Browsing by Subject "takausvakuutus"

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  • Puustelli, Anne; Koskinen, Lasse; Luoma, Arto (2007)
    In this research we model the claim process of financial guarantee insurance and predict the pure premium and the required amount of risk capital. The used data is from the financial guarantee system of the Finnish statutory pension scheme. The losses in financial guarantee insurance may be devastating during an economic depression (that is, deep recession). This indicates that the economic business cycle, and in particular depressions, must be taken into account when the claim amounts of financial guarantee insurance are modelled. A Markov regime-switching model is used to predict the number and length of depression periods in the future. The claim amounts are predicted by using a transfer function model where the predicted growth rate of real GNP is an explanatory variable. The pure premium and initial risk reserve are evaluated on the basis of the predictive distribution of claim amounts. Bayesian methods are applied throughout the modelling process. For example, the Gibbs sampler is used in the estimation of the business cycle model. Simulation results show that the required amount of risk capital is high even though depression is an infrequent phenomenon.