two-level hierarchical structure is adopted. First, a multinomial logistic model is used to predict the combination of costs associated to a claim. The claim severity is then modeled as a function of this composition. A Log-Normal model is used to predict different types of loss; claimant information, accident information, medical and legal report information serve as explanatory variables. The dependence between medical, rehabilitation and income loss is characterized by a Gumbel copula. A Bayesian framework with Markov Chain Monte Carlo sampling is adopted to estimate jointly the copula regression model parameters. Simulations are carried out to obtain prediction of individual loss, the distribution of total portfolio loss and the capital reserve.Ce mémoire décrit un modèle de prévision des coûts d'indemnisation des particuliers et l'estimation de la réserve de trésorerie du portefeuille automobile d'une grande compagnie d'assurance canadienne. Selon la nature d'une réclamation, son règlement peut comporter des frais médicaux, des frais de réadaptation, une compensation pour perte de revenus, le paiement d'avantages facultatifs, voire même une prestation pour décès. Toute combinaison de ces coûts est susceptible de se produire et leur dépendance doit être prise en compte. Une structure hiérarchique à deux niveaux est adoptée à cet effet. Un modèle logistique multinomial permet d'abord de prédire la structure decoût associée à une réclamation. La gravité des sinistres est ensuite modélisée en fonction de cette structure. Un modèle log-normal permet de prédire divers types de coûts ; des renseignements sur l'assuré, la nature du sinistre, les rapports légaux et médicaux servent de variables explicatives. Une copule de Gumbel caractérise la dépendance entre les frais médicaux, les frais de réhabilitation et la compensation pour perte de revenus. Un cadre bayésien avec échantillonnage par chaîne de Markov Monte-Carlo conduit à une estimation conjointe des paramètres du modèle de régression avec copule. Des simulations permettent de prédire le coût total d'une réclamation ou du portefeuille,ainsi que la réserve de trésorerie.
2
Magee, David Douglas. "Comparative analysis of neural networks and traditional actuarial methods for estimating casualty insurance reserve liability /." Digital version accessible at:, 1999. http://wwwlib.umi.com/cr/utexas/main.
Full text
3
Zimmermann, Pavel. "General Insurance Reserve Risk Modeling Based on Unaggregated Data." Doctoral thesis, Vysoká škola ekonomická v Praze, 2004. http://www.nusl.cz/ntk/nusl-77092.
Full textAbstract:
Recently the eld of actuarial mathematics has experienced a large development due to a signi cant increase of demands for insurance and nancial risk quanti cation due to the fact that the implementation of a complex of rules of international reporting standards (IFRS) and solvency reporting (Solvency II) has started. It appears that the key question for solvency measuring is determination of probability distribution of future cash ows of an insurance company. Solvency is then reported through an appropriate risk measure based e.g. on a percentile of this distribution. While as present popular models are based solely on aggregated data (such as total loss development from a certain time period), the main objective of this work is to scrutinize possibilities of modelling of the reserve risk (i.e. roughly said, the distribution of the ultimate incurred value of claims that have already happened in the past) based directly on individual claims. These models have not yet become popular and to the author's knowledge an overview of such models has not been published previously. The assumptions and speci cation of the already published models were compared to the practical experience and some inadequacies were pointed out. Further more a new reserve risk model was constructed which is believed to have practically more suitable assumptions and properties than the existing models. Theoretical aspects of the new model were studied and distribution of the ultimate incurred value (the modelled variable) was derived. An emphasis was put also on practical aspects of the developed model and its applicability in the case of industrial use. Therefore some restrictive assumptions which might be considered realistic in variety of practical cases and which lead to a signi cant simpli cation of the model were identi ed throughout the work. Furthermore, algorithms to reduce the number of the necessary calculations were developed. In the last chapters of the work, an e ort was devoted to the methods of the estimation of the considered parameters respecting practical limitations (such as missing observations at the time of modelling). For this purpose, survival analysis was (amongst other methods) applied.
4
Moerup, Casper Jacob. "Prediction of claim cost in general insurance." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18176.
Full textAbstract:
Mestrado em Actuarial ScienceO trabalho seguinte foi realizado durante uma colocação de estágio na If Industrial P & C Insurance, em Estocolmo, na Suécia. Este relatório destaca e discute algumas das diferenças entre o seguro industrial e privado e percorre o processo de “Análise do Ano Normal”. A análise avalia os dados das reivindicações com o objetivo de projetar as perdas em um ano no futuro. A Teoria do Risco Colectivo e a Estimação da Máxima Verossimilhança são utilizadas para obter uma estimativa da gravidade das reivindicações. Além disso, as reservas são estimadas usando o método Chain-ladder. A seção final do relatório descreve uma análise de sensibilidade de um modelo para as reservas de ajuste de sinistros. Esta análise mostra o impacto da introdução de dois novos parâmetros, o que explica a parte já desenvolvida das reivindicações abertas.
The following work was carried out during an internship placement at If Industrial P&C Insurance in Stockholm, Sweden. This report highlights and discusses some of the differences between Industrial and Private insurance and walks through the “Normal Year Analysis”-procedure. The analysis assesses the claims data with the goal of projecting the losses one year into the future. Collective Risk Theory and Maximum Likelihood Estimation is used to obtain an estimate of the severity of the claims. In addition, the reserves are estimated, using the Chain-ladder method. The final section of the report describes a sensitivity analysis of a model for the Claims Adjustment Reserves. This analysis shows the impact of introducing two new parameters, which accounts for the already developed part of the open claims.
info:eu-repo/semantics/publishedVersion
5
Chan, Chi-yiu, and 陳志銚. "The application of insurance theory to power system operating reserve market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B3124399X.
Full text
6
Yang, Lin. "Linear robust H-infinity stochastic control theory on the insurance premium-reserve processes." Thesis, University of Liverpool, 2015. http://livrepository.liverpool.ac.uk/2037227/.
Full textAbstract:
This thesis deals with the stability analysis of linear discrete-time premium-reserve (P-R) systems in a stochastic framework. Such systems are characterised by a mixture of the premium pricing process and the medium- and long- term stability in the accumulated reserve (surplus) policy, and they play a key role in the modern actuarial literature. Although the mathematical and practical analysis of P-R systems is well studied and motivated, their stability properties have not been studied thoughtfully and they are restricted in a deterministic framework. In Engineering, during the last three decades, many useful techniques are developed in linear robust control theory. This thesis is the first attempt to use some useful tools from linear robust control theory in order to analyze the stability of these classical insurance systems. Analytically, in this thesis, P-R systems are first formulated with structural properties such that time-varying delays, random disturbance and parameter uncertainties. Then as an extension of the previous literature, the results of stabilization and the robust H-infinity control of P-R systems are modelled in stochastic framework. Meanwhile, the risky investment impact on the P-R system stability condition is shown. In this approach, the potential effects from changes in insurer's investment strategy is discussed. Next we develop regime switching P-R systems to describe the abrupt structural changes in the economic fundamentals as well as the periodic switches in the parameters. The results for the regime switching P-R system are illustrated by means of two different approaches: markovian and arbitrary regime switching systems. Finally, we show how robust guaranteed cost control could be implemented to solve an optimal insurance problem. In each chapter, Linear Matrix Inequality (LMI) sufficient conditions are derived to solve the proposed sub-problems and numerical examples are given to illustrate the applicability of the theoretical findings.
