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Journal articles on the topic 'Insurance reserve'
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1
ARIASIH, MADE PUTRI, KETUT JAYANEGARA, I. NYOMAN WIDANA, and I. PUTU EKA N. KENCANA. "PENENTUAN CADANGAN PREMI UNTUK ASURANSI PENDIDIKAN." E-Jurnal Matematika 4, no. 1 (January 30, 2015): 14. http://dx.doi.org/10.24843/mtk.2015.v04.i01.p082.
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This aims of this research is determine the insurance premium reserve for education with retrospective calculations and determine the premium reserves who acquired during the period of guarantee for insurance education. This research observes the premium reserve for persons aged 40 years with a coverage period of 17 years. The secondary data used is an education insurance data product from the insurance company that issued the insurance product. Premium reserve is determined by using the retrospective calculation, the calculation using the annuity value, net single premium value, net annual premiums, the value of net monthly premium, CSO 1980 mortality and fixed interest rate at 9%. Retrospective calculations produce a faster value backup and sequentially in each year. The results showed that the premium reserve with retrospective calculation should be close up to the cash price owned by insurance company and must be the same at the end of the insurance period is Rp 7.000.000,00.
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Bachyurah, Bachyurah, Ikhsan Maulidi, Intan Syahrini, and Nurmaulidar Nurmaulidar. "ANALISIS CADANGAN MANFAAT DENGAN MENGGUNAKAN METODE RETROSPEKTIF PADA ASURANSI JIWA BERJANGKA." STATMAT : JURNAL STATISTIKA DAN MATEMATIKA 2, no. 1 (January 30, 2020): 1. http://dx.doi.org/10.32493/sm.v2i1.3884.
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The insurance company is a company that protects its customers from unwanted events in the future. A life insurance company should prepare a benefit reserve funds to be given to customers if the customers experience a risk of death in the future. Therefore, the insurance company must manage the benefit reserves so that the company does not have a loss. The purposes of this study are to calculate both the amount of annual net premiums and the amount of benefit reserves in term life insurance. The method used to calculate the value of the benefit reserve was a retrospective method. The results of the calculation of annual net premiums for large annual premiums for expenditures that are greater than those greater for the same period. While the value of insurance reserves will continue to increase at the beginning of the insurance contract begins and the value of insurance reserves will continue to increase towards 0 at the end of the insurance contract. This is because at the beginning of the company insurance payments obtained from annual net premium payments will be greater than the amount of benefits that must be approved.
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Daryanto, Wiwiek Mardawiyah, and Wawan Rahardianto. "Measuring the Financial Health Performance of Life Insurance Company in Indonesia: Case Study During the Period of Before and After the Implementation of Peraturan Otoritas Jasa Keuangan, Nomor 71 /Pojk.05/2016." International Journal of Business Studies 3, no. 2 (December 18, 2019): 64–71. http://dx.doi.org/10.32924/ijbs.v3i2.125.
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Insurance is simply a risk management by transferring the risk of potential loss to an insurance company. By allowing risk to be spread among a large group of people, everyone will take benefits from insurance. Therefore, selecting strong insurance company is important to make sure that your sum assured or claim will be paid according to the policy term and condition. This research aims to measure, analyze, and compare the financial health performance of public listed life insurance companies in Indonesia namely PT Prudential Life Assurance (PLA) and PT AIA Financial (AIA) from 2013 to 2018 (temporary unaudited) by using 5 financial health aspects such as Solvability Level, Technical Reserve, Investment Adequacy, Equity and Guarantee Fund as regulate by The Financial Services Authority (Otoritas Jasa Keuangan – OJK) through POJK No.71/POJK.05/2016. This research is using descriptive analysis and paired t-test to validate the differences of financial aspects during the period of before (2013-2015) and after (2016-2018) the regulation issued. The results of this study show that PLA was performing the best for solvability level, equity and guarantee fund. And PLA must enhance the performance strategy for technical reserve by gaining more premium reserves, reserve claims, reserves on PAYDI and for investment adequacy need to add more non-investment cash saving in banks reserve with the adequacy amount higher than PLA technical reserves.
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Gláserová, Jana. "Specifics of the Unearned Premium Reserve in the Accounting of Commercial Insurance Companies." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 62, no. 6 (2014): 1271–77. http://dx.doi.org/10.11118/actaun201462061271.
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Commercial insurance companies are liable to create, on the basis of risks arising from the fulfillment of the object of their activity, technical reserves, which are used to cover liabilities arising to insurance companies from insurance and reinsurance activity. The paper focuses on the technical reserve which is, in accordance with the accounting-legal regulation, created obligatorily in commercial insurance companies – it is the unearned premium reserve.The paper explores the role and place of this technical reserve in the accounting of the commercial insurance companies based on the analysis of its substance, i.e. the objective definition. The paper is based on the methodology of the accounting, evaluation and methods of determining the amount of the technical reserve which will affect the income from operations as well as income tax base of commercial insurance companies. The paper also studied the method of reporting of unearned premium reserve in accounting according to Czech accounting legislation in comparison with International Accounting Standards (IAS/IFRS). The aim of this paper is to determine the impacts of the creation and application of the unearned premium reserve on some important items of the financial statements, which are mainly the income of operations, equity capital and balance sheet as well as to identify the impacts of different reporting of this reserve according to Czech accounting legislation and in accordance with IAS/IFRS. Performing the analysis of the accounting-legal regulation of the unearned premium reserve in the insurance companies, the analysis of the method of accounting of this reserve and also the comparison of reporting of this reserve according to both mentioned regulations is a prerequisite for the fulfillment of the aim.
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Sugiharto, Toto, Novita Sulistiowati, and Rina Nofiyanti. "THE RELATIONSHIPS BETWEEN THE FINANCIAL HEALTH AND FINANCIAL PERFORMANCE OF LIFE INSURANCE FIRMS: AN EMPIRICAL EVIDENCE FROM INDONESIA." Jurnal Ilmiah Ekonomi Bisnis 24, no. 3 (2019): 215–24. http://dx.doi.org/10.35760/eb.2019.v24i3.2238.
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Financial performance is of importance for life insurance firms. It is affected by various factors including financial health which is measured by risk-based capital, technical reserve and equity. The study aims at analyzing the effect of these financial health measures on the financial performance of life insurance firms. Secondary data which include financial performance (i.e., return on assets), risk-based capital, technical reserve and equity of thirty three life insurance firms for the periods of 2011-2016 was used. Panel data regression analysis was performed to analyze the obtained data. Financial performance was affected by risk-based capital, technical reserves and equity in different directions. Financial performance of life insurance firms increases with low risk-based capital and technical reserves, but decreases with high equity.
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DEWI, NI LUH PUTU RATNA, I. NYOMAN WIDANA, and DESAK PUTU EKA NILAKUSMAWATI. "PENENTUAN CADANGAN PREMI UNTUK ASURANSI JOINT LIFE." E-Jurnal Matematika 5, no. 1 (January 30, 2016): 32. http://dx.doi.org/10.24843/mtk.2016.v05.i01.p118.
