نوع مقاله : مقاله علمی - پژوهشی
نویسندگان
1 دانشیار گروه بیمسنجی، دانشکدۀ علوم ریاضی، دانشگاه شهید بهشتی
2 کارشناس ارشد بیمسنجی، دانشگاه شهید بهشتی
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Solvency, is one of the most important issues in the financial institutions risk management, particularly insurance companies. In order to investigate solvency, technical reserves is one of the most important elements and emphasis has been placed on this issue by rules and regulations. The purpose of this study is to model non-life insurance risk. There are different approaches in investigating non-life insurance risks. Traditional approach just considers the risk between inception and termination time. However, modern approaches identify and assess the risk on annual basis. Insurance companies need to consider coming years risks in order to manage them especially in economic decision making areas. To model the risk, we use stochastic additive loss reserving method. Total non-life insurance risk consists of risk reserve (deferred settlement of claims) and insurance premiums (future claims). Using a numerical example of a third-party reinsurance, we estimate the non-life insurance risks in one-year time horizon, multi-year time horizon and final few years.
کلیدواژهها [English]
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