7
Veprauskaite, Elena. "Reserving, reinsurance and earnings management : evidence from the United Kingdom's property-liability insurance market." Thesis, University of Bath, 2013. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.575508.
Full textAbstract:
This thesis examines the joint impact of earnings management incentives (i.e., income smoothing, solvency management and tax management) and reinsurance, together with other institutional factors, on the magnitude and direction of claim (loss) reserves errors in the UK’s property-liability insurance industry. Two reserve error definitions, found in literature, are employed to conduct the analysis. Furthermore, a panel data generalised methods of moments (GMM) estimator is employed to incorporate the dynamic nature of current and past loss reserving errors. Using the GMM estimator in a panel of 151 firms over a period from 1991 and 2005, the study finds support for the conclusions of some prior studies but also inconsistencies with other previous research. The present study finds that the inferences drawn from empirical analyses can be influenced by the definition of loss reserving errors and to some extent how other incentive variables are defined. The results of this study suggest that discretionary loss reserving behaviour tends to persist from one year to another. Therefore, ignoring the dynamic nature of loss reserving errors could lead to biased and unreliable conclusions. The empirical results of this study also find that property-liability insurance managers manipulate claims reserves in order to smooth company’s earnings across accounting periods. Furthermore, empirical evidence is found which indicates that high levels of reinsurance ceded help to reduce the incidence of error in loss reserves. Contrary to expectations, the evidence presented in this thesis suggests that highly solvent insurers under-estimate their claims liabilities. However, no empirical support is found to indicate that insurers over-reserve in order to reduce and/or postpone period tax liabilities. The study also produced mixed results regarding the relation between the type of reinsurance cover used and claim reserve errors. Nevertheless, the empirical results show that firm-specific effects, such as company size and product mix, can have effect on the accuracy of insurers’ reserves. Finally, as this study gives an important insight on discretionary loss reserve manipulation, its conclusions could be of interest and relevance to the business decisions of investors, policyholders, regulators, and other interested parties (e.g., credit rating agencies and accounting standard settlers).
8
Li, R. "Control theory for classes of nonlinear systems with application in insurance premium-reserve model." Thesis, University of Liverpool, 2017. http://livrepository.liverpool.ac.uk/3007605/.
Full text
9
Chigiji, Kudzai. "Determinants of loss reserve errors: evidence from the general insurance market in South Africa." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29083.
Full textAbstract:
A loss reserve is the estimated liability for unpaid claims on all losses that occurred prior to the balance sheet date. The loss reserve is the most significant liability on the balance sheet of a general insurance company, often driving its overall financial performance. The loss reserve is calculated to determine the claims liability for published accounts, internal accounts, statutory accounts, business plans and budgets. It is also required for purposes of pricing and in case of a merger or acquisition. The purpose of the loss reserve can affect the methodology used as well as the extent of over-reserving or under-reserving. Additionally, under-reserving and over-reserving can be driven by the intent to smooth the inome of the general insurer, to mask financial weakness or to defer taxes. This study examines the loss reserve errors in the South African general insurance industry. The study estimates the loss reserve errors using annual firm level data on 79 general insurance companies from 2007 to 2014. The study then proceeds to examine the hypothesised effect of firm level characteristics on the estimated loss reserve errors within a panel data framework. The panel data regression models are estimated using the ordinary least squares technique, the random effects technique and the fixed effects technique. The findings suggest that South African general insurance industry is characterised by over-reserving. Specifcally, approximately two-thirds of the sample reported incidence of over-reserving. The results of the panel data regression analysis indicate that tax shield, financial weakness and premium growth are the significant drivers of reserve errors in the market. Tax shield was found to have a positive relationship with loss reserve errors, whereas financial weakness and growth were found to have an inverse relationship with loss reserve errors. Business line diversification and reinsurance were not found to be significant variables in the model. The management of South African general insurers and regulation of the industry should be directed towards ensuring that general insurers do not manipulate reserves to defer taxes, fund growth through more competitive premiums, or manipulate the perceived financial strength. Additionally, this study identified issues relating to the quality of loss reserve information supplied to the regulator. There is scope for improving the quality and consistency of the loss reserve data supplied to the regulator by the general insurers.
10
Balau, Eunice Alexandra Madeira. "Premiums and reserves in life insurance policies : the worst-case scenario and Solvency II." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7832.
Full textAbstract:
Mestrado em Ciências ActuariaisAs reservas de capital representam um instrumento fundamental no processo de gestão de risco das empresas de seguros, sendo utilizadas no cálculo do capital económico e regulamentar. Como o valor das reservas e dos prémios é fortemente influenciado pelos pressupostos atuariais utilizados, a escolha adequada das bases técnicas é um dos temas de principal interesse para as Companhias de Seguros e para as Entidades Reguladoras. O principal objetivo deste trabalho é o estudo de um método de construção de cenários biométricos para o cálculo de reservas e prémios, adotando uma posição conservadora em relação às bases técnicas de segunda ordem, seguindo a orientação de dois trabalhos fundamentais neste domínio, Christiansen (2010) e Milbrodt and Stracke (1997). Este cenário é determinado através da resolução de um problema de maximização da reserva prospetiva que nos permite definir as bases biométricas de primeira ordem que representam o pior caso do ponto de vista do Segurador. As apólices do ramo vida são descritas pelo modelo Markoviano de estados múltiplos, sendo as reservas prospetivas calculadas recorrendo à equação de Thiele. O novo regime de solvência da União Europeia, Solvência II, também recorre à noção de piores cenários, por forma a quantificar os requisitos de capitais no ramo vida, embora com uma definição diferente. Assim, um objetivo adicional, e também importante, deste trabalho é procurar integrar o método estudado no enquadramento estabelecido pelo projeto Solvência II.
Reserves are a fundamental tool in insurance risk management since they are used to determine the economic or regulatory capital required for insurers to remain solvent. As the values of reserves and premiums are strongly dependent on the actuarial assumptions used, the choice of the adequate elements of the technical basis is a major concern of both regulators and insurance companies. The main purpose of this work is to study a method for the construction of biometric worst-case scenarios that allow premiums and reserves to be on the safe side with respect to given confidence bands for the biometric second-order basis, following the essential works of Christiansen (2010) and Milbrodt and Stracke (1997). This scenario is obtained by solving a maximization problem for the prospective reserve that allows one to find the worst-case biometric valuation basis from the insurer's point of view. In life insurance, policies are often described by the multi-state Markov model of life contingencies and the prospective reserves computed using Thiele's equation. The new solvency regime of the European Union, Solvency II, also uses worst-case scenarios, although constructed in a different way, in order to quantify the solvency capital requirements for life insurance business. Thus, a further important purpose of this thesis is to integrate the method in study under the Solvency II framework.
11
Lindblad, Kalle. "How big is large? : A study of the limit for large insurance claims in case reserves." Thesis, KTH, Matematisk statistik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102795.
Full textAbstract:
A company issuing an insurance will provide, in return for a monetary premium, acceptance of the liability to make certain payments to the insured person or company if some beforehand specified event occurs. There will always be a delay between occurrence of this event and actual payment from the insurance company. It is therefore necessary for the company to put aside money for this liability. This money is called the reserve. When a claim is reported, a claim handler will make an estimate of how much the company will have to pay to the claimant. This amount is booked as a liability. This type of reserve is called; "case reserve". When making the estimate, the claim handler has the option of giving the claim a standard reserve or a manual reserve. A standard reserve is a statistically calculated amount based on historical claim costs. This type of reserve is more often used in small claims. A manual reserve is a reserve subjectively decided by the claim handler. This type of reserve is more often used in large claims. This thesis propose a theory to model and calculate an optimal limit above which a claim should be considered large. An application of the method is also applied to some different types of claims.
