- Autor
- Bijak Wojciech (Szkoła Główna Handlowa w Warszawie), Smętek Mariusz, Szymański Grzegorz
- Tytuł
- Valuation of Insurance Liabilities - Cost of Capital Method
- Źródło
- Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2007, nr 17, s. 225-246, rys., tab., bibliogr. 27 poz.
- Tytuł własny numeru
- Discovering patterns in economic data
- Słowa kluczowe
- Międzynarodowe Standardy Rachunkowości (MSR), Towarzystwa ubezpieczeniowe, Ryzyko w ubezpieczeniach, Instrumenty finansowe, Dyrektywa Solvency II
International Accounting Standards (IAS), Insurance company, Insurance risk, Financial instruments, Solvency II directive - Uwagi
- summ.
- Abstrakt
- Valuation of liabilities (technical provisions) arising from insurance contracts constitutes the key issue for the safety of insurance undertakings. Works on International Accounting Standards and on Solvency II project are aimed at establishing rules of market consistent valuation of insurance liabilities. Such standards have been worked out for the valuation of assets. The question of the definition of market consistent valuation of technical provisions remains unanswered. At present there are two potential standards under consideration: the percentile approach already used in a number of countries and the cost of capital approach used only in Switzerland among European countries and promoted by large insurance undertakings and the CEA (Comité Européen des Assurances), an organisation for European insurance associations and unions. The article presents basic rules for liabilities valuation, methods of market consistent valuation of insurance liabilities with particular consideration of the cost of capital method, and methods of calculating the cost of capital rate. Example results of liabilities valuation - according to both the percentile approach and the cost of capital approach concern the provisions for claims outstanding for non-life insurance undertakings operating in Poland. (original abstract)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Bibliografia
-
- American Academy of Actuaries, Fair Valuation of Insurance Liabilities: Principles and Methods, Public Policy Monograph, September 2002.
- APRA, General Insurance, "Risk Margins Industry Report", October 2005.
- Bijak W., Smętek M., Szymański G., Analysis of the provisions for claims outstanding for non-life insurance based on the run-off triangles, UKNUiFE, Warsaw 2006. http://www.knf.gov.pl/_gAllery/41/14/4114/Analysis_of_the _provisions _2006.pdf
- CEA, Working Document on Cost of Capital - Draft for discussion purposes only, Brussels, [] 2006.
- CEIOPS, Advice to the European Commission in the Framework of the Solvency II project on Pillar I issues - further advice, March 2007.
- CEIOPS, QIS3 Technical Specifications, April 2007.
- CRO Forum, A market cost of capital approach to market value margins - Discussion paper, 17th March 2006.
- Cummins J,D., Phillips R.D., Estimating the Cost of Equity Capital for Property- Liability Insurers, The Journal of Risk and Insurance, 2005, Vol. 72 No. 3, pp. 441-478. (Earlier version of: Working Paper 03-17, The Wharton Financial Institutions Center, June 23, 2003).
- Denuit M., Dhaene J., Goovaerts M., Kaas R., Actuarial Theory for Dependent Risks - Measures, Orders and Models, John Wiley & Sons, Chicaster 2005.
- The Groupe Consultatif, Solvency II: Risk Margin Comparison, a letter to CEIOPS of 13 February 2006.
- FOPI, The Swiss Experience with Market Consistent Technical Provisions - the Cost of Capital Approach, 24th February 2006.
- Hairs C. J., D. J. Belsham, N. M. Bryson, C. M. George, D. J. P. Hare, D. A. Smith and S. Thompson, Fair Valuation of Liabilities, Institute of Actuaries and Faculty of Actuaries, 2001.
- Herzig B., Market-Consistent Valuation of Insurance Liabilities - Quantile and Cost of Capital Approaches, FMA Discussion Paper, 8th March 2006, (technical material of CEIOPS, not to be published outside CEIOPS).
- Hitchcox A. N., Hinder I. A., Kaufman A. M., Maynard T. J., Smith A. D. and White M. G., Assessment of Target Capital for General Insurance Firm, Presented to the Institute of Actuaries on 27th November, 2006.
- IAA, Measurement of Liabilities for Insurance Contracts: Current Estimates and Risk Margins, February 23, 2007.
- IAIS, Issues arising as a result of the IASB's Insurance Contracts Project - Phase II, Second Set of IAIS Observations, IAIS May 2006.
- IASB, Draft Statement of Principles, IASB, London 2001.
- IASB, Information for observers: Insurance contracts, Estimating cash flows, Risk margins, Embedded derivatives, IASB, London March 2006.
- IASB, Preliminaiy Views on Insurance Contracts - Discussion Paper, IASB, London, May 2007.
- Insurers' cost of capital and economic value creation: principles and practical implications, Swiss Re, Sigma No 3/2005.
- Landsman Z., Valdez E., Tail Conditional Expectations for Elliptical Distributions, 2002.
- Mack T., Distribution-free calculation of the standard error of Chain Ladder reserve estimates, ASTIN Bulletin, 1993, No. 23.
- Mack T., Measuring the Variability of Chain Ladder Reserve Estimates, CAS 1994 Spring Forum.
- Mack T., The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor, ASTIN Bulletin, 1999, No. 29.
- Nakada P., Shah H., Koyluoglu H.U., Collignon O., P&C RAROC: A catalyst for Improved Capital Management In the Property and Casualty Insurance Industry, The Journal of Risk Finance, Fall 1999.
- Ruygt F., Cost of capital approach for setting risk margins for insurance contracts liabilities, IASB, Information for Observers, 3 January 2006.
- Yamai Y., and Yoshiba T., Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk, Monetary and Economic Studies, April 2002.
- Cytowane przez
- ISSN
- 1232-4671
- Język
- eng
