KTH Matematik  

Matematisk Statistik

Tid: 12 juni 2012 kl 14.15-15.00. (NEW PLACE AND TIME!)

Seminarierummet D3, Lindstedts väg 5, plan 1. Karta!

Föredragshållare: Jonas Alm

Titel: A simulation model for calculating solvency capital requirements for a non-life insurance company

Abstract To stay solvent, an insurance company must have enough assets to cover its liabilities towards its policyholders. In this talk we develop a general technique for constructing a simulation model that is able to generate a solvency capital requirement (SCR) value for a non-life insurance company. The only input to the model are assumptions about the distributions of payment patterns and ultimate claim amounts. These assumptions should ideally be based on findings in empirical data studies.

We illustrate the modeling technique by considering a specific case with motor insurance data from the Swedish insurance company Folksam. The SCR values generated by the simulation model with different distributional assumptions in this specific case are analyzed and compared to the SCR value calculated using the Solvency II standard model. The most important finding was that the uncertainty in prediction of the trend in ultimate claim amounts affect the SCR substantially. Insurance companies and supervisory authorities should be aware of the effects of this trend prediction uncertainty when building and evaluating internal models in the Solvency II or other regulatory frameworks.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009