Prague Economic Papers 2014, 23(3):349-370 | DOI: 10.18267/j.pep.488

On Sums of Claims and their Applications in Analysis of Pension Funds and Insurance Products

Rastislav Potocký1, Helmut Waldl2, Milan Stehlík3
1 FMFI UK, Mlynská Dolina 842 48, Bratislava 4, Slovak Republic (potocky@fmph.uniba.sk).
2 JKU Linz, Altenbergerstraße 69, A-4040 Linz a. D., Austria.
3 JKU Linz, Austria and Universidad Tecnica Federico Santa Maria, Casilla 110-V, Valparaiso, Chile (Milan.Stehlik@jku.at, milan.stehlik@usm.cl).

The problem that assets of a fund are not sufficient to cover its liabilities is of extreme importance both for its members as well as for fund managers. We show that this problem can be solved via total claims distributions and give answers to the following questions: How much money will be needed in the first pillar in order to satisfy the requirements of pensioners in a time horizon and which groups of working people should join also the second pillar because their benefits from it will be greater than those from the first pillar? Though the paper concentrates primarily on the situation with Slovakian pension funds we believe that our findings are more general. We show that the alternative methods should be used for calculation of extremes. We discuss the so-called barrier strategy for treating the surplus of an insurance company and bring some new results concerning it.

Keywords: light- and heavy-tailed distributions, catastrophic events, claims, first and second, robust approach, Johnson estimators, the 20-80 rule
JEL classification: C19, G22

Published: January 1, 2014  Show citation

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Potocký, R., Waldl, H., & Stehlík, M. (2014). On Sums of Claims and their Applications in Analysis of Pension Funds and Insurance Products. Prague Economic Papers, 23(3), 349-370. doi: 10.18267/j.pep.488
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