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Premium reserve is a number of fund that need to be raised by insurance company in preparation for the payment of claims. This study aims to get the formula of premium reserve as well as the value of the premium reserve for joint life insurance by using retrospective calculation method. Joint life insurance participants in this study are limited to 2 people. Calculations in this study is using Indonesian Mortality Table (TMI) 2011, joint life mortality tables, commutation tables, value of annuities, value of single premiums and constant annual premium and using constant interest rates of 5%. The results showed that by using age of the participant insurance joint life of x = 50 and y = 45 years and the premium payment period of t = 10 years, we obtained that the value of premium reserve from the end of the first year until the end of the 11th year has increased every year, while the value of premium reserves from the end of the 12th year and so on until a lifetime has decreased every year.
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England, P. D., and R. J. Verrall. "Stochastic Claims Reserving in General Insurance." British Actuarial Journal 8, no. 3 (August 1, 2002): 443–518. http://dx.doi.org/10.1017/s1357321700003809.
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ABSTRACTThis paper considers a wide range of stochastic reserving models for use in general insurance, beginning with stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are extended to consider parametric curves and smoothing models for the shape of the development run-off, which allow extrapolation for the estimation of tail factors. The Bornhuetter-Ferguson technique is also considered, within a Bayesian framework, which allows expert opinion to be used to provide prior estimates of ultimate claims. The primary advantage of stochastic reserving models is the availability of measures of precision of reserve estimates, and in this respect, attention is focused on the root mean squared error of prediction (prediction error). Of greater interest is a full predictive distribution of possible reserve outcomes, and different methods of obtaining that distribution are described. The techniques are illustrated with examples throughout, and the wider issues discussed, in particular, the concept of a ‘best estimate’; reporting the variability of claims reserves; and use in dynamic financial analysis models.
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SAEFULOH, SANI, I. NYOMAN WIDANA, and LUH PUTU IDA HARINI. "PERHITUNGAN PREMI TAHUNAN TIDAK KONSTAN DAN CADANGAN BENEFIT ASURANSI LAST SURVIVOR DWIGUNA." E-Jurnal Matematika 9, no. 2 (May 26, 2020): 104. http://dx.doi.org/10.24843/mtk.2020.v09.i02.p286.
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Last Survivor Insurance is life insurance for two or more participants with premiums paid until the death of the last participant. This study discusses last survivor endowment insurance for two participants in a married couple. Compensation is paid after the second person dies or both stills alive after the end of a contract. The purpose of this study is to determine the value of non-constant annual premium and benefits reserves in the last survivor endowment insurance. The equivalence principle is used for calculation of premiums. Furthermore, the benefit reserve formula is determined using a prospective method. The value of the benefit reserve will continue to increase as long as premium payments are still being made.
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Boyer, M. Martin, Elijah Brewer, and Willie Reddic. "The Association between Complexity and Managerial Discretion in the Property and Casualty Insurance Industry." Quarterly Journal of Finance 09, no. 03 (July 2019): 1950008. http://dx.doi.org/10.1142/s2010139219500083.
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This paper investigates whether the setting of loss reserves depends on an insurer’s complexity, which is defined by the number of business lines an insurer underwrites and on the insurer’s expertise in those lines. Our results suggest that insurers with higher levels of complexity tend to over-reserve. We also find that, as complexity increases, insurers that are financially weak and smooth their earnings, tend to under-reserve (i.e., bias their loss reserves upward). Further, we find that as complexity increases, insurers with high tax liabilities tend to bias their loss reserves downward (i.e., over-reserve), suggesting that tax strategies are important issues for insurers. An insurer’s degree of complexity is particularly salient when determining the extent to which loss reserves can be aggressively set.
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Felice, Massimo De, and Franco Moriconi. "Claim Watching and Individual Claims Reserving Using Classification and Regression Trees." Risks 7, no. 4 (October 12, 2019): 102. http://dx.doi.org/10.3390/risks7040102.
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We present an approach to individual claims reserving and claim watching in general insurance based on classification and regression trees (CART). We propose a compound model consisting of a frequency section, for the prediction of events concerning reported claims, and a severity section, for the prediction of paid and reserved amounts. The formal structure of the model is based on a set of probabilistic assumptions which allow the provision of sound statistical meaning to the results provided by the CART algorithms. The multiperiod predictions required for claims reserving estimations are obtained by compounding one-period predictions through a simulation procedure. The resulting dynamic model allows the joint modeling of the case reserves, which usually yields useful predictive information. The model also allows predictions under a double-claim regime, i.e., when two different types of compensation can be required by the same claim. Several explicit numerical examples are provided using motor insurance data. For a large claims portfolio we derive an aggregate reserve estimate obtained as the sum of individual reserve estimates and we compare the result with the classical chain-ladder estimate. Backtesting exercises are also proposed concerning event predictions and claim-reserve estimates.
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NIKOLAYCHUK, Tetyana. "ECO- ENVIRONMENTAL RISKS' INSURANCE AS SUPPORT AND INVESTMENT TOOL FOR ECO-ENTREPRENEURS IN NATURE RESERVE FUND." Economic innovations 23, no. 3(80) (August 20, 2021): 254–68. http://dx.doi.org/10.31520/ei.2021.23.3(80).254-268.
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Topicality. Market changes in all fields of economy of Ukraine demand the creation of new cooperation's institutions and mechanisms between branches, including the sphere of environmental reserve affair requires transformations, which will be directed into the development not only environmentally protected, but also its ecological and economic components. Nowadays, the eco-ecological's development is insufficient and requires the introduction of investment approach to the economic relations between Nature Reserve's administrations, private sector and local communities. Insurance of eco- environmental risks will stabilize market relations in of Nature Reserve's field, reduce the business risks. Aim and tasks. The aim of the article is representedeco- environmental insurance, as partnership, which can attribute economic privileges to the results of innovation activities. Our research focuses on the use of insuring eco-environmental risks'instruments, analysis of their advantages and disadvantages, both for nature reserves and for the private sector. Research results. The eco- environmental insurance, as financial and regalation institutions, can become tool for formation investment flows in the nature reserve fund industry. The instruments of eco-environmental risk's insurance will combine not only guarantees of business initiatives in theNature Reserve Fund, but also many financial and organizational benefits not only for businesses, but also for local communities, as well as for authorities and environmental institutions. Conclusion. Currently, the cooperation'smechanisms between the Nature Reserve Fund of Ukraine, private sector, authorities and local communities should be comprehensive, combining compliance with environmental objectives and the environmentally friendly economic activities. The eco-environmental risk's insurance tools can also become a form environmentally oriented business activities, a development vector of cooperation of naturally reserved fund institutions and representatives of the private sector, who want to carry out their activities taking into account environmental imperatives and produce truly ecologically pure products, but first of all corresponding contractual mechanism must be formalized into a legal structure and an independent object of normative-legal regulation.
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Prowanta, Embun, and Indra Siswanti. "DETERMINANT OF STOCK PRICE INSURANCE COMPANY IN INDONESIA." International Journal of Accounting and Business Society 29, no. 3 (December 1, 2021): 47–62. http://dx.doi.org/10.21776/ub.ijabs.2021.29.3.2.