12
Nečas, Dalibor. "Koncept životního pojištění s dobročinnou složkou." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-16971.
Full textAbstract:
Author comes with a new product concept, which extends the current offering of life insurance. He wants to encourage a target group of potential customers who are not satisfied with ordinary life insurance products to enter into life insurance. The reason is an effort to prevent people from economic consequences of population aging. The new life insurance product is based on a specific use of profit shares from life insurance premium reserve in a form of charitable component. For insurance companies the new product represents an opportunity to cooperate with non-commercial charitable subjects especially in the area of marketing. On the other hand the charities obtain by this cooperation a long-term income for their activities.
13
Khoza, Bongani Terrence. "An evaluation and discussion of a deposit insurance system: Should South Africa adopt such a system?" University of Western Cape, 2020. http://hdl.handle.net/11394/7581.
Full textAbstract:
Magister Legum - LLMThe research will evaluate and discuss the importance of Deposit Insurance Systems (DIS) and the necessity of having this system. Important to the evaluation is an analytical consideration of how the South African Reserve Bank (SARB), the National Treasury (NT) and other global financial bodies proposed the approach thereof. Insofar as most jurisdictions had already adopted the DIS as encouraged by the international financial institutions, the study shall determine whether it is plausible for South Africa to derive guidance in her approach taking into account the potential risks posed by the safety-net.
14
Pousinho, André Pereira. "Pagamentos de sinistros." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6559.
Full textAbstract:
Mestrado em Decisão Económica e EmpresarialEm 2013, ano internacional da estatística, é elaborada esta dissertação que relaciona o cálculo atuarial com a área da estatística. Partindo das vantagens e desvantagens de métodos como os Modelos Lineares Generalizados, é pretendido elucidar e estabelecer uma ligação entre as necessidades das empresas seguradoras e os estudos efetuados para o provisionamento da reserva para sinistros. Para a aplicação dos Modelos Lineares Generalizados no cálculo de provisões técnicas para sinistros é utilizada a distribuição Tweedie, pertencente à família de dispersão exponencial. Em estudos como este, esta distribuição apresenta uma boa flexibilidade de ajustamento aos dados, permitindo obter estimativas com melhor rigor.
In 2013, the international year of statistics, this paper is developed to connect the actuarial calculation with the field of statistics. Starting with the advantages and disadvantages of methods like the Generalized Linear Models, it is intended to clarify and establish a link between the needs of insurance companies and studies carried out for the provisioning of claims outstanding reserve. The Tweedie distribution belongs to the family from exponential dispersion and it is used for the implementation of Generalized Linear Models in the calculation of claims technical provisions. In researches like these, this distribution has a good flexibility in the adjustment to data, allowing us to get estimations with better accuracy.
15
Cassa, Ivy. "Natureza jurídica da reserva matemática nos planos de previdência privada aberta." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/2/2132/tde-11022015-135457/.
Full textAbstract:
O presente trabalho tem por objetivo o estudo da natureza jurídica do saldo de conta (aqui designado como reserva matemática) de que o participante é titular durante a fase de acumulação de um plano de Contribuição Variável de entidade aberta de previdência privada. O tema foi desenvolvido à luz do Direito do Seguro, por meio do confronto dos elementos jurídicos e técnicos dos contratos de seguros privados com os dos contratos previdenciários privados, e ainda levando em consideração a evolução dos produtos de previdência privada e seguros no contexto do bancassurance. Dada a escassez de literatura nacional específica sobre o tema, o estudo foi realizado com o suporte do Direito Comparado.The present work aims to study the legal nature of \"account balance\" (herein referred as \"mathematical reserves\") that the participant holds during the accumulation phase of a variable contribution retirement plan. The subject was developed according to Insurance Law, by confronting the legal and technical elements of private insurance contracts with retirement plan contracts, and considering the evolution of retirement plans and insurance products in the context of bancassurance. Given the lack of specific literature on this subject in Brazil, this study was conducted with the support of Comparative Law.
16
Vild, Jiří. "Technické rezervy v neživotním pojištění." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-19197.
Full textAbstract:
One of the main and crucial activities of an insurance company is to determine amount of technical reserves to be generated. If the insurance company performs in the non-life insurance branch, it focuses first of all on loss reserve which is generated to settle debts coming from insurance claims. To set the proper amount of this reserve, especially of the reserve on incurred but not reported losses (IBNR), mathematical and statistical methods are used. This thesis introduces one of the most used methods which is the chain ladder method. It presents the first chain ladder deterministic model then moves to its stochastic extension in a form of Mack's model and finally gets to the Munich chain ladder model, which takes into calculations not only data on losses paid but also losses incurred. In the theoretical part both these models (standard Mack's chain ladder and Munich chain ladder) are presented both separately and in a common context so that later in the analytical section they could be demonstrated on real data.
17
Sklenářová, Markéta. "Jednotné sazby pojistného životního pojištění pro muže a ženy." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-198838.
Full textAbstract:
The task of the thesis is to determine the effects of legislative changes in the area of life insurance in force since 21 December 2012. Legislative change concerns approach to calculating premiums for life insurance. According to the new provisions of the previous procedure considered sexually discriminatory and gender effect had to be removed. The thesis is focused on examining the impact of the new approach to actuarial calculations. First introduces the reader to the general features of life insurance premium calculation for the derivation of individual life insurance products and determining the amount of the reserve. The practical examples show how to change premiums and reserves for men and women at different ages. Regression analysis is then examined whether the age of the insured may have an impact on the amount of the reserve. This thesis presents the possible consequences in access regardless of sex as insurance premiums, and especially on the reserve, which is the main component of capital insurance.
18
Špilínková, Magda. "Finanční analýza komerční pojišťovny." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75859.
Full textAbstract:
The subject of the diploma thesis is financial analysis of commercial insurance company. The diploma thesis is separated into two parts - theoretical and practical. The theoretical part describes financial analysis in general - users of information, sources of information, methods of financial analysis and then the attention is aimed to the specificity of insurance companies - accounting statements, methods and special ratios of financial analysis. The practical part is focused on the financial analysis of concrete insurance company.
19
Mácová, Petra. "Výkaz zisku a ztráty v sektoru pojišťoven v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-200187.
Full textAbstract:
The graduation thesis aims to specify and define, with respect to the Czech legislation, the profit and loss statement of the insurance companies and those items of revenues and expenses that are specific for the insurance companies. The thesis deals with the principal characteristics of the revenues and the expenses of the insurance companies as well as with the matter whether insurance companies can in any means influence their management result. It also focuses on the field of the insurance security -- what is the insurance security in the Czech Republic in relation to the European Union, and on the quantity limits of the profit and loss statement, in the Czech insurance sector. It also assesses the efficiency of the local insurance companies in relation to this, what is the share of the earned premium when taking in account the insurance claims, the operating costs and the management result. The graduation thesis came to the conclusion that an insurance company can quite easily influence its accounting management result and therefore it is necessary for the company to respect the relevant accounting measures. Furthermore, the Czech Republic in comparison to the other EU countries indicates relatively low level of insurance security. With respect to the efficiency it is possible to conclude (in relation to the year 2012 and the local insurance companies) that the earned premium comprises of more that 60% of the claimed damages, 30% of the operating costs and 10% of the earned premium represents the net profit.
