การประเมินเงินกองทุนทางเศรษฐศาสตร์สำหรับความเสี่ยงของเงินสำรองค่าสินไหมทดแทนธุรกิจประกันวินาศภัยด้วยวิธีมูลค่าความเสี่ยง / ชินวร บาลเพชร = An evaluation of economic capital for reserve risk of non-life insurance business using value at risk approach / Chinnaworn Banpet
To evaluate economic capital for reserve risk of non-life insurance business. This study uses value at risk approach with confidence intervals of 95.0%, 99.5% and 99.9% to measure economic capital. To calculate estimated ultimate loss and claim reserve we use bootstrap method and parametric general extreme value distribution method to simulate developmental factor of cumulative aggregate claim paid of motor insurance, fire insurance, marine insurance, miscellaneous insurance and accident and health insurance. The data used in this study are from the accident year 2549 to 2553 of a non-life insurance company. The result shows that economic capital evaluation by using bootstrap method would give a lower economic capital than using parametric general extreme value distribution method. This is because parametric general extreme value distribution method concerns and grasps risks of catastrophe while bootstrap method does not and assumes that future claim would have a similar pattern with past experience. In addition, this study finds that bootstrap method and parametric general extreme value distribution method would give a higher amount of estimated claim reserve comparing to using chain-ladder method.
