Análisis comparativo de metodologías para la cuantificación de provisiones técnicas en entidades aseguradoras. Adaptación a Solvencia II
| Autor: | Jessica Paule-Vianez, Manuel Granado-Sanchez, José Luis Coca-Pérez |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Generalized linear model
Percentile solvencia ii Context (language use) Poisson distribution 01 natural sciences lcsh:K4430-4675 010104 statistics & probability symbols.namesake Overdispersion provisiones técnicas 0502 economics and business lcsh:Finance lcsh:HG1-9999 Econometrics 0101 mathematics bootstrap lcsh:Public finance General Environmental Science Mathematics Solvency 050208 finance Link function lcsh:HB71-74 05 social sciences lcsh:Economics as a science modelo lineal generalizado symbols General Earth and Planetary Sciences distribución libre de mack |
| Zdroj: | Revista Mexicana de Economía y Finanzas Nueva Época REMEF, Vol 15, Iss 3, Pp 313-329 (2020) |
| ISSN: | 2448-6795 |
| Popis: | (Comparative analysis of methodologies for the quantification of technical provisions in insurance entities. Adaptation to Solvency II. ) The entry into force of Solvency II has involved a great process of adaptation for insurance companies. One of the aspects affected by Solvency II is in the quantification of risks, and within this in the estimation of the technical provisions to be constituted. The objective of this work is to study the estimation of technical provisions in non-life insurance through stochastic methodology. We compare three of the most popular methods for estimating payments for claims that occurred but not reported, these being the Free Distribution-free of Mack, the Generalized Linear Model assuming a Poisson distribution with Overdispersion along with the logarithmic link function, and the Bootstrap method with simulation. The results show that the Boostrap method with Simulation is the most appropriate method, with the 50th percentile being the most appropriate measure in the presence of negative or excessively high values, which is common in this context. |
| Databáze: | OpenAIRE |
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