Measures of the insolvency Risk of insurance companies

• Authors: Bijak W.
• Languages of publication: PL

Abstracts

EN

The article contains a presentation of the basic models methods and measures used to determine the risk of insolvency of an insurance company. The topics discussed include the solvency margin, risk-based capital and the probability of ruin. The concept of a scale of safety is introduced; this allows the extent of the risk involved in the activities of the insurance company to be expressed in terms of capital requirement. A method for calculating the extended solvency margin (ESM) is proposed. The model of risk-based capital (RBC) is presented in the standard version, using fixed RBC coefficients. The probability of ruin (risk of insolvency) in an annual time-frame has been determined using analytical methods and simulations. The theoretical discussion is illustrated with empirical examples derived from the activities of non-life insurance companies operating as joint stock companies in Poland in the period 1995-2002.

Keywords

EN

NON-LIFE INSURANCE; PROBABILITY OF RUIN; RISK-BASED CAPITAL; SOLVENCY MARGIN

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Warsaw School of Economics, Collegium of Economic Analysis
• Journal: Roczniki Kolegium Analiz Ekonomicznych
• Year: 2005
• Volume: 14
• Pages: 77-101
• Document type: ARTICLE

Contributors

author

Bijak W.

• W. Bijak, Szkola Glówna Handlowa w Warszawie, Instytut Ekonometrii, al.Niepodleglosci 164, 02-554 Warszawa, Poland

Identifiers

CEJSH db identifier

06PLAAAA00731804