Econometric Model of the Czech Life Insurance Market

Radek Hendrych and Tomáš Cipra

Prague Economic Papers, 2015, vol. 2015, issue 2, 173-191

Abstract: The aim of the article is to introduce a complex econometric model of cash-lows for the Czech life insurance market. Namely, technical-actuarial links among insurance variables observed in annually published summary balance sheets of life insurers are described by means of an econometric system of linear simultaneous equations. The suggested model is statistically veri ed and thus it can provide useful economic interpretations. Further, adjusted residual bootstrapping is introduced in this context as a straightforward alternative which can solve possible problems with questionable asymptotic distribution properties of residuals. This technique can be applied e.g. for signi cance testing purposes. Finally, an important practical illustration of scenario analysis is considered. Such an analysis might be really useful, e.g. for internal calculations of the Czech life insurers, nancial planning or stress testing in the framework of Solvency II. Two general approaches are presented: deterministic and stochastic. The second one is capable of delivering various empirical probabilities concerning possible future developments.

Keywords: econometric model; scenario analysis; econometric system of simultaneous equations; insurance market; life insurance; residual bootstrap; Solvency II (search for similar items in EconPapers)
JEL-codes: C30 C32 C39 G22 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.18267/j.pep.507

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