Abstract

PAULE-VIANEZ, Jessica; COCA-PEREZ, Jose Luis  and  GRANADO-SANCHEZ, Manuel. Comparative analysis of methodologies for the quantification of technical provisions in insurance entities. Adaptation to Solvency II. Rev. mex. econ. finanz [online]. 2020, vol.15, n.3, pp.313-329.  Epub Feb 10, 2021. ISSN 2448-6795.  https://doi.org/10.21919/remef.v15i3.377.

The entry into force of Solvency II has involved a great process of adaptation for insurance companies. One of the aspects affected by Solvency II is in the quantification of risks, and within this in the estimation of the technical provisions to be constituted. The objective of this work is to study the estimation of technical provisions in non-life insurance through stochastic methodology. We compare three of the most popular methods for estimating payments for claims that occurred but not reported, these being the Free Distribution-free of Mack, the Generalized Linear Model assuming a Poisson distribution with Overdispersion along with the logarithmic link function, and the Bootstrap method with simulation. The results show that the Boostrap method with Simulation is the most appropriate method, with the 50th percentile being the most appropriate measure in the presence of negative or excessively high values, which is common in this context.

Keywords : Solvency II; Technical Provisions; Claims Reserving; Distribution-free of Mack; Generalized Linear Model; Bootstrap.

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