Assessing Inflation Risk in Non-Life Insurance

Journal article
(Original article)


Publication Details

Author(s): Bohnert A, Gatzert N, Kolb A
Journal: Insurance Mathematics & Economics
Publisher: Elsevier
Publication year: 2016
Volume: 66
Pages range: 86
ISSN: 0167-6687


Abstract


Inflation risk is of high relevance in non-life insurers’ long-tail business and can have a major impact on claims reserving. In this paper, we empirically study claims inflation with focus on automobile liability insurance based on a data set provided by a large German non-life insurance company. The aim is to obtain empirical insight regarding the drivers of claims inflation risk and its impact on reserving. Toward this end, we use stepwise multiple regression analysis to identify relevant drivers based on economic indices related to health costs and consumer prices, amongst others. We further study the impact of (implicitly and explicitly) predicting calendar year inflation effects on claims reserves using stochastic inflation models. Our results show that drivers for claims inflation can considerably vary for different lines of business and emphasize the importance of explicitly dealing with (stochastic) claims inflation when calculating reserves.


FAU Authors / FAU Editors

Bohnert, Alexander PD Dr.
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Gatzert, Nadine Prof. Dr.
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Kolb, Andreas
Lehrstuhl für Versicherungswirtschaft und Risikomanagement


How to cite

APA:
Bohnert, A., Gatzert, N., & Kolb, A. (2016). Assessing Inflation Risk in Non-Life Insurance. Insurance Mathematics & Economics, 66, 86. https://dx.doi.org/10.1016/j.insmatheco.2015.11.003

MLA:
Bohnert, Alexander, Nadine Gatzert, and Andreas Kolb. "Assessing Inflation Risk in Non-Life Insurance." Insurance Mathematics & Economics 66 (2016): 86.

BibTeX: 

Last updated on 2018-17-10 at 21:40