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Purpose — This research aims to analyze the effect of the Claim Expense Ratio and the Technical Reserve Ratio on the Stock Price with the Solvency Ratio as an intervening variable in insurance companies on the IDX. Design/methodology/approach — The populations in this research were all 12 insurance companies in Indonesia. The sampling criteria are insurance companies listed on the Indonesia Stock Exchange and publish quarterly financial reports continuously during the 2017-2018 period. There are 8 companies that meet the purposive sampling criteria. Data processing and analysis techniques are carried out using Path Analysis. Findings — The results show that the claim expense ratio has a significant positive effect on the solvency ratio, the technical reserve ratio has no effect on the solvency ratio, the claim expense ratio has a significant positive effect on stock prices, the technical reserve ratio has a significant negative effect on stock prices and the solvency ratio is not able to mediate the ratio of claim expense to stock prices and the solvency ratio is able to mediate the effect of the ratio of technical reserves to stock prices. Practical implications — The higher the claim load ratio, the higher the solvency ratio. This research is in line with the research of Suwiralim (2014) and Permatasari Kuraesin & (2016) which states that the ratio of claim expenses has a positive effect on stock prices. Originality/value — The solvency ratio is not able to mediate the ratio of claim expense to stock prices and the solvency ratio is able to mediate the effect of the ratio of technical reserves to stock prices. Keywords — The Claim Expense Ratio, The Technical Reserve Ratio, The Solvency Ratio, Stock Prices. paper type — Research paper
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Elsayed, Mahmoud, and Amr Soliman. "Prediction of Technical Reserves Based on Grey Model — GM(1,1): Evidence from Non-life Egyptian Insurance Market." Journal of Business and Economics 10, no. 9 (September 22, 2019): 852–60. http://dx.doi.org/10.15341/jbe(2155-7950)/09.10.2019/006.
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Grey system theory is a mathematical technique used to predict data with known and unknown characteristics. The aim of our research is to forecast the future amount of technical reserves (outstanding claims reserve, loss ratio fluctuations reserve and unearned premiums reserve) up to 2029/2030. This study applies the Grey Model GM(1,1) using data obtained from the Egyptian Financial Supervisory Authority (EFSA) over the period from 2005/2006 to 2015/2016 for non-life Egyptian insurance market. We found that the predicted amounts of outstanding claims reserve and loss ratio fluctuations reserve are highly significant than the unearned premiums reserve according to the value of Posterior Error Ratio (PER).
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HUTAPEA, ANGGIE EZRA JULIANDA, I. NYOMAN WIDANA, and LUH PUTU IDA HARINI. "PENENTUAN CADANGAN PREMI DENGAN PERHITUNGAN PROSPEKTIF UNTUK ASURANSI PENDIDIKAN." E-Jurnal Matematika 7, no. 2 (May 13, 2018): 122. http://dx.doi.org/10.24843/mtk.2018.v07.i02.p193.
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The purpose of this research is to get formula to calculate premium reserve value with prospective calculation for education insurance. This study examines the value of premium reserves for people aged 40 years with a coverage period of 17 years. In determining the value of premium reserve using the prospective calculation. It will be started by completing the value of the Indonesian Mortality Table 2011 using the interest rate of 6.5%, calculating the cash value of the benefit, the annuity value, the net annual premium value, and the net monthly premium value. The results of this study indicate that the value of premium reserves with a prospective calculation for benefits paid at the end of the year and the premium reserve value for benefits paid at the time the insured dies, its value with the value of the cash price set by the insurer at the end of year- 17 on the insurance contract.
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Nii Boi Quaye, Enoch, Charles Andoh, and Anthony Q.Q. Aboagye. "Loss reserve variability and loss reserve errors." Journal of Risk Finance 15, no. 3 (May 19, 2014): 248–63. http://dx.doi.org/10.1108/jrf-03-2014-0018.
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Purpose – The purpose of this study is to assess the level and variability of Ghanaian property and liability insurer’s reserve estimates to examine its sources and ascertain if reserve errors are random or not (i.e. manipulated or not). Design/methodology/approach – It uses information on insurer claim reserve provisions, claims outstanding, claims incurred and claims paid for the period of 2000-2010. Categorizing the sources of variation as endogenous and exogenous, the authors use the panel correlated standard error regression model to determine sources and magnitude of industry reserve error. Findings – The study finds that size, age, lag of loss reserve error, inflation rate and real gross domestic product are significant in determining the degree of reserve error variation. Type of ownership (domestic or foreign) is, however, not a significant source of variation. Further, the authors found that industry reserve errors are random (not manipulated) across firms, suggesting that sampled insurers act independently on reserve error decision making and are not influenced by industry trends and competition. Research limitations/implications – The main research study limitation is the difficulty involved in obtaining annual statements from insurance companies in Ghana. Reluctance of companies to make statements available impeded on the smooth flow of the study during data collection. Practical implications – Policy-wise, this suggest that regulatory bodies can uniquely set reserve error levels for existing firms with little influence on competition. Further, the Ghanaian insurance regulator does not to focus on the type of ownership (foreign or local) when setting regulatory standards. However, size of the company and age (length of operation) should be considered. Originality/value – This paper is the first empirical study to examine the loss reserve error and loss reserve variability of Ghanaian property and liability insurance companies.
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Koijen, Ralph S. J., and Motohiro Yogo. "The Cost of Financial Frictions for Life Insurers." American Economic Review 105, no. 1 (January 1, 2015): 445–75. http://dx.doi.org/10.1257/aer.20121036.
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During the financial crisis, life insurers sold long-term policies at deep discounts relative to actuarial value. The average markup was as low as −19 percent for annuities and −57 percent for life insurance. This extraordinary pricing behavior was due to financial and product market frictions, interacting with statutory reserve regulation that allowed life insurers to record far less than a dollar of reserve per dollar of future insurance liability. We identify the shadow cost of capital through exogenous variation in required reserves across different types of policies. The shadow cost was $0.96 per dollar of statutory capital for the average company in November 2008. (JEL G01, G22, G28, G32)
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Lyzhechko, M. S., and I. V. Rozora. "Modelling of technical reserves of an insurance company." Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, no. 3 (2019): 46–51. http://dx.doi.org/10.17721/1812-5409.2019/3.6.
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In the modern rapidly evolving society, the science and the business are facing new needs and challenges constantly. The insurance industry and its mathematical foundation, the actuarial science, are not exceptions. Currently, the greatest challenge that the insurance system has to cope with is the issue of the new international financial standard that affects the calculation of reserves among other things. So far, insurers have mainly used common classical deterministic methods. However, the new standard emphasizes the necessity of the realistic prognosis that is best achieved with stochastic modelling tools since deterministic models do not represent the uncertainty and the random nature of future possible losses. This article considers the advantage of using stochastic modelling for reserve calculation in comparison to the deterministic approach. The article consists of five sections. In the first section, we briefly present the technique that lies in the basis of technical reserves calculation. The second section is devoted to such deterministic methods of reserve calculation as the Bornhuetter-Ferguson method and the chain-ladder method. In the third section, we consider modifications of two stochastic models – the Mack method and the bootstrapping technique. The fourth section considers the adjustment of reserves for the time value of money and inflation. In the fifth section, the results of modelling in the programming language R are presented.
