Calculation of solvency capital requirements for non-life underwriting risk using generalized linear models

The paper presents various GLM models using individual rating factors to calculate the solvency capital requirements for non-life underwriting risk in insurance. First, we consider the potential heterogeneity of claim frequency and the occurrence of large claims in the models. Second, we analyse how the distribution of frequency and severity varies depending on the modelling approach and examine how they are projected into SCR estimates according to the Solvency II Directive. In addition, we show that neglecting of large claims is as consequential as neglecting the heterogeneity of claim frequency. The claim frequency and severity are managed using generalized linear models, that is, negative-binomial and gamma regression. However, the different individual probabilities of large claims are represented by the binomial model and the large claim severity is managed using generalized Pareto distribution. The results are obtained and compared using the simulation of frequency-severity of an actual insurance portfolio.Web of Science26446645

The implications of the economic crisis for pensions and pension policy in Europe

The financial crisis has affected European pensions in both the short and longer term. Members of funded pension systems nearing retirement experienced a sharp contraction in pension wealth as equity markets fell. Market turmoil has damaged public trust in such schemes and has caused employers to revise their pension obligations. Countries running funded schemes based on a share of mandatory contributions are faced with rising transition costs as unemployment rises and tax bases shrink. Pressure on public expenditure has caused some governments to raise pensionable ages and even cut pensions in payment, while reducing future public pension obligations. Thus the crisis has forced politicians to address the consequences of societal ageing while exposing the fallibility of funded schemes as a source of pension security. Fundamental questions about the prolongation of working lives remain to be resolved