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Financial Modelling pp 26–48Cite as

Solvency-Simulation in Non-life Insurance

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Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

Abstract

This paper describes the development of a cash flow model that can be used to analyze the solvency-position of a non-life insurance company. The model can be used by the management of a company to analyze the consequences of different policies on the solvency-position in the coming years. The model is build up of 3 modules: a financial module where the value of and the profits on the investment portfolio are determined, an insurance-technical module where the loss-amount is determined, and the main model where the results of the first two modules are joined into a balance-sheet from which the solvency margin can be calculated. The model uses simulation to generate the needed values in the financial and insurance-technical modules. This research is partly based on and inspired by the management model of Daykin and Hey (see Daykin & Hey (1990)).1

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References

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Author information

Authors and Affiliations

  1. Faculty of Management and Organization, University of Groningen, P.O. Box 800, NL-9700 AV, Groningen, Netherlands

    Bert Kramer

  2. Department of System Development Non-Life, AEGON Nederland N.V., P.O. Box 23000, NL-8900 MA, Leeuwarden, Netherlands

    Sytze Hobma

Authors
  1. Bert Kramer
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  2. Sytze Hobma
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Editor information

Editors and Affiliations

  1. Istituto di Metodi Quantitativi, Università Commerciale Luigi Bocconi, via U. Gobbi, 5, I-20136, Milano, Italy

    Lorenzo Peccati

  2. Department of Economics, University of Turku, SF-20500, Turku, Finland

    Matti Virén

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© 1994 Physica-Verlag Heidelberg

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Kramer, B., Hobma, S. (1994). Solvency-Simulation in Non-life Insurance. In: Peccati, L., Virén, M. (eds) Financial Modelling. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-86706-4_2

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  • DOI: https://doi.org/10.1007/978-3-642-86706-4_2

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0765-3

  • Online ISBN: 978-3-642-86706-4

  • eBook Packages: Springer Book Archive

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