20
Lisková, Kateřina. "Finanční analýza pojišťovny Allianz." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-9636.
Full textAbstract:
The subject of the diploma thesis is financial analysis of a selected commercial insurance company from the year 2004 to 2008. The analysis is performed on the basis of publicly available data from the insurance company's web site. The chapter following the introduction is focused on theoretical aspects of financial analysis of an insurance company. The methods of financial analysis, especially the indicators used in insurance industry are introduced in the third charter. The fourth chapter is operative, in which the analysis is realized by means of selected indices, described in the theoretical part. The conlusion sums up the results and finding of the thesis.
21
Гайдабрус, Богдан Володимирович, Богдан Владимирович Гайдабрус, Bohdan Volodymyrovych Haidabrus, and О. А. Чуприй. "Информационные технологии управления страховыми ресурсами проектов энергетического машиностроения." Thesis, Сумский государственный университет, 2014. http://essuir.sumdu.edu.ua/handle/123456789/39174.
Full textAbstract:
В современных условиях жесткой конкуренции при реализации проектов на машиностроительных предприятиях возникает необходимость сокращения сроков и затрат производства изделий за счет применения современных информационных технологий (ИТ) и риск-ориентированного подхода. При создании сложных проектов существуют неопределенности в финансовых показателях, финансовом росте и контроле, что в дальнейшем приводит к отклонениям от ожидаемых результатов.
22
Kuang, Di. "The chain ladder method and its extensions for forecasting reserves in general insurance." Thesis, University of Oxford, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.531972.
Full text
23
Egelius, Eric, and Anna Methander. "Evaluation of the Variance in the Premium Provision Estimate : Handling Inhomogeneous and Decreasing Risk in Premium Provision Purposes." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184554.
Full textAbstract:
The costs related to events of losses within non-life insurance are stochastic and a prerequisite of running a successful insurance business is to predict risks and future costs. From both a business- and regulatory perspective, it is of high interest to have a genuine understanding of the precision and the sensitivity of the estimated costs and future risks. This thesis aims to provide an alternative procedure of how to estimate the costs related to the future and, above all, the variance, in the case of dealing with inhomogeneous and decreasing risk. The procedure is based on a separate modeling of the claim frequency and the claim severity, that later can be combined to yield a total cost distribution for a determined time period. The claim severities are modeled based on a parametric and a non-parametric approach and the claim frequencies are modeled with the resampling method bootstrap and by the use of scenarios. The thesis is made in collaboration with the insurance company, Anticimex Insurance, who has contributed with the data as well as expert knowledge related to the actuarial field. The results of the thesis show that the procedure is successful for evaluating estimated total costs distributions and their first and second moments, even in the case of inhomogeneous and decreasing risk.Kostnader som uppkommer på grund av skador inom skadeförsäkring är stokasiska och en förusättning för att kunna bedriva ett framgångsrikt försäkringsbolag är att kunna prediktera risk och framtida kostnader. Utifrån ett såväl försäkrings- som reglatoriskt perspektiv är det av stor vikt att ha en gedigen förståelse av både precisionen och känsligheten i de skattade estimaten. Denna uppsats syftar till att ta fram ett alternativt tillvägagångssätt till hur kostnader relaterade till framtiden ska predikteras, med fokus på att utvärdera variationen i estimaten, vid fallet av en inhomogen och avtagande risk. Tillvägagångssättet bygger på en uppdelning mellan antalet skador och kostnaden för skador, vilka modelleras separat för att sedan kombineras och ge en totalkostnadsfördelning för den avsedda tidsperioden. De historiska kostnaderna modelleras utifrån ett parametriskt- och ett ickeparametriskt tillvägagångssätt. Skadefrekvensen modelleras med hjälp av bland annat samplingsmetoden bootstrap samt genom användandet av scenarier. Uppsatsen görs i samarbete med skadeförsäkringsbolaget, Anticimex Försäkringar, vilka har bidragit med data och expertkunskap inom det aktuariella området. Arbetets resultat visar att det föreslagna tillvägagångssättet är en framgångsrik strategi för att utvärdera de första två momenten av de predikterade totalkostnadsfördelningarna, även vid fallet av en inhomogen och avtagande risk.
24
Šimánek, Petr. "Životní pojištění jako spořící nástroj v ČR a jeho porovnání s vybranými produkty podobného charakteru." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-166000.
Full textAbstract:
This thesis is concerned with the options of the choice of the appropriate way for citizens to save or invest their financial means in order to prepare for the era of the postproductive age -- retirement. It is obvious that a significant drop of income occurs after the end of the productive period of life. The pensions are not sufficient for maintaining a certain level of living and that is why it is important to prepare for this postproductive period in advance and to create financial reserves. The current financial market offers the citizens a variety of means and options to not only appropriately save their financial means but to take interest from them as well. The thesis characterizes individual saving or investment products while focusing on their safety, the possibility of interest and basic advantages and disadvantages. Life insurance is mentioned in the first place, though it does not offer a high profit, it provides insurance security unlike other possibilities and it definitely should not be overlooked. The thesis also briefly deals with several changes concerning the pensions system since 1.1.2013.
25
Похилько, Світлана Василівна, Светлана Васильевна Похилько, Svitlana Vasylivna Pokhylko, and Т. Ю. Стьоба. "Управління дохідністю страхових організацій." Thesis, Сумський державний університет, 2019. https://essuir.sumdu.edu.ua/handle/123456789/77574.
Full textAbstract:
Джерелом здійснення інвестицій у страхових організацій є страхові
резерви, які представляють собою фонди грошових коштів, утворені страховими
організаціями для забезпечення гарантій виплат страхового відшкодування.
Незважаючи на те, що основним джерелом доходів страхових організацій
вважаються страхові платежі, що надходять за договорами страхування та
перестрахування не варто недооцінювати дохід від інвестування страхових
резервів, який безпосередньо не пов'язаних зі страхуванням, та обумовлених
специфікою діяльності.
26
Vaniš, Tomáš. "Finanční analýza pojišťovny Slavie." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-136254.
Full textAbstract:
This thesis is devoted to the financial analysis of insurance company Slavia in 2008 - 2011. At first it deals with general financial analysis used for non-financial companies. After that it mentions differences in the management of insurance companies from other companies and characterizes the field of insurance industry and risks, which carries insurance company. The thesis also uses the methodology applied for the insurance industry by agency Standard & Poor's. After a short introduction of insurance company it takes a turn the analysis of the development of the Czech insurance market at non-life insurance field. Finally, it comes itself application of the methodology of financial analysis adjusted for specifics in insurance industry.
27
Guimarães, Sérgio Rangel. "Fundamentação técnica e atuarial dos seguros de vida : um estudo comparativo entre o seguro de vida individual e o seguro de vida em grupo no Brasil." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2003. http://hdl.handle.net/10183/3227.
