Исследование детерминант системной значимости страховых компаний
We suggest an econometric model of probability of default based on regular financial disclosures of Russian banks. We also suggest a quantization of the continuous explanatory variables that allows to account for non-linear effects and to achieve superior accuracy compared with regression tree and Bayesian network models estimated over the same sample. The econometric estimates of probability of default are broadly consistent with the historical default frequencies of rated obligors and risk-neutral probabilities of default inferred from credit spreads in a reduced-form model.
Nowadays insurance market is one of the most rapidly developing sectors of economy, the purpose of which is to protect the property interests of individuals and legal entities under ensuing of specific events (insured accidents) at the expense of monetary funds formed from insurance dues (insurance premiums) paid by them. Probabilistic nature of insured accidents as well as the uncertainty of the moment of their occurrence and the severity of losses leads to the necessity of forming loss reserves. Reserves for incurred but not reported claims (hereinafter referred to as IBNR reserves) seem to be the most challenging in terms of actuarial calculations. The following article provides the descriptions of various actuarial techniques of loss reserving and examples of their application to a real insurance portfolio. In this paper the point estimating methods such as Chain Ladder, Bornhuetter-Fergusson, multiplicative techniques are compared with the stochastic method of Bootstrap and the most accurate estimate is determined using run-off analysis.
Investment income is one of the most important source of income for an insurance company, but since the investment process implies handling serious risks, the investment policy of global insurance faces extremely high requierements. The objective of the study was to investigate the risk of ‘ruin’ and to evaluate the probability that an insurer will become insolvent through fitting the Wilkie stochastic investment model (A.D.Wilkie, 1986; 1995) on the indicators influencing the performance of insurance companies in Russian Federation. The paper describes how these models can be applied taking into account the features of the Russian economy and the insurance market.
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.
The author analyzes the most widely applied risk management standards in Russia, emphasizing the lack of a clear system for operational risk management. Reviewing the challenges emerging on European markets due to the introduction of the Solvency II directive, he suggests approaches to the solution of possible problems for Russian insurers.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.