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PERMATASARI, NI PUTU MIRAH, I. NYOMAN WIDANA, and KARTIKA SARI. "PENENTUAN CADANGAN PREMI DENGAN METODE PREMIUM SUFFICIENCY PADA ASURANSI JIWA SEUMUR HIDUP JOINT LIFE." E-Jurnal Matematika 5, no. 3 (August 30, 2016): 98. http://dx.doi.org/10.24843/mtk.2016.v05.i03.p127.
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The aim of this research was to get the formula of premium reserves through the premium sufficiency method. Premium reserve is the amount of fund that is collected by the insurance company in preparation for the claim’s payment. Premium sufficiency method is gross premium calculation. To construct that formula, this research used Tabel Mortalitas Indonesia (TMI) 2011, interest rate 2.5% and cost of alpha %. Based on simulation result in men premium reserve value of age 1 of 56 years propotional with insured periods, but after56 years enhancement of premium reserve value.
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DWIPAYANA, I. GUSTI AGUNG GEDE, I. NYOMAN WIDANA, and KARTIKA SARI. "MENENTUKAN FORMULA CADANGAN PREMI ASURANSI JIWA LAST SURVIVOR MENGGUNAKAN METODE NEW JERSEY." E-Jurnal Matematika 8, no. 4 (November 29, 2019): 264. http://dx.doi.org/10.24843/mtk.2019.v08.i04.p263.
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Last survivor life insurance is a type of life insurance for two or more people, with premium payment up to the last death of the insured and at that time also provide the benefit from the insurer. The purpose of this research was to determine the formula for last survivor life insurance premium reserve using New Jersey method. To calculate the reserve: first we determine the benefit, and then the annuity and finnaly the annual premium. The premium reserve value in the New Jersey method on first year is zero. The premium reserve in the New Jersey method starts in the second year, for years, with where n represents the term of the insurance participant’s contract.
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JANNAH, MIFTAAHUL, AGUS SUPRIATNA, and RIAMAN RIAMAN. "PENERAPAN HUKUM MORTALITA MAKEHAM UNTUK PENENTUAN NILAI CADANGAN PREMI ASURANSI JOINT LIFE DENGAN METODE FACKLER." E-Jurnal Matematika 9, no. 3 (September 3, 2020): 182. http://dx.doi.org/10.24843/mtk.2020.v09.i03.p297.
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Joint life insurance is life insurance with an amount of more than one person, where the benefits are paid when one of the insured dies. The possibility of insurance companies will suffer losses if the claims that occur are more than predicted, so the premium reserve calculation is required. In this study, reserves were calculated using the Fackler method based on the Indonesian Mortality Table 2011 and the Makeham Assumption Mortality Table. The Indonesian Mortality Table 2011 was analyzed for the estimated parameters contained in the Makeham Assumption Mortality Table. Then the premium calculation and premium reserve calculation are done using the Fackler method based on the Makeham Assumption Mortality Table and the comparison uses the Indonesian Mortality Table 2011. The results of the calculation of the premiums based on the Makeham Assumption Mortality Table are greater than using the Indonesia Mortality Table 2011, while the premium reserve results are greater using the Indonesian Mortality Table 2011 than using the Makeham Assumption Mortality Table. This is because the chances of survival based on the Makeham Assumption Mortality Table are smaller than the Indonesian Mortality Table 2011.
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Lefèvre, Claude, Stéphane Loisel, Muhsin Tamturk, and Sergey Utev. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling." Risks 6, no. 3 (September 14, 2018): 99. http://dx.doi.org/10.3390/risks6030099.
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A quantum mechanics approach is proposed to model non-life insurance risks and to compute the future reserve amounts and the ruin probabilities. The claim data, historical or simulated, are treated as coming from quantum observables and analyzed with traditional machine learning tools. They can then be used to forecast the evolution of the reserves of an insurance company. The following methodology relies on the Dirac matrix formalism and the Feynman path-integral method.
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Eckert. "Dealing with Low Interest Rates in Life Insurance: An Analysis of Additional Reserves in the German Life Insurance Industry." Journal of Risk and Financial Management 12, no. 3 (July 16, 2019): 119. http://dx.doi.org/10.3390/jrfm12030119.
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Interest rates have been very low for several years, which is particularly challenging for life insurers. Since 2001, German life insurers have had to set an additional reserve due to low interest rates to ensure the protection of policyholders. However, the method introduced at that time to calculate these reserves was criticized, therefore, the German Federal Ministry of Finance replaced it with a new approach. In this article, we investigated the effects of the different methods on a typical German life insurer in various future interest rate scenarios and from various perspectives. For this purpose, we modelled such a life insurer holistically, considered its asset liability management and projected its future development in different interest rate scenarios using simulation techniques. Taking into account dependencies between assets, liabilities and interest rates, we analyzed and discussed our results from the life insurer’s, equity holders’, policyholders’ and regulators’ perspectives. The results show that the new method eliminated the weaknesses of the previous one and seems to be a suitable alternative to determine the additional reserve.
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Pettere, Gaida. "Stochastic modelling of insurance liabilities." Acta et Commentationes Universitatis Tartuensis de Mathematica 13 (December 31, 2009): 25–35. http://dx.doi.org/10.12697/acutm.2009.13.03.
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Our aim is to present a method for estimating incurred but not reported (IBNR) claim reserves. Each claim is described by threecharacteristics: the claim size, the allocated loss adjusted expense and the development time. We concentrate on the joint study of all three random variables. First, the marginal univariate distributions are estimated using families of lognormal, Pareto, Wald and Gamma distributions. Next, the matrix of dependence characteristics is found between the three variables and then different multivariate copulas are used to model the joint distribution. The obtained models are fitted to the real data of motor liability insurance of a Latvian insurance company. By simulation the average claim size and allocated loss adjustment expenses in each development day have been estimated. Finally, outstanding claim reserve has been estimated.
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Ruhiyat, Ruhiyat, Windiani Erliana, Kenzi Lamberto, and Elsie Ardelia. "Last-Survivor Insurance Premium and Benefit Reserve Calculation using Gamma-Gompertz Mortality Law." Jurnal Matematika Integratif 18, no. 1 (May 23, 2022): 9. http://dx.doi.org/10.24198/jmi.v18.n1.38678.9-18.
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When the insurance benefit of a last-survivor insurance product is payable at the moment of the last insured death, exploring continuous mortality models is essential to obtain the most appropriate premium and benefit reserve. In this study, Gamma-Gompertz mortality law was applied to Indonesian population mortality data at adulthood and old age stages to calculate the annual gross premium and gross benefit reserve of a whole life last survivor insurance product. The annual gross premium was computed using the actuarial equivalence principle. Results show that the older the policyholders purchase the product, the higher the annual gross premium they must pay. The gross benefit reserve needed to be set by the insurance company for the whole life last survivor insurance product was calculated using the prospective method. Its value grows for each valuation year until it approaches the insurance benefit amount.
