| Abstract [eng] |
The main purpose of this master thesis is to analyze and model the impact of inflation risk on the calculation of technical provisions in the insurance sector, with a focus on the application of stochastic methods in conjunction with the Chain Ladder approach. The work consists of three main parts: literature analysis, methodology, and practical analysis. The literature analysis reviews key aspects of technical provisions, the influence of inflation on the insurance sector, and stochastic methods for modeling inflation risk. Additionally, it presents various approaches for improving the analysis and compares several methods to demonstrate why the Chain Ladder approach is considered superior in the insurance domain. Following the literature analysis, an overview of research methods is conducted to deepen the understanding of the selected methods and the rationale behind their application, such as ARIMA, GARCH, etc. After assessing the analytical methods, the practical part follows, where stochastic inflation risk modeling is performed using R software. This involves calculating technical provisions using the Chain Ladder method. The research revealed how the forecasted reserves change when applying a stochastic inflation model or a stochastic discounting model. The conclusions and recommendations summarize that the analysis indicated that, based on the data used, the Chain Ladder method might not be the optimal choice. |
