Abstract
This contribution introduces and discusses a complex econometric model of non-life technical provisions based on the Czech non-life insurance market data. Selected economic-actuarial relations among given insurance variables are described by means of the dynamic linear system of simultaneous equations.
In particular, the provision for outstanding claims, the provision for unearned premium, the other (marginal) technical provisions, the acquisition and administrative expenses, the benefit expenses, and their mutual interactions are studied in greater detail. The suggested econometric model is estimated, statistically verified, and interpreted with special regard to the actuarial point of view.
The proposed modelling scheme can be further employed for prognosing the considered non-life technical provisions. Particularly, these forecasts can be taken into account by non-life insurance companies in their internal calculations (e.g. for financial planning purposes, for verifying the sufficiency of non-life technical provisions, or for liability adequacy tests LAT) or by an insurance regulator (e.g. for performing stress tests).
Alternatively, this approach might motivate development of an internal model applicable in the Solvency II framework. Both deterministic and randomly generated scenarios are analysed; they are capable of delivering relevant outputs for formulating various recommendations and conclusions.