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Ettore D’Ortona, Nicolino, and Maria Sole Staffa. "The theoretical surrender value in life insurance." Insurance Markets and Companies 7, no. 1 (November 18, 2016): 31–44. http://dx.doi.org/10.21511/imc.7(1).2016.04.
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In the context of the stochastic models for the management of life insurance portfolio, the authors explore, with simulation approach, the effects induced by the application of a particular method of calculation of the surrender value. In the life insurance, the policyholder position is, at any moment, quantified by the mathematical reserve. In case the reserve amount results are positive, the insurance company can allow the contract surrender, consisting in an amount payment, called surrender value, commensurate with the mathematical reserve. Generally, the insurance company enforces some restrictions in the surrender value determination, in order to avoid, first of all, that an amount is disbursed to the policyholder while, on the contrary, he results to be indebted to the Company. In this paper the authors will consider a surrender value calculation method based precisely on the profit recovery concept which shall be supplied by the contract in case it remains in the portfolio. Additionally, the authors shall analyze, by simulation approach, the effects caused by the enforcement of the surrender value calculation concept on a life portfolio profitability, and on the penalties extent enforced to the policyholders which cancel from the contract. Keywords: surrender value, life insurance, internal risk model, stochastic simulation
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Nadilia, Nindita, Nina Fitriyati, and Irma Fauziah. "The Constant Annual Premium and Benefit Reserve for Four Participants in Joint Life Insurance." InPrime: Indonesian Journal of Pure and Applied Mathematics 2, no. 2 (June 25, 2020): 97–104. http://dx.doi.org/10.15408/inprime.v2i2.14780.
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AbstractThis research discusses the derivation of formula to calculate the constant annual premiums and the benefit reserves for joint insurance consisting of four people. We combine pure endowment insurance, lifetime insurance, and n-year term insurance. Assumed that the benefits are set at the beginning of the insurance contract, the benefit reserves are calculated using the prospective method, and the premium payment stops if one of those four participants dies. If all participants live until the end of the contract, the benefits are paid at once but if one of the participants dies, the benefits paid at the end of the contract in the form of a lifetime annuity. The formula to calculate the benefit reserves is divided into four cases i.e. the benefit reserves if one of four participants dies, the benefit reserves if two of four participants die, the benefit reserve if three of four participants die, and the benefit reserves if all participants are still alive until the end of the contract. Besides, we also present simulation to calculate the constant annual premium for four participants consist of a father (50 years old), a mother (45 years old), a son (20 years old), and a daughter (15 years old). From the simulation, we conclude that as the length of the insurance contract increases, the premium tends to decrease. The benefit reserve calculation does not have a certain tendency. It generally increases during the insurance period (the premium is still paid) and then decreases thereafter. This is valid for all cases mentioned above.Keywords: n-year term insurance; prospective method; pure endowment insurance. AbstrakPenelitian ini membahas mengenai penurunan rumus untuk menghitung premi tahunan konstan dan cadangan benefit untuk asuransi gabungan yang terdiri dari empat orang. Jenis asuransi yang digunakan adalah kombinasi antara asuransi endowment murni, asuransi seumur hidup dan asuransi berjangka n-tahun. Diasumsikan bahwa benefit ditetapkan di awal kontrak asuransi dan pembayaran premi berhenti jika salah seorang dari keempat peserta meninggal dunia. Jika seluruh peserta hidup sampai dengan akhir kontrak maka benefit dibayarkan secara sekaligus, namun jika salah satu dari peserta telah meninggal dunia maka benefit yang dibayarkan pada akhir tahun kontrak dalam bentuk anuitas seumur hidup. Rumus yang diperoleh untuk menghitung cadangan benefit dibagi menjadi empat kasus yaitu cadangan benefit jika satu orang meninggal dan tiga orang lainnya hidup, cadangan benefit jika dua orang meninggal dan dua orang lainnya hidup, cadangan benefit jika tiga orang meninggal dan satu orang lainnya hidup, dan cadangan benefit jika semua peserta tetap hidup sampai akhir masa kontrak. Pada akhir penelitian, disajikan simulasi perhitungan premi tahunan konstan untuk empat peserta yang terdiri dari ayah (berusia 50 tahun), ibu (45 tahun), anak laki-laki (20 tahun), dan anak perempuan (15 tahun). Dari simulasi diperoleh bahwa semakin lama kontrak asuransi maka premi yang dibayakan cenderung semakin kecil. Perhitungan cadangan benefit tidak memiliki kecenderungan tertentu, namun pada umumnya meningkat selama masa asuransi berlangsung (pembayaran premi masih dilakukan) kemudian menurun setelahnya. Hal ini berlaku untuk seluruh kasus yang telah dibahas pada perhitungan rumus cadangan premi.Kata kunci: asuransi berjangka n-tahun; metode prospektif; asuransi endowment murni.
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Suja’i, Wilda Waladiah Ibnu, and Badriyatul Huda. "PERUBAHAN PREMIUM INCOME DAN INVESTMENT RESULTS PT. AXA MANDIRI SYARIAH DAN IMPLIKASINYA TERHADAP TABARRU FUND RESERVE." Finansha- Journal of Sharia Financial Management 1, no. 1 (November 16, 2020): 61–69. http://dx.doi.org/10.15575/fsfm.v1i1.10053.
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AbstractThis paper is motivated by a phenomenon shows that the Premium Income and Investment Results at PT. AXA Mandiri Syariah experiences fluctuations, both of which have a direct impact on the condition of the Tabarru Fund Reserve. Therefore, this article aims to analyze the effect of official income and investment hail on tabarru fund reserves both partially and simultaneously. This article also uses descriptive methods and quantitative approaches, namely to describe the results of the research, the data of which are presented in numerical form. The data in this article is secondary data taken from the financial statements of PT. AXA Mandiri Syariah and supported by literature study and documentation, which are processed statistically and quantitatively. The results of this study concluded that Premium Income has a significant effect on the Tabarru Fund Reserve by 100%. Then, the investment return also has a significant effect on the Tabarru Fund Reserve by 88.4%. Finally, both simultaneously have a significant effect on the Tabarru Fund Reserve by 100%. The implication of this research is that insurance companies need to increase Premium Income and Investment Results because both have a significant effect on increasing the Tabarru Fund Reserve. Keywords: Premium Income, Investment Result, Tabarru Fund Reserve, Islamic Insurance AbstrakTulisan ini dilatarbelakangi fenomena yang menunjukan bahwa Premium Income dan Investment Results pada PT. AXA Mandiri Syariah mengalami fluktuasi yang mana keduanya berdampak langsung kepada kondisi Tabarru Fund Reserve. Oleh karena itu, artikel ini bertujuan untuk menganalisis pengaruh pendapatan presmi tersebut dan hail investasi terhadap cadangan dana tabarru baik secara parsial dan simultan. Artikel ini juga menggunakan metode deskriptif dan pendekatan kuantitatif, yakni untuk mendeskripsikan hasil penelitian yang datanya disajikan dalam bentuk numerik. Data pada artikel ini merupakan data sekunder yang diambil dari laporan keuangan PT. AXA Mandiri Syariah dan didukung dengan studi kepustakaan dan dokumentasi, yang diolah scara statistik dan kuantitatif. Hasil penelitian ini menyimpulkan bahwa Premium Income berpengaruh signifikan terhadap Tabarru Fund Reserve sebesar 100%. Lalu, hasil investasi juga berpengaruh signifikan terhadap Tabarru Fund Reserve sebesar 88,4%. Terakhir, secara simultan keduanya juga berpengaruh signifikan terhadap Tabarru Fund Reserve sebesar 100%. Implikasi dari penelitian ini adalah perusahaan asuransi perlu meningkatkan Premium Income dan Investment Results, karena keduanya berpengaruh signifikan untuk meningkatkan Tabarru Fund Reserve Kata kunci: Premium Income, Investment Result, Tabarru Fund Reserve, Islamic Insurance
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Jho, Jae Hoon, and Kangsoo Lee. "Computation of life insurance reserve including surrender." Korean Insurance Journal 113 (January 31, 2018): 91–116. http://dx.doi.org/10.17342/kij.2018.113.4.
