CALCULATION OF THE CAPITAL REQUIREMENT USING THE MONTE CARLO SIMULATION FOR NON-LIFE INSURANCE

• Autorzy: Mucha Vladimír , Páleš Michal , Sakálová Katarína
• Języki publikacji: EN

Abstrakty

EN

The aim of the paper is to demonstrate the possibility of using the Monte Carlo method within the field of risk reduction within the framework of a developed model by applying a particular form of insurance. It is focused on the area of non-life insurance in which the collective risk model is suitable for describing the total claims in a given portfolio of insurance contracts. The Monte Carlo simulation method is the starting point, from which one can generate values of the total claim amount and their statistical treatment for the needs of measuring the value of the capital required to ensure solvency. As a final result the paper presents simulations as an effective problem solving tool, by enabling the development of interactive studies in the risk management process. The methodology presented makes use of Visual Basic for Applications under Microsoft Excel. This opens up the potential of developing actuarial software for solving risk reduction problems by applying various forms of insurance. Given the ability of the method to react flexibly to changes in the given form of insurance or its parameters can be used also to optimise the choice of suitable scenarios.

Słowa kluczowe

EN

MONTE CARLO SIMULATION; INSURANCE; CAPITAL REQUIREMENT; RISK MANAGEMENT PROCESS

• Wydawca: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Czasopismo: Ekonomický časopis (Journal of Economics)
• Rocznik: 2016
• Tom: 64
• Numer: 9
• Strony: 878 – 893

Twórcy

autor

Mucha Vladimír

• University of Economics in Bratislava, Faculty of Economic Informatics, Dept of Mathematics and Actuarial Science, Dolnozemská cesta 1, 852 35 Bratislava 5, Slovak Republic,

autor

Páleš Michal

autor

Sakálová Katarína