| Abstract [eng] |
Solvency II vs Classics. Starting from January 1, 2016 the "Solvency II" directive came into force in EU. Together with numerous changes in risk management a new structure of technical provisions was introduced. Usual structure consisting of Outstanding Claims Technical Provision, Unexpired Risk Technicnical Provision and Unearned Premium Technical Provision was changed into that consisting of Claims and Premium reserve Best Estimates and additional Risk Margin. There is no clear indication as to how these Best Estimates should be evaluated. The goal of the following Master thesis is to analyze the suitability of some of the wel known classical reserving methods for the task. In the first part of the thesis, short theoretical introduction of the methods can be found, in the second part a hypothetical MTPL claim development model is created and suitability of classical reserving methods for estimation of the Claims Provision Best Estimate are then compared for this model. Also the Chain Ladder method was put against Bornhuetter-Ferguson method and it was shown how one can compare their precision with respect to Mean Squared Error. Also it is shown that there are methods suitable to ensure prudency but unfortunately not necesarily acurracy of the estimators. |
