کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077441 1374130 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bayesian modelling of financial guarantee insurance
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Bayesian modelling of financial guarantee insurance
چکیده انگلیسی
In this paper we model the claim process of financial guarantee insurance, and predict the pure premium and the required amount of risk capital. The data used are from the financial guarantee system of the Finnish statutory pension scheme. The losses in financial guarantee insurance may be devastating during an economic depression (i.e., deep recession). This indicates that the economic business cycle, and in particular depressions, must be taken into account in modelling the claim amounts in financial guarantee insurance. A Markov regime-switching model is used to predict the frequency and severity of future depression periods. The claim amounts are predicted using a transfer function model where the predicted growth rate of the real GNP is an explanatory variable. The pure premium and initial risk reserve are evaluated on the basis of the predictive distribution of claim amounts. Bayesian methods are applied throughout the modelling process. For example, estimation is based on posterior simulation with the Gibbs sampler, and model adequacy is assessed by posterior predictive checking. Simulation results show that the required amount of risk capital is high, even though depressions are an infrequent phenomenon.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 2, October 2008, Pages 245-254
نویسندگان
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