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  1. 2 Roczniki Kolegium Analiz Ekonomicznych

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  1. 1 2007

  2. 1 2005

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  1. 2 Bijak W.

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Measures of the insolvency Risk of insurance companies

100%
Bijak W.
Roczniki Kolegium Analiz Ekonomicznych
|
2005
|
vol. 14
77-101
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.
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Extended Solvency Margin as a Measure of the Insolvency Risk of Life Insurance Companies

100%
Bijak W.
Roczniki Kolegium Analiz Ekonomicznych
|
2007
|
vol. 17
247-266
EN
The article describes models used to determine the insolvency risk of life insurance companies. This paper gives a presentation of the solvency margin, and the concept of the extended solvency margin. It further describes the concept of a scale of safety, which allows the risk of an insurance company to be expressed in terms of capital requirement. A method is presented for assessing the extended solvency margin (ESM). The risk of insolvency is analyzed in an annual time perspective. The theoretical discussion is illustrated with empirical examples derived from life insurance companies operating as joint stock companies in Poland in the period 1995-2003.
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