Full textAbstract:
A indústria de seguros é uma atividade econômica relativamente jovem, possuindo raízes na revolução industrial. O desenvolvimento dessa indústria ocorreu de forma bastante intensa durante o século passado, quando a atividade passou a ser inserida na área de gestão de riscos. As Companhias de Seguros que trabalham nesse ambiente de negócio fundamentam todo o processo de precificação dos seus produtos em rígidas bases técnicas e atuariais. O presente trabalho dedica-se ao estudo dessas questões, abordando especificamente os seguros de vida, com ênfase à cobertura de morte. A pesquisa tem por objetivo comparar duas modalidades distintas de seguros que são ofertadas ao mercado: o seguro de vida individual e o seguro de vida em grupo. Embora ofereçam aos consumidores coberturas bastante similares, ambas as modalidades devem obedecer a requisitos e princípios técnicos diferenciados por parte das instituições que fazem a sua gestão.The insurance industry is a relatively young economic activity; its bases are found in the industrial revolution. The development of such industry occurred in a very intense way in the last century, when the activity started being placed in the area of management of risks. The insurance companies that work in this business environment base the whole pricing process of their products on rigid technical and actuarial bases. The present work aims at studying these questions, focusing on the life insurance, with emphasis on the death coverage. The research intends to explore and compare two distinct modalities of insurance that are offered to the market: the individual life insurance and the group life insurance. Even though they offer similar coverage, they must fulfill requirements and different technical principles ruled by the institutions which are responsible for their management.
28
Lahodná, Veronika. "Probelamtika zdanění v pojišťovnictví." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-191485.
Full textAbstract:
The topic of this diploma thesis is the taxation issue in insurance which represents the specific sector of economy. The insurance helps people to deal with the financial consequencies of the realization of the random event. The first part of the thesis consists of taxation matter from the insurance company point of view. The main part focuses on the technical reserves which are the largest part of the liabilities. Consequently the attention is turned to the clients of the insurance companies and their employers In this part it is suitable to present the taxation principles of the natural person, the taxation of indemnity and the advantages resulting from the life insurance. The next chapter deals with the possible future developement and with the present situation on the insurance market. The thesis is completed with a practical example which concentrates on the taxation in 3 predefined situations.
29
Yucal, Elif. "Profitability study of the annuities of EY-Insurance." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11279.
Full textAbstract:
Mestrado em Ciências ActuariaisEste trabalho procura analisar a rentabilidade obtida com a venda de anuidades e produtos anuais renováveis, na seguradora Vida onde decorreu o estágio. As questões relacionadas com os desvios observados na mortalidade e a necessidade de encontrar um modelo de sobrevivência mais ajustado à experiência da companhia foram aspetos de crucial importância. Procurou assim encontrar-se bases técnicas mais adequadas para o cálculo de prémios e reservas, tanto para os produtos já em comercialização, como para novos produtos que venham a ser lançados, pois também a taxa de juro e as despesas foram afloradas, ainda que brevemente. Por motivos de confidencialidade de dados, procedeu-se a uma distorção dos valores reais. Isto não teve obviamente qualquer consequência do ponto de vista das metodologias e técnicas aplicadas no estudo. Estavam disponíveis dados para um período de quatro anos, na sua maioria relativos a rendas imediatas e rendas imediatas reversíveis. Com base nisso, foi possível detetar que a tábua de mortalidade mais adequada será 108.95% da GKF95, o que talvez permita eliminar a maior parte dos desvios. Em complemento, foi ainda feita uma análise de sensibilidade, com diferentes cenários, para se estudar o efeito sobre o nível das reservas das diferentes possibilidades consideradas. Um exercício final de profit testing revelou que as responsabilidades continuam insuficientemente cobertas, pelo que trabalho adicional é necessário para resolver o problema.
This study aims to evaluate the profitability of the life annuities in the insurance company where the internship took place by concentrating on finding the best mortality table for the company portfolio to quote the price for the new annuity businesses and reserving for the ones already sold. The project is based on real data that was intentionally transformed for the purpose of this text because of confidentiality reasons. The distortion conceals reality in an appropriate manner and has obviously no effects on the methodologies applied. Data concerns immediate and immediate reversible life annuities for four years, since these products comprise the most significant part of the company population of policy holders. The best mortality table for this data is 108.95% of GKF95 table, by least square fitting. In order to forecast the future mortality, the Gompertz-Makeham mortality model was applied and there were no systematic evolution through time for the future mortality. A Sensitivity analysis was performed to show the effects of different scenarios on mathematical reserving. Finally, a profit testing revealed that the technical bases for the annuities are not enough to cover the liabilities. 108.95% of GKF 95 table can be assumed as the initial table and 104.29% of GKF 95 table can be assumed to hold extra reserve, in order to guarantee an adequate mathematical reserve.
30
Dosedělová, Radka. "Finanční analýza pojišťovny Kooperativa." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15495.
Full textAbstract:
The subject of the diploma thesis is a financial analysis of a commercial insurance company for the period from the year 2004 to 2008. The financial analysis is produced on the basis of publicly available data. The first part of the diploma thesis is focused on theoretical aspects of financial analysis of an insurance company, specific activities of insurance companies and indicators used in the financial analysis of insurance company. The second part of the diploma thesis is a practical part, where financial analysis of selected company is realized by means and indicators described in the teoretical part. The conclusion sums up the results and findings of the thesis.
31
Šištíková, Markéta. "Výpočet pojistného a zajistného v rámci životního pojištění." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-198197.
Full textAbstract:
This thesis deals with actuarial methods that are used for life insurance and reinsurance, for traditional insurance products (whole life, term insurance, pure endowment, endowment, whole life annuity, temporary annuity). The main goal of this thesis is to outline the actuarial methods used for life insurance premium and reinsurance premium. The work is focused on the comparison of the unisex rates, gender specific rates and legislation changes for both sides, insurance company and policyholder. The model examples for each combination of insurance type and gender specific rates (male, female and unisex) are presented.In the last part of the thesis, the time series of the written premium for the Czech Republic market are analyzed for years from 2006 to 2013. The regression model is used to predict the development in next two years.
32
Knotková, Miroslava. "Problematika finančního umístění v komerčních pojišťovnách dle české úpravy a dle IFRS." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-16523.
Full textAbstract:
This document mainly deals with financial placing of an insurance company. First it wrote about insurance and next about assets of insurance company generally. After it wrote about financial placing in commercial insurance company according to Czech law and according to IFRS. It includes also a practical example , how to change from czech law to IFRS influenced balance-sheet of an insurance company.
33
Costa, Jorge Andrade. "O valor preditivo do resultado líquido contábil, dos accruals e do fluxo de caixa operacional das empresas do mercado segurador brasileiro." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-08062015-163820/.