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Wang, Jing, Zbigniew Palmowski, and Corina Constantinescu. "How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability." Risks 9, no. 9 (August 26, 2021): 157. http://dx.doi.org/10.3390/risks9090157.
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In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin probabilities when the initial reserve tends to infinity. When considering premiums that are linearly dependent on reserves, representing, for instance, returns on risk-free investments of the insurance capital, we firstly derive explicit solutions of the ordinary differential equations under considerations, in terms of special mathematical functions and integrals, from which we can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums dependent on reserves. We compare them with the asymptotics of the equivalent ruin probabilities when the premium rate is fixed over time, to measure the gain generated by this additional mechanism of binding the premium rates with the amount of reserve owned by the insurance company.
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TEWO, JENNE LALI, I. NYOMAN WIDANA, and TJOKORDA BAGUS OKA. "PENENTUAN CADANGAN PREMI DENGAN METODE NEW JERSEY PADA ASURANSI JOINT LIFE." E-Jurnal Matematika 7, no. 3 (September 2, 2018): 226. http://dx.doi.org/10.24843/mtk.2018.v07.i03.p207.
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Joint Life insurance is an insurance that covered two individuals in one policy. The purpose of this research is to determine and to compare the reserve value of Joint Life insurance using New Jersey method and Prospective method with and without New Jersey method. The method that used in this research are New Jersey method, the participants of this assurance is a couple of husband and wife between 45 and 40 years old with 30 years period, interest levels at 6,5%. The results of this represent reserve value with New Jersey method always smaller, and the reserve value in the 30 years period have the same result using New Jersey method and Prospective method.
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Clemente, Gian Paolo, Nino Savelli, and Diego Zappa. "Modelling Outstanding Claims with Mixed Compound Processes in Insurance." International Business Research 12, no. 3 (February 13, 2019): 123. http://dx.doi.org/10.5539/ibr.v12n3p123.
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In general insurance, measuring the uncertainty of future loss payments and estimating the claims reserve are primary goals of actuaries. To deal with these tricky tasks, a broad literature is available on deterministic and stochastic approaches, most of which aims at straightforwardly modelling the overall claims reserve. In this paper by an extended, very general and reproducible case-study, we analyze the reserving process by attributing to each cell of the lower part of the run-off triangle a Compound mixed Poisson Process, calibrated upon both the numbers of claims and future average costs and considering as well the dependence among incremental claims. We provide analytically the moments of both incremental payments and the total reserve. Furthermore, we accordingly consider the probability distribution of the claims reserve, which is necessary for the assessment of the Risk Reserve capital requirement in a Solvency II framework. To test the impact of the model under different scenarios, insurers and lines of business, the case study is thoroughly analyzed by exploiting the Fisher-Lange average cost method.
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Nelson, Karen K. "Rate Regulation, Competition, and Loss Reserve Discounting by Property-Casualty Insurers." Accounting Review 75, no. 1 (January 1, 2000): 115–38. http://dx.doi.org/10.2308/accr.2000.75.1.115.
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This study examines whether the reported loss reserves of property-casualty insurers contain an implicit discount for the time value of money. Reporting the present value of loss reserves enables insurers to justify the competitive level of insurance premiums to regulators. The evidence indicates that there is a positive and significant discount rate implicit in the relation between reported loss reserves and expected future claim payments. Moreover, insurers subject to relatively stringent rate regulation discount to a greater extent than do other insurers. The results also suggest that implicit discounting is distinct from solvency and tax motives to exercise discretion over the loss reserve.
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Bening, Vladimir Evgenyevich. "On the asymptotic behavior of insurance company reserve." Herald of Tver State University. Series: Applied Mathematics, no. 2 (August 14, 2020): 35–48. http://dx.doi.org/10.26456/vtpmk594.
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Onoghojobi, B., and N. P. Olewuezi. "MAXIMUM LIKELIHOOD APPROACH FOR CALCULATING INSURANCE CLAIMS RESERVE." Far East Journal of Theoretical Statistics 50, no. 2 (June 9, 2015): 125–41. http://dx.doi.org/10.17654/fjtsmar2015_125_141.
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Son, Byunghwan. "Democracy and Reserves." Foreign Policy Analysis 16, no. 3 (August 12, 2019): 417–37. http://dx.doi.org/10.1093/fpa/orz020.
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Abstract Does democracy affect foreign exchange reserves? This paper identifies four possible explanations for the determinants of foreign exchange reserves. Using the relationship between public goods provision and political regime types as a conceptual centerpiece, it offers a theoretical framework in which these four arguments are pit against each other. The “insurance” and “social cost” arguments posit monotonously positive and negative relationships between democracy and reserves, respectively, each citing democratic governments’ propensity to provide public goods such as financial stability and public spending. The mercantilist and rentier state arguments together put forth a conditional hypothesis that autocracies serve particularistic interests of outwardly (inwardly) oriented elites more than democracies do through weak-currency/large-reserve (strong-currency/small-reserve) policies. Utilizing panel data covering 127 countries from 1975 to 2012, I find that more democratic regimes are associated with larger (smaller) volumes of reserves when the size of exporting sectors is considerably small (large).
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Norberg, Ragnar, and Bjørn Sundt. "Draft of a System for Solvency Control in Non-Life Insurance." ASTIN Bulletin 15, no. 2 (November 1985): 149–69. http://dx.doi.org/10.2143/ast.15.2.2015026.
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AbstractAn outline is given of a proposed system for solvency control in non-life insurance that has recently been discussed within a Working Party appointed by the Norwegian supervisory authorities. According to this system the factual technical reserves must at any time be sufficient to meet, with high probability, all future liabilities stipulated by insurance contracts that have either expired or are currently in force. The system is applied to a provisional, simple model that has been fitted to claims data assembled from Norwegian non-life companies. The numerical examples illustrate, inter alia, how the required reserve depends on the volume of the business, the portfolio mix, and the reinsurance cover.
