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2005 | 14 | 77-101

Article title

Measures of the insolvency Risk of insurance companies

Authors

Selected contents from this journal

Title variants

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.

Year

Volume

14

Pages

77-101

Physical description

Document type

ARTICLE

Contributors

author
  • W. Bijak, Szkola Gl√≥wna Handlowa w Warszawie, Instytut Ekonometrii, al.Niepodleglosci 164, 02-554 Warszawa, Poland

References

Document Type

Publication order reference

Identifiers

CEJSH db identifier
06PLAAAA00731804

YADDA identifier

bwmeta1.element.dfe44067-6646-3ddc-88f4-f3c3ebd0a084
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