Full textAbstract:
O objetivo principal desta tese foi de verificar se as variáveis contábeis resultado líquido contábil, os accruals e os fluxos de caixa operacionais divulgados (FCOs) possuem capacidade de prever fluxos de caixa operacionais das empresas do mercado segurador brasileiro reguladas pela Susep. Adicionalmente foi verificado qual das três variáveis contábeis foi a mais eficiente na previsão, bem como se os accruals conseguem incrementar a capacidade preditiva dos FCOs. Foram analisadas 2.876 demonstrações contábeis semestrais divulgadas por 200 empresas relativas ao período iniciado em 30 de junho de 2005 e terminado em 31 de dezembro de 2013. A base de dados é original. As empresas foram segregadas em cinco segmentos (seguradoras, resseguradoras, sociedades de capitalização, entidades abertas de previdência complementar sem fins lucrativos (EAPCs) e empresas de vida e previdência), em função de suas especificidades. Foram realizadas análises descritivas e análise de dados em painel para verificar a relação existente entre as variáveis. Percebeu-se que as entradas e saídas de caixa provenientes das aplicações financeiras das empresas (resgates e aplicações) são alocadas na Demonstração dos Fluxos de Caixa (DFC) como atividades operacionais e não como de investimentos. Diante deste fato, os procedimentos estatísticos aplicados aos FCOs também foram aplicados aos fluxos de caixa operacionais modificados (MODs), os quais contemplam a reclassificação das movimentações das aplicações financeiras das atividades operacionais para as atividades de investimentos da DFC. A finalidade de também testar o MOD foi de verificar se o mesmo é mais adequado do que o atualmente divulgado (FCO) e se há melhora na sua capacidade preditiva. Os resultados da previsão dos FCOs mostram que as seguintes variáveis contábeis possuem capacidade de prever FCOs do período subsequente, em cada segmento: (a) as três variáveis, nas empresas de vida e previdência e nas seguradoras; (b) o resultado líquido contábil e o FCO, nas resseguradoras; (c) o resultado líquido contábil, nas sociedades de capitalização; e (d) nenhuma variável contábil, nas EAPCs. Os resultados mostram que somente nas empresas de vida e previdência os accruals incrementam a capacidade preditiva do FCO. Quanto ao preditor mais eficiente, os resultados apresentados apontam que o resultado líquido contábil foi mais eficiente nas resseguradoras e nas sociedades de capitalização e os accruals foram mais eficientes nas seguradoras e nas empresas de vida e previdência. A análise dos resultados dos MODs mostram, para cada segmento: (a) quais variáveis possuem capacidade de prever MOD no período subsequente; (b) qual variável foi mais eficiente para prever MOD; e (c) se os accruals incrementam a capacidade preditiva de MOD. Conclui-se que, apesar de distintos resultados entre os segmentos, as variáveis contábeis possuem capacidade preditiva, confirmando entendimentos do FASB e do IASB de que a informação contábil é relevante, pois é capaz de fazer a diferença nas decisões tomadas pelos usuários. Adicionalmente é entendimento do autor desta tese de que as entradas e saídas de caixa proveniente das aplicações financeiras dessas empresas deveriam ser alocadas nas atividades de investimento da DFC.The main objective of this dissertation was to verify if the accounting variables: earnings, accruals and operating cash flows (FCOs) have the capacity to predict operating cash flows of the companies of the Brazilian insurance market regulated by SUSEP. Additionally, was checked which of the 3 (three) accounting variables was most efficient in the forecast and if the accruals can help to increase the predictive ability of FCOs. 2.876 financial statements were analyzed that were released by 200 companies for the semiannual period beginning on June 30, 2005 and ended December 31, 2013. The database is original. The companies were separated by 5 (five) segments (insurers, reinsurers, capitalization companies, not for profit open private pension entities (EAPCs) and life and pension companies), according to their specificities. Descriptive analysis and panel data analysis were performed to verify relationship between the variables. It was noticed that the cash inflows and outflows from financial investments companies (redemptions and applications) are allocated in the Statements of Cash Flows (DFC) as operating activities and not as investing. Due to this fact, the statistical procedures applied at the FCOs were also applied at modified operating cash flows (MODs), which include the reclassification of movement of financial investments of operating activities for the investing activities of DFC. The purpose to also test the MOD was to verify if it is more appropriate than the currently released (FCO) and if there is any improvement in their predictive ability. The results of FCOs forecasts show that the following accounting variables have the ability to predict FCOs of the subsequent period, in each segment: (a) the 3 (three) variables in the life and pension companies and insurers; (b) the earnings and the FCO in reinsurers; (c) the earnings in capitalization companies; and (d) none of the accounting variables in EAPCs. The results show only in life and pension companies the accruals increment the predictive ability of FCO. As the most efficient predictor, the results show that the earnings was more efficient for reinsurers and the capitalization companies and accruals were more efficient in insurance and in life and pension companies. The results of MODs show, for each segment: (a) which variables have the ability to predict MOD in the subsequent period; (b) which variable was more efficient to predict MOD; and (c) if the accruals increment the predictive ability of MOD. It follows that, although different results between the segments, the accounting variables have predictive ability, confirming understanding of the FASB and IASB that the accounting information is relevant, because it can make a difference in the decisions made by users. Additionally it is the understanding of the author of this dissertation that the cash inflows and outflows from financial investments of these companies should be allocated in investing activities of DFC.
34
Vaňková, Markéta. "Finanční analýza Hasičské vzájemné pojišťovny." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-18816.
Full textAbstract:
The subject of the diploma thesis is financial analysis of Fire Mutual Insurance Company from the year 2004 to 2008. The thesis consists of two parts- theoretical part and practical part. The theoretical part describes acceptable methods of financial analysis of commercial insurance company. On the basis of specific activities of insurance companies are selected the typical indicators for insurance company. The practical part of the thesis is focused on the application of selected methods of financial analysis for the Fire Mutual Insurance Company.
35
Lemos, Alice Loureiro Leocádio Botelho de. "A study on Thiele's Differential Equation." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7975.
Full textAbstract:
Mestrado em Ciências ActuariaisThorvald Nicolai Thiele foi um importante investigador dinamarquês. Entre os seus contributos, destaca-se em particular o facto de ter provado que para um seguro de vida inteira com benefício de valor 1, emitido sobre uma pessoa e pago imediatamente após a morte, as reservas prospetivas satisfazem uma equação diferencial linear: a chamada equação diferencial de Thiele. De um modo mais geral, as equações diferenciais de Thiele são um sistema diferencial linear de equações que descrevem a dinâmica das reservas nos seguros de vida e pensões em tempo contínuo. Este texto tem como principal objetivo rever de forma tão completa quanto possível as contribuições relacionadas com a equação de Thiele que foram surgindo ao longo do tempo, dando assim o presente estado de arte deste relevante tópico. Começando por fazer uma revisão breve do essencial da matemática atuarial avança depois para a derivação da equação de Thiele, considerando os dois modelos de mortalidade, o clássico e o de múltiplos estados, sobre uma pessoa e sobre várias pessoas. Algumas ilustrações, para vários tipos de contrato, são seguidamente introduzidas. Dos desenvolvimentos conhecidos, dá-se especial destaque às generalizações da equação diferencial que incluem um processo estocástico de pagamentos e um processo de difusão para a taxa de juro. Apresenta-se também o uso da equação como ferramenta para o desenvolvimento de produtos de seguro de vida e descreve-se uma generalização da equação diferencial para uma carteira fechada de seguros. A última parte do trabalho faz um resumo de outros contributos relacionados com a equação.
Thiele's differential equation has a long history, dating back to an unpublished note of Thiele, 1875. Thorvald Nicolai Thiele was a Danish researcher who worked as an actuary, astronomer, mathematician and statistician. He proved that for a whole life assurance of a single individual with benefit of amount 1, payable immediately on death, the prospective reserve satisfies a certain linear differential equation, which is extremely useful for the understanding of reality: Thiele's differential equation. In a more general framework, Thiele's differential equations for the prospective reserve are a linear system of differential equations describing the dynamics of reserves in life and pension insurance in continuous time. This text has the main purpose of reviewing in a comprehensive way the contributions related to Thiele's equation that appeared over time, presenting the status of the art on this important topic. A revision of life insurance mathematics is first and then Thiele?s differential equation is derived under the classical and multiple state model of human mortality for one life and for multiple lives After this, some illustrations are presented under different types of contracts. Following the developments in the literature, more general differential equations are obtained, including a stochastic payment process and a diffusion process for interest rate. The technique of using Thiele's differential equation as a tool for life insurance product development and the generalization of the equation for a closed insurance portfolio are also discussed. Finally, other developments are summarised.
