Análise técnica das provisões técnicas e teste de adequação dos passivos para seguradoras

Abstract

Part of the activities of an insurance company is to secure capital for future indemnities of claims incurred and to occur, for which purpose technical provisions are calculated by means of statistical methods, in order to mitigate risks inherent to its activity and to comply with requirements of the regulatory body. The main objective of this dissertation is to approach different statistical methods for the calculation of technical provisions of claims, to carry out a consistency test and its evaluation. Given the objective of this project, we present some of the most important concepts in the insurance area, as well as the methodologies for calculating the provision for claims, using some of the best known and used methods, the deterministic Chain Ladder, and Stochastic Bootstrap. Different methods were used to estimate the provisions for claims. The most used method is the deterministic Chain Ladder, which is of simple application. However, it produces only one-time estimates, which is why Stochastic has become increasingly popular because it is able to produce interval estimates by measuring the variability inherent in technical reserves. For Stochastic analysis, the Bootstrap methodology was used. The possible results of these different methodologies and the consistency test were analyzed in order to enable the actuary to account for the most adequate amount for the technical provision, without leading the company to insolvency or compromising its result with adequate provision