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Tkachenko, Kateryna. "INSURANCE MANAGEMENT TOOLS AND AREAS OF IMPROVEMENT." Economic Analysis, no. 31(3) (2021): 97–104. http://dx.doi.org/10.35774/econa2021.03.097.
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Introduction. The insurance market of Ukraine in recent years has been operating in the face of many challenges that require insurance companies to effectively use insurance management tools and their continuous improvement. The insurance market of Ukraine is directly affected by the macroeconomic situation and the slowdown in economic activity in 2020-2021, which led to a reduction in the assets of insurers, reducing their number and frequent violations by insurers of capital adequacy and solvency. Further development of the insurance market of Ukraine is possible only if the development of insurance management and improvement of its tools. Purpose. The purpose of the article is to assess the effectiveness of insurance management tools and justify areas for improvement. Method (methodology). In the process of research such methods were used as logical, which allowed to analyze scientific works and generalize a set of tools of insurance management; analytical, which was used to analyze the use of insurance management tools such as reinsurance, insurance reserves, standards for investing insurance reserves according to the National Bank of Ukraine in 2020-2021; tabular and graphical, which allowed to interpret the results of the analysis in a visual form. Results. Insurance companies to ensure a sufficient level of profitability of insurance operations, increase the market value of the insurance company, as well as timely and full fulfillment of obligations to policyholders and other economic agents form in accordance with current legislation strategy and tactics of insurance management based on specific tools: reinsurance , creation of reserve funds, diversification, rationing. The use of insurance management tools should be improved in the direction of harmonization of domestic legislation in accordance with the requirements of the European Union and international regulatory practices, as well as to adapt to domestic economic and social realities the best practices of insurance management.
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Sukhorukova, I. V., and N. A. Chistyakova. "Calculation of mathematical reserve of the insurance company under joint insurance of risks." Vestnik of the Mari State University. Chapter “Agriculture. Economics” 5, no. 1 (2019): 116–22. http://dx.doi.org/10.30914/2411-9687-2019-5-1-116-122.
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Haryanto, Dwi. "THE APPLICATION OF MARKOV CHAIN MODEL TO CALCULATE PREMIUM AND RESERVE OF ENDOWMENT INSURANCE." BAREKENG: Jurnal Ilmu Matematika dan Terapan 16, no. 1 (March 21, 2022): 015–22. http://dx.doi.org/10.30598/barekengvol16iss1pp015-022.
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The calculation of premiums and reserves are two essential parts of insurance. The calculation of premiums and reserves in life insurance involves using mortality tables. This research constructed a mortality table for 20-year endowment insurance using the Markov chain model. Two reasons make the policy inactive, namely death or withdrawal. The initial age used in this research is 30 years. Meanwhile, the maximum age to join this life insurance is 40 years. The mortality table that has been obtained is used to calculate premiums and reserves. Furthermore, from the research done, it was found that the age of entry to become a member of endowment insurance affects the number of premiums that must be paid. Meanwhile, the number of reserves required will increase with the increase of customers and the period of calculation of reserves
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Schiegl, M. "On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study." ASTIN Bulletin 32, no. 1 (May 2002): 107–28. http://dx.doi.org/10.2143/ast.32.1.1018.
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AbstractA method for analysing the risk of taking a too low reserve level by the use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reserving. This is an important question in the framework of integrated risk management of an insurance company. Furthermore we investigate the relative bias of Chain Ladder estimators. We use Monte Carlo simulation technique as well as the collective model of risk theory in each cell of run-off table. We analyse deviation between Chain Ladder reserves and Monte Carlo simulated reserves statistically. Our results document dependency on claim number and claim size distribution types and parameters.
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ICHIE, TOMOAKI, IKUO NINOMIYA, and KAZUHIKO OGINO. "Utilization of seed reserves during germination and early seedling growth by Dryobalanops lanceolata (Dipterocarpaceae)." Journal of Tropical Ecology 17, no. 3 (April 27, 2001): 371–78. http://dx.doi.org/10.1017/s0266467401001250.
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We studied the resource allocation process of a large-seeded species, Dryobalanops lanceolata, during germination and early stages of seedling growth in Sarawak, East Malaysia. The seeds contained high contents of starch (74.3% of the total 1.57 g mean dry weight of the cotyledon) and lipid (15.0%). All of these reserves were exhausted by the time the first two pairs of leaves had developed (about 40 d after planting), but relatively little had been reserved in leaf or root by that time. This suggests that the large amount of seed reserve of D. lanceolata is necessary just to form a certain size of stem and the necessary number of leaves to set the plant up for photosynthesis. After seed reserves were exhausted, shoot elongation and new leaf production stopped, and most photosynthate was allocated to the expansion of the root system and to storage in the root as starch. The storage reserves in the root are thought to be used for the next growing stage, not to act as insurance for sprouting in case of shoot damage.
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Tomašević, Jelena, Milijana Novović-Burić, Ljiljana Kašćelan, and Vladimir Kašćelan. "Impact of premium reserve on life insurance investments in the Western Balkans." Serbian Journal of Management 16, no. 2 (2021): 355–76. http://dx.doi.org/10.5937/sjm16-28022.
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The growing importance of life insurance in the world imposes a greater need for research in this area, particularly in the Western Balkans where the trend of growth has been closely accompanied by life insurance for the past two decades. Taking into consideration that life insurance companies are significant participants in the financial market, this research paper examines the impact of the premium reserve on the volume of financial investments of life insurance companies in Western Balkan countries, based on aggregate data on country level. In order to test its effect, linear correlation and regression models were used, based on data collected for the period 2006-2016. Additionally, comparative analysis was used to compare the position of life insurance companies in financial markets. The results obtained by applying correlation and regression analysis showed that there is a strong positive correlation between premium reserve and financial investments in all of the aforementioned countries in the region. This result is an important strategic guideline for the regulators and policymakers to make advancements in the life insurance sector as well as in the financial market of the Western Balkans.
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DeLay, Nathan. "The Impact of Federal Crop Insurance on the Conservation Reserve Program." Agricultural and Resource Economics Review 48, no. 02 (August 2019): 297–327. http://dx.doi.org/10.1017/age.2019.9.
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I directly estimate the acre-for-acre impact of crop insurance participation on Conservation Reserve Program (CRP) enrollment at the county level. The government may be sponsoring competing interests if subsidized insurance expands production at the expense of CRP. I employ an instrumental variables technique to correct for endogeneity in insurance decisions. Results suggest that an additional 1,000 acres insured reduces CRP enrollment by about three acres, though effect sizes vary by region. Local policy initiatives such as conservation compliance incentives could help offset local environmental consequences of converting land from CRP to insured production.
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Lipscy, Phillip Y., and Haillie Na-Kyung Lee. "The IMF As a Biased Global Insurance Mechanism: Asymmetrical Moral Hazard, Reserve Accumulation, and Financial Crises." International Organization 73, no. 1 (November 5, 2018): 35–64. http://dx.doi.org/10.1017/s0020818318000371.
