Regensburg 2007 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 2: Financial Markets and Risk Management I

AKSOE 2.5: Vortrag

Montag, 26. März 2007, 12:15–12:45, H8

A stochastic model for claim reserves in P&C insurance companies — •Magda Schiegl — Haydnstr. 6, 84088 Neufahrn

During the last few years holistic risk management has gained importance in banking and insurance business in connection with the new EU wide regulatory framework. In insurance industry the regulatory framework is called solvency 2. It is going to implement a new, efficient supervisory basis that enables the risk - orientated and principle based calculation of the economic capital. This is the capital shareholders should invest in the company in order to limit the probability of default to a given level within a given time horizon.

In property and casualty (P&C) insurance companies the claim reserves are a very important liability position in the balance sheet. They are necessary to cover the liabilities arising from insurance contracts written in the presence and past. We introduce a stochastic model for claim reserves. The model consists of two sub - models: One for the number of active claims and one for the claim pa0yments. Further we perform Monte Carlo simulations on the basis of this model. The result is the probability distribution of the reserves. This is the basis for further risk calculation and management in P&C insurance companies.