АКТУАРНЫЕ РАСЧЕТЫ в 2 ч. Часть 1. Учебник и практикум для бакалавриата и магистратуры
The chapter studies a dynamic risk model defined on infinite time interval, where both insurance and per-claim reinsurance policies are chosen by the insurer in order to minimize a functional of the form of variation coefficient under constraints imposed with probability one on insured's and reinsurer's risks. We show that the optimum is achieved at constant policies, the optimal reinsurance is a partial stop loss reinsurance and the optimal insurance is a combination of stop loss and deductible policies. The results are illustrated by a numerical example involving uniformly distributed claim sizes.
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.
The monograph is devoted to the problems arising in the analysis of demographic processes, the calculation of net rates and assessment of reserves in the major life insurance contract. The results of studies involving various related parties of the analyzed issues. For example, given a detailed comparative analysis of pre- and disadvantages of organization of the insurance market in Russia and abroad. With used - vaniem various techniques built a ranking of countries in terms of development of the market under study.
The basis of actuarial calculations in the basic life insurance contracts are demo graphic processes: in particular, information about the mortality rate. The foundation for the construction of a net rates and valuation reserves in the life insurance contract is the data of mortality tables, which are based, in turn, is an indicator of how Vero die before reaching next age interval. In this regard, the authors present the theoretical aspects of the construction of the net rates and valuation reserves in life insurance contracts. The paper discusses methods of constructing mortality tables , raised the problem of statistical analysis of demographic processes in actuarial calculations, an overview of the basic formulas used to derive the net rates and valuation reserves in life insurance contracts.
The authors of the classification of the Russian Federation in terms of economic and demographic character. Some representatives of the obtained clusters The results of the study of the dynamics of demographic processes. It analyzes the main trends in life expectancy at age and sex and the regional context.
Of course, the authors have paid special attention to the analysis of the impact of demographic, financial factors on change of the tariff policy of life insurance contracts, as well as the impact on the rate and size of the allowance conditions of the contract. The research data for the city of Moscow as a financial and information center of Russia, which significantly affects the development of the insurance market as a whole (not only in the life insurance sector).
The results of these studies may be interested in a wide range of professionals in the field of economics, actuarial calculations in life insurance analysts.
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.
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.