36
Chen, Ying, and 陳穎. "Foreign Exchange Valuation Reserve of Insurance Company." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/2s53hb.
Full textAbstract:
碩士國立政治大學
風險管理與保險學系
107
The purpose of this paper is to analyze the volatility of surplus when using foreign exchange valuation reserve system. By using Monte-Carol method to simulate foreign exchange rate and setting different hedging cost ratio and exposure ratio, this paper measures the distribution of surplus with and without the system. The result shows, the volatility of surplus with the system is lower than that without system in every portfolio of hedging cost ratio and exposure ratio in each year. Meanwhile, the higher the fixed deposit ratio and additional deposit/withdraw ratio is, the more the scope of the volatility of surplus could decrease. Moreover, the result also indicates that using the system may help reduce hedging cost. When focusing on the same hedging cost ratio, the surplus with the system could be the same as the surplus without the system, but with more exposure ratio. However, the higher the hedging cost ratio is, the less the degree of exposure may be increased when using the system.
37
SIE, Ya-wun, and 謝雅雯. "Stochastic Reserve For Participating Whole Life Insurance Policies." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/09015296768009037192.
Full textAbstract:
碩士逢甲大學
統計與精算所
96
This paper discusses methods for calculating stochastic reserves for participating whole life policies. Two dynamic processes, the equity performance and the yield curve, are adopted to model the financial risk factors stochastically. A cash flow model is established by including actuarial assumptions, for instance, dividend payment, mortality, lapse, commissions and expenses. This study demonstrates how to determine different CTE-level stochastic reserves under stochastic interest rate and cash flow models. In order to find the suitable CTE-level, the difference of stochastic reserves between cash surrender value and statutory reserve is compared. Furthermore, CTE-65 is recommended for calculating stochastic reserve competently.
38
LIU, NAI-YU, and 劉乃瑜. "Investment Evaluation Framework of Military Personnel Insurance Reserve." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/ppb5m9.
Full textAbstract:
碩士國防大學
財務管理學系
106
In recent years, military insurance has faced a crisis of bankruptcy. Therefore, it is an urgent task for military insurance to seek a investment targets that can increase revenue. Mutual funds have developed rapidly and have played an important role in the financial market. To assist fund managers in performance management and to help investors select outstanding performance mutual funds, this study employs a two-stage network data envelopment analysis model to evaluate the decision-making quality and capital magnet efficiencies of 155 equity mutual funds which is registered in Taiwan over the period 2007-2016. In addition, this study also combines different efficiency combinations with cluster analysis and multidimensional scaling to discuss the competitive advantage of mutual funds. The empirical results show that the mutual funds environment is highly competition, though fund managers had already improved their decision quality but capital magnet efficiency still decline. By using benchmark analysis, this paper finds out that there are 10 mutual funds perform outstanding in decision-making quality and capital magnet efficiencies which can provide practical suggestions to investors. Finally, this study construct a market competition matrix to help fund managers and military insurance improve their operating performance, resource allocation, and portfolio.
39
Lee, Cheng-Yi, and 李政益. "Fair Value in Policy Reserve of Life Insurance." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/468876.
Full textAbstract:
碩士東吳大學
商用數學系
96
The trends of insurance supervision and accounting develop toward “Fair- Value” and “Total Balance Sheet Approach”, to increase the transparency of insurance contract, for stockholder ,supervisor ,and policyholder ,the information of business operation is available. While the fair value of liability in insurance contract ,to insurance corporation, is the foundation of valuation and solvency. No matter Solvency II in EU or IAIS, develop a globe framework actively with the core of fair value, and the concept of economic capital (EC). The purpose of this paper is using direct method for the fair value of reserve in life insurance , adopting the definition of fair value ,and assuming that risk-fee rate is SETAR model.
40
Huang, Shun-Chi, and 黃舜琪. "The Impacts of Reserve for Stability on Life Insurance in Taiwan—Asset Valuation Reserve & Foreign Exchange Valuation Reserve." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/55244333618589529591.
Full textAbstract:
碩士臺灣大學
財務金融學研究所
98
As time goes by, the supervision mechanism of life insurance has been involving for years in the United States of America and the Europe which have their own systems and developments. As the Europe has deeply focused on their supervision mechanism of life insurance, Solvency II, we have to adjust ours which follows the supervisory concept from America. We should concentrate on not only the trend of involving international accounting principles but also the reasonability of the logic of the supervision mechanism. Adapting the concepts of asset valuation reserve form America and foreign exchange valuation reserve from Japan in order to support the short-term volatility from security-related assets and foreign exchange, we hope to meet the goals which are to moderate the surplus and to steady operation of life insurance companies. Besides, this study would like to bring up the suggestion of the supervision mechanism of life insurance in Taiwan. In order to observing the volatility of key items, such as surplus, we establish one structured dynamic model including asset model, allocation model, liability model to simulate TSEC weighted index, 1- month Fed fund rate, and generate the simulated balance sheet with 360 months. The result said that the mechanisms of asset valuation reserve and foreign exchange reserve do smooth the volatility of surplus, income statement, gains or losses in security-related asset and exchange. However, if we would like to find an acceptable smoothing effect, the items of reserving rates should be adjusted to match each other.
41
Wang, Sheng-Yuan, and 王聖元. "The Effects of Portfolio Insurance applied to Entire Reserve." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/56794132503193184479.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
97
The issue of retirement, whether in society or economy, is increasing to be a huge problem with the trends of economic developing and population aging. How Government and individuals can do for preparing sufficient retire reserves with retire policies, benefit policies and personal retire plans will be both the government and individuals must to face to seriously. The major purpose of pension is to ensure the retired person keep the daily life. Measuring how much reserve must be prepared and planning how to use modern financial tools to meet the financial goal are importantly core subjects. The common consensus of retire reserves includes the social insurances, corporate pensions and personal preparing. We will discuss the present labor retire policies and generalize some recommendations based on this subject and labor pension policy. These recommendations focus on how to apply the portfolio insurance policy for preparing retire reserves and evaluate their effects. These recommendations will be the reference for individual retirement preparation at this stage.
42
Lin, Pei Shin, and 林佩欣. "Loss Reserve Manipulation in the P/L Insurance Industry." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/55752951783018304884.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
95
Previous researches have shown that P/L insurers may manipulate their loss reserves for various purposes, including income smoothing, taxes minimization, as well as rates regulation. However, some major legal amendments of solvency regulation and the enactment of risk based capital requirement in 1994 have driven the P/L insurance industry to takes some actions in response. One of the typical examples is that insurers often amend their loss reserves in order to meet regulatory requirement which is never considered by previous studies. In this study, we investigate how risk-based capital requirement may affect the loss reserves manipulation by P/L insurers. Besides, we also examine whether IBNR reserves are the sources of claim manipulation. Instead of traditional method of conditional mean model, we employ conditional quantile regression in this study because it is a more robust method when the distribution of loss reserving error is found to be highly skewed. Our evidence find the main manipulate motivation of loss reserving error is relate to tax minimization under traditional mean model. However, we discover that the principal motives of loss reserving error for upper quantiles are earning smooth and tax minimization, and for lower quantiles is related to solvency regulation by using quantile regression method. Finally, our evidence shows that both IBNR and case reserves are the sources of claim manipulation whether we utilize ordinary least square or quantile regression method.