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AbstractA large literature has established that the International Monetary Fund (IMF) is heavily politicized. We argue that this politicization has important consequences for international reserve accumulation and financial crises. The IMF generates moral hazard asymmetrically, reducing the expected costs of risky lending and policies for states that are politically influential vis-à-vis the institution. Using a panel data set covering 1980 to 2010, we show that proxies for political influence over the IMF are associated with outcomes indicative of moral hazard: lower international reserves and more frequent financial crises. We support our causal claims by applying the synthetic control method to Taiwan, which was expelled from the IMF in 1980. Consistent with our predictions, Taiwan's expulsion led to a sharp increase in precautionary international reserves and exceptionally conservative financial policies.
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Moro, Eric Dal, and Yuriy Krvavych. "PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGINS: PRACTICAL APPROXIMATIONS." ASTIN Bulletin 47, no. 3 (June 15, 2017): 737–85. http://dx.doi.org/10.1017/asb.2017.12.
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AbstractThe new Solvency II Directive and the upcoming IFRS 17 regime bring significant changes to current reporting of insurance entities, and particularly in relation to valuation of insurance liabilities. Insurers will be required to valuate their insurance liabilities on a risk-adjusted basis to allow for uncertainty inherent in cash flows that arise from the liability of insurance contracts. Whilst most European-based insurers are expected to adopt the Cost of Capital approach to calculate reserve risk margin — the risk adjustment method commonly agreed under Solvency II and IFRS 17, there is one additional requirement of IFRS 17 to also disclose confidence level of the risk margin.Given there is no specific guidance on the calculation of confidence level, the purpose of this paper is to explore and examine practical ways of estimating the risk margin confidence level measured by Probability of Sufficiency (PoS). The paper provides some practical approximation formulae that would allow one to quickly estimate the implied PoS of Solvency II risk margin for a given non-life insurance liability, the risk profile of which is specified by the type and characteristics of the liability (e.g. type/nature of business, liability duration and convexity, etc.), which, in turn, are associated with•the level of variability measured by Coefficient of Variation (CoV);•the degree of Skewness per unit of CoV; and•the degree of Kurtosis per unit of CoV2.The approximation formulae of PoS are derived for both the standalone class risk margin and the diversified risk margin at the portfolio level.
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Yakymchuk, Alina, Taras Mykytyn, and Andriy Valyukh. "Management of the nature conservation areas of Ukraine’s Polissya region based on the international experience." Problems and Perspectives in Management 15, no. 1 (May 10, 2017): 183–90. http://dx.doi.org/10.21511/ppm.15(1-1).2017.05.
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In ensuring sustainable development an important role belongs to natural preservation areas with different functions and modes of preservation, where an important place is occupied by natural conservation territories and natural conservation objects that form the natural reserve fund. A system of management of natural reserve fund of Ukraine is associated with many problems and shortcomings. The authors have studied the experience of efficient management of similar institutions in other countries, such as the national natural and regional landscape parks. They have outlined prospects for the development of natural reserves in Ukraine in accordance with international standards and requirements. They have also outlined innovative tools for the protection of biodiversity. They have offered a range of measures to improve the efficiency of the system of management of natural reserves based on the best international practices (establishing standard expenses of the state budgetary financing, insurance, the use of geoinformation technologies, grant projects and programs, adaptive management, restructuring of management, improvement of the organizational structure, effective system of paid services, etc.).
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Pantelous, Athanasios A., and Eudokia Passalidou. "Optimal strategies for a non-linear premium-reserve model in a competitive insurance market." Annals of Actuarial Science 11, no. 1 (September 22, 2016): 1–19. http://dx.doi.org/10.1017/s1748499516000129.
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AbstractThe calculation of a fair premium is always a challenging topic in the real-world insurance applications. In this paper, a non-linear premium-reserve (P-R) model is presented and the premium is derived by minimising a quadratic performance criterion. The reserve is a stochastic equation, which includes an additive random non-linear function of the state, premium and not necessarily Gaussian noise, which is, however, independently distributed in time, provided only that the mean value and the covariance of the random function is 0 and a quadratic function of the state, premium and other parameters, respectively. In this quadratic representation of the covariance function, new parameters are implemented and enriched further by the previous linear models, such as the income insurance elasticity of demand, the number of insured and the inflation in addition to the company’s reputation. The quadratic utility function concerns the present value of the reserve. Interestingly, for the very first time, the derived optimal premium in a competitive market environment is also dependent on the company’s reserve among the other parameters. Finally, a numerical application illustrates the main findings of the paper.
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Chan, C. Y., L. B. Shi, and Y. X. Ni. "Decentralized decision on operating reserve considering insurance and penalty policies." European Transactions on Electrical Power 19, no. 3 (April 2009): 411–22. http://dx.doi.org/10.1002/etep.228.
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Liu, Youfei, F. F. Wu, Y. X. Ni, and Bin Cai. "Managing and operating the reserve market as one insurance system." Electric Power Systems Research 77, no. 10 (August 2007): 1363–72. http://dx.doi.org/10.1016/j.epsr.2006.10.013.
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Lemishovska, Olesia, and Iryna Yaremko. "CAPITAL RESERVE MANAGEMENT OF PUBLIC COMPANIES: ACCOUNTING TOOLS AS INFORMATION FUNCTION OF TARGET MECHANISM." Baltic Journal of Economic Studies 7, no. 3 (June 25, 2021): 150–58. http://dx.doi.org/10.30525/2256-0742/2021-7-3-150-158.
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The purpose of the article is to present the financial and economic content and purpose of capital reserves, insurance funds to ensure future costs and payments as the main components of the reserve system of public companies. The methods of theoretical and comparative analysis allowed to expand the view of the objects of reservation in the global space by comparing the norms of international standardization of financial reporting and the mandatory requirements of individual states in the field of reservation. The research methodology covers the analysis of reserved sources for Ukrainian and global companies in the context of the large-scale socio-economic crisis caused by the global COVID-19 pandemic. Based on a comparative assessment of the potential of reserve sources of surveyed companies, reservation in today’s crisis economy and in the foreseeable future is one of the most necessary and important means of ensuring the stable operation of socially significant companies. The study of regulatory norms of different states and principles and norms of standardization of public financial reporting led to the conclusion that for internal management purposes and market counterparties and public administration in the face of increasing unpredictability and depth of risk requires a more detailed and reliable information base on existing modern companies reserved funds to overcome the risks of loss (reduction) of capital. The practical consequences of weak imperatives on the obligation to create reservation facilities have been reflected in the allocation of subsidies from the state budgets of different countries to commercial structures in many areas of the economy. The existing issues actualize multi-vector developments in the system of interdisciplinary research, which substantiates the scientific legitimacy and relevance of our study. The results of analytical and logical approaches in assessing the state of backup support for Ukrainian and well-known international companies became the basis for obtaining evidence and arguments in formulating the parameters of adequate information for the current needs of targeted management of backup processes. The methods of verification of reserve system components proposed in this study can be used to establish general trends in the development of information parameters (accounting and public reporting system) in the field of reserve management and future losses (reduction) of capital of modern public companies.