Prague Economic Papers 2015, 24(2):173-191 | DOI: 10.18267/j.pep.507

Econometric Model of the Czech Life Insurance Market

Radek Hendrych1, Tomáš Cipra2
1 Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Charles University in Prague, Prague, Czech Republic (hendrych@karlin.mff.cuni.cz).
2 Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Charles University in Prague, Prague, Czech Republic (cipra@karlin.mff.cuni.cz).

The aim of the article is to introduce a complex econometric model of cash-lows for the Czech life insurance market. Namely, technical-actuarial links among insurance variables observed in annually published summary balance sheets of life insurers are described by means of an econometric system of linear simultaneous equations. The suggested model is statistically veri ed and thus it can provide useful economic interpretations. Further, adjusted residual bootstrapping is introduced in this context as a straightforward alternative which can solve possible problems with questionable asymptotic distribution properties of residuals. This technique can be applied e.g. for signi cance testing purposes. Finally, an important practical illustration of scenario analysis is considered. Such an analysis might be really useful, e.g. for internal calculations of the Czech life insurers, nancial planning or stress testing in the framework of Solvency II. Two general approaches are presented: deterministic and stochastic. The second one is capable of delivering various empirical probabilities concerning possible future developments.

Klíčová slova: econometric model, scenario analysis, econometric system of simultaneous equations, insurance market, life insurance, residual bootstrap, Solvency II
JEL classification: C30, C32, C39, G22

Zveřejněno: 1. leden 2015  Zobrazit citaci

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Hendrych, R., & Cipra, T. (2015). Econometric Model of the Czech Life Insurance Market. Prague Economic Papers, 24(2), 173-191. doi: 10.18267/j.pep.507
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