C18 - Methodological Issues: GeneralReturn

Estimation of claims reserves, which should be held by the insurer so as to be able to meet expected future claims arising from policies currently in force and policies written in the past, presents an important task for insurance companies to predict their liabilities. A common approach to the reser-ving problem is based on generalized linear models (GLM). In this article, the application of genera-lized linear mixed models (GLMM) - an extension of the GLM - for estimation of the loss reserves is shown. Since the GLMM allows incorporating a random effect instead of several fixed effects corresponding to the accident years as in case of the GLM, volatility of the prediction is reduced. This allows more flexible risk valuation, which is a crucial element of risk management and capital allocation practices of non-life insurers. A real data example together with diagnostics for the model selection are provided as an illustration of the potential benefits of the presented approach.

The paper highlights the results of the survey of potential retail customers. The survey emphasizes the relationship between their responses to the chosen marketing pricing strategies and the perception of the introduction of the euro and the crisis. The multi-dimensional techniques were used to implement input data concerning perceptions of the euro introduction and the crisis in order to create a segmentation of respondents dividing them into: optimists, pessimists, crisispessimists, euro-pessimists, profiteers. It was subsequently proven that the responses of the members of these segments to the chosen pricing strategies EDLP (Every Day Low Pricing), Hi-Lo (High Low Pricing) and PMG (Price Matching Guarantees) differ significantly. Furthermore, the relation between the found segmentation and the subjective perception and assignment to the social group from the point of financial security is shown. Moreover, further segmentation of respondents according to their subjective anxiety about their future was carried out. Finally, the emphasis is put on the relation between the perception of the euro introduction in the country during the current influence of the world economic crisis on potential retail customers in the East Slovak Region and their subjective anxiety about their future.

At present the majority of advanced countries are dealing with the problem of the ageing of the population. The Czech Republic is no exception. Demographic ageing is caused by the fact that mortality is dropping, especially infant mortality, and this expectation of life at birth. At the same time the birth rate is declining and subsequently total fertility rate drops below the preservation level of simple reproduction, which means that there are less children and more persons in particular in the older and oldest age-groups. It is very important to realise that the changes in the level of mortality bring with them positive impacts in lengthening of life expectancy on the one hand, but on the other hand, there is significant demographic ageing of the population. In this contribution we would like to show how the life expectancy has developed in the Czech Republic in a historical context and how it might develop in the coming years. For professionals the application of the Lee-Carter method will certainly be interesting - this is a method commonly used in the world by demographers and actuaries for modelling the future development of mortality and it is also the basic method used for stochastic demographic projections.