43
Wu, Chia-Chi, and 吳家琦. "A Study of Stochastic Reserve for Increasing Whole Life Insurance." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/36261569023588628180.
Full textAbstract:
碩士逢甲大學
統計與精算所
96
The purpose of this paper is to discuss the relationships among stochastic reserves, cash surrender values, policy values and statutory reserves for Taiwan and to observe the pattern of stochastic reserves that are calculated by different Conditional tail expectation (CTE) risk level for increasing whole life policy. In recent years, insurance products have been designed to be more complex than in the past. Traditional methods for determining reserves for policies can not be applied to some products. Therefore, using Principle-based Approach (PBA) to calculate reserves for those products may be more adequate than using the current method. This paper takes increasing whole life insurance as an example to produce its stochastic reserves under the PBA and the statutory reserves for Taiwan. This paper generates cash flow model and uses simulation to project the future income from investment of the increasing whole life insurance. The 10,000 scenarios of U.S Treasury yield curve, generated by the American Academy of Actuaries, are used in the determination of the path of interest rate movements of the cash flow model. The final conclusion of this paper is that the statutory reserve is sufficient for increasing whole life insurance. Therefore, there is no necessary to use the stochastic reserves.
44
葉韋宏. "The Empirical Analysis of Life Insurance Premium Reserve Estimation Models." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/93164948531216141776.
Full text
45
Huang, Yinghua, and 黃英華. "New Long-term Fire Insurance Premium and Unearned Premium Reserve Research." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/29399566346844803031.
Full text
46
Hu, Ming-Yi, and 胡明憶. "The Study on Foreign Exchange Valuation Reserve for Life Insurance Companies." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/11835647651543539223.
Full textAbstract:
碩士國立中央大學
財務金融學系
104
Since Financial Supervisory Commission in Taiwan has gradually broadened the limit on percentage of investment in foreign countries, insurance companies increase their capital in foreign diversified investments in order that the return can be higher than the actuarial assumption of interest rate. However, these investment behaviors expose the exchange risk, and it is important for insurance companies to establish the exchange rate risk management. To avoid the fluctuation of income and value of companies by the exchange rate, in addition to hedging, insurance companies can amortize the foreign exchange valuation reserve in case of the appreciation of New Taiwan dollars. In this thesis, ten-year U.S. treasury yield is modeled by the interest model developed by American Academy of Actuaries (AAA), the S&P500 index is modeled by the equity model developed by the Casualty Actuarial Society and the Society of Actuaries (CAS-SoA) and the exchange rate is modeled by the Brownian motion . The stochastic cash flow testing shows that the assets’ scenarios offered by Taiwan Insurance Institute (TII) are more optimistic than AAA and CAS-SoA model, so the CTE65 (conditional tail expectation) of TII is highest. Besides, the amortization of foreign exchange valuation reserve need to be accorded with the amount of foreign investment and its risk so that the system of the reserve can be put into effect.
47
Zhuang, Bei-Fen, and 莊蓓芬. "Loss reserve management in Property and Casualty insurance: an analysis of demutualization." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/36791337596971243754.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
100
This article examining why mutual insurers to demutualization and investigates what are the benefit certain mutual insurers undergo this organizational structure change. This article focus on how the loss reserve management affect the probability of demutualization and how manager manipulates loss reserve. By examining the company’s financial ratios to know the insurance company’s operating conditions and loss reserves’ difference between the pre-demutualization and post-demutualization. Determinants of the demutualization decision are search through logistic regression, data from 175 U.S. property-liability insurance company. In the year before conversion, we find (1) manager over-estimates loss reserves to reduce value allocated to policyholders, support for the wealth expropriation hypothesis. (2) we also find the financial constrain of mutuals increase the chance of demutualization, support the access to capital hypothesis.
48
Li, Meei Rong, and 李美容. "A Study on the Unearned Premium Reserve of Long-term Fire Insurance." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/36619776083829023035.
Full text
49
Wang, Wen-Yao. "Essays on Banking Crises and Deposit Insurance." 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2932.
Full textAbstract:
My research focuses on the reasons for banking crises and the corresponding policy rules
that could help prevent such crises. This abstract briefly reviews the two essays in my
dissertation. The first essay focuses on the optimal mechanism design of the deposit
insurance system while the second essay studies the impact of international illiquidity on
domestic banking crises.
The Recent Deposit Insurance Reform in the U.S. raised the coverage limit for
certain types of deposits. In chapter II, I study the optimal coverage limit in a model of
deposit insurance in the banking system. Because of the coverage limit, depositors have
incentives to monitor the bank’s risk-taking behavior, threatening banks with the
withdrawal of deposits if necessary. The model includes risk-taking banks,
heterogeneous depositors, and a benevolent insurance company providing deposit
insurance. I find that partial coverage combined with risk-sensitive premia in the
presence of capital requirements can improve social welfare and manage banks’ risktaking
behavior. Moreover, when a partial coverage limit is in place, banks are better off
by finding a balance between the higher premia and the depositors’ monitoring and
withdrawals.
Unlike chapter II, chapter III focuses on the role played by international
illiquidity. I build a dynamic general equilibrium model (DGEM) of a small, open
economy. The features I include in the model are nontrivial demands for fiat currencies,
unanticipated sunspots, and financial/banking crises originated by sudden stops of foreign capital inflows are. This chapter gives us a better understanding of the
performance of alternative exchange rate regimes and associated monetary policies
under a simple setup. I show the existence of multiple equilibria that may be ranked
based on the presence of binding information constraints and on welfare. Moreover, I
show that a strong connection of the scope for existence and for indeterminacy of
equilibria with the underlying policy regime. I also find that the presence of binding
multiple reserve requirements help in reducing the scope for financial fragility and panic
equilibria.
50
Su, Shiao-Ting, and 蘇小婷. "Executive Compensation and Loss Reserve Manipulation in the Property and Liability Insurance Industry." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/71701623198173654370.
Full textAbstract:
碩士國立中正大學
財務金融所
96
The equity-based compensations induce an incentive to manipulate loss reserves for maximizing manager’s self-interested benefit. We analyze whether the equity-based compensations raise the problem of manager’s self-interested benefit by manage loss reserves. The first purpose in this study investigates the relationship between compensation structure of insurance firm’s executive and behavior of loss reserves manipulation. Second, we examine the CEOs’ manipulation actions to proposal the manager’s self-interested hypothesis. Final, we look into whether the manager’s self-interested effect dominates the income smooth and tax shield benefits. In addition, we construct the incentive power ratio. The optimal incentive power ratio expresses that the amount of equity-based compensation should be limited when managers already have substantial in-the-money option holdings. Empirical results show that the action of exercising options affects the insurers’ behaviors in dealing with loss reserves accruals. Managers estimate loss reserves downward when they are going to exercising their options. However, we can’t identify that the incentive index effect is existence. In the end, we investigate if managers’ self -interested motives and earning smooth effect is coexist, nevertheless, empirical results can not support our hypothesis.