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2 Ekonomický časopis (Journal of Economics)

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PROPOSAL FOR SECURITIZATION OF SYSTEMIC RISK IN SLOVAK AGRICULTURE

100%

Pinda Ľ. , Páleš M. , Smažáková L. , Mišota B.

Ekonomický časopis (Journal of Economics)

2021

tom 69

nr 4

359 – 378

The article proposes insurance of agricultural crop represented by hectare yield in Slovakia. There is a systemic risk, for which the fund from collected premiums may not be sufficient for the insurer. It therefore seeks reinsurance in the reinsurance market. If it is exhausted, the reinsurer transfers the unbearable part of the risk to the capital market by means of ILS instruments, namely CAT bonds. The indicator of a loss event is the value of the loss index. The diverse geographical relief of Slovakia causes different conditions for farmers to grow crops. We took wheat in our article. Different hectare yields are achieved due to different geographical conditions in the same production process. This causes a balance distortion between the amount of the same premium and the amount of the risk borne and the existence of a basis risk. Due to its elimination, we will divide growers according to cultivated land into agricultural production areas, where the achieved hectare yields are registered, and we will evaluate CAT bond for each of them. The risk is then transferred to the capital market. For a securitization process to be feasible, the tradability of a CAT bond is essential.

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

100%

Mucha V. , Páleš M. , Sakálová K.

Ekonomický časopis (Journal of Economics)

2016

tom 64

nr 9

878 – 893

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.