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Uma Abordagem Determinística e Estocástica na Mensuração das Provisões para Sinistros
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| 1.14 MB | Adobe PDF |
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Resumo(s)
Representando um instrumento fundamental de gestão de risco e correspondendo ao passivo maioritário da seguradora, as provisões técnicas têm impacto direto na solvência das empresas, comprometendo, por exemplo, o volume de impostos a pagar e a análise das demonstrações financeiras em situações de fusões e aquisições. Entre as provisões técnicas existentes, este estudo abrangerá as provisões para sinistros, as quais são de grande relevância para os ramos de seguro não vida. Para calcular essas provisões podem ser usados modelos determinísticos ou modelos estocásticos. O objetivo é estimar e analisar os valores das provisões para sinistros, do Ramo Automóvel, de uma Seguradora do mercado português, utilizando, para tal, dados de um horizonte temporal de 20 anos, através de metodologias determinísticas e estocásticas e, com isso, responder à questão principal do estudo: está a Seguradora a provisionar corretamente os sinistros que estão declarados e não estão totalmente regularizados e os sinistros que ocorrerem e não foram declarados?
Representing a fundamental risk management instrument and corresponding to the majority liability of the insurance company, technical provisions have a direct impact on the solvency of companies, compromising, for example, the volume of taxes payable and the analysis of financial statements in situations of mergers and acquisitions. Among the existing technical provisions, this study will cover provisions for outstanding claims, which are of great relevance for the non-life insurance lines. To calculate these provisions, deterministic models or stochastic models can be used. Therefore, the objective is to estimate and analyse the values of the reserves, of the automobile line of business, of an insurance company in the Portuguese market, using data from a 20-year time horizon, through deterministic and stochastic methodologies and with that answer the main question of the study: is the Insurer correctly provisioning the claims that have been declared and are not fully settled and the claims that have occurred and have not been declared?
Representing a fundamental risk management instrument and corresponding to the majority liability of the insurance company, technical provisions have a direct impact on the solvency of companies, compromising, for example, the volume of taxes payable and the analysis of financial statements in situations of mergers and acquisitions. Among the existing technical provisions, this study will cover provisions for outstanding claims, which are of great relevance for the non-life insurance lines. To calculate these provisions, deterministic models or stochastic models can be used. Therefore, the objective is to estimate and analyse the values of the reserves, of the automobile line of business, of an insurance company in the Portuguese market, using data from a 20-year time horizon, through deterministic and stochastic methodologies and with that answer the main question of the study: is the Insurer correctly provisioning the claims that have been declared and are not fully settled and the claims that have occurred and have not been declared?
Descrição
Project Work presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
Palavras-chave
Provisão para sinistro Chain Ladder Thomas Mack Bootstrap Bornhuetter-Ferguson Claims provision