АКТУАРСКИ МЕТОД ПРОЦЕНЕ ВЕРОВАТНОЋЕ НЕИЗВРШЕЊА ОБАВЕЗА ДУЖНИКА У БАНКАРСКОМ СЕКТОРУ

In countries with insufficiently developed capital market and a bankocentric financial system, the probability of default of banking clients can be estimated using an actuarial method. This method uses historical data from banking portfolios on the cases of debtors’ inability to meet their obligations towards the bank. In order to assess the level of credit risk and to identify its determinants, we calculated default rates by homogeneous groups of business entities as debtors, and by homogeneous groups of banks through the application of the actuarial method on empirical data from the banking sector of the Republic of Serbia. The research results show that there are differences in the level of credit risk, depending on the size of the business entity and its business sector, as well as that the entities with lower earning capacity, higher indebtedness and slower turnover of assets are more inclined to default. At the same time, it is shown that the default rate of bank varies depending on the ownership type, the bank’s size, profitability, capitalization and certain characteristics of its portfolio. The obtained results are the basis for analyzing the credit risk of certain categories of debtors and banks and for selecting variables that will be included in econometric models for assessing the level of credit risk in the banking sector in Serbia.

Comparison of the claims reserves methods by analyzing the run-off error

The variability of claim costs represents an important risk component, which should be taken into account while implementing the internal models for solvency evaluation of an insurance undertaking. This component can generate differences between future payments for claims and the provisions set aside for the same claims (run-off error). If the liability concerning the claims reserve is evaluated using synthetic methods, then the run-off error depends on the statistical method adopted; when it is not possible to study analytically the properties of the estimators, methods based on stochastic simulation are particularly effective. This work focuses on measuring the run-off error with reference to claims reserves evaluation methods applied to simulated run-off matrices for the claims settlement development. The results from the numerical implementations provide the authors with useful insights for a rational selection of the statistical-actuarial method for the claims reserve evaluation on an integrated risk management framework. The setting of the analysis is similar to that adopted in other studies (Stanard, 1986; Pentikainen and Rantala, 1992; Buhlmann et al., 1980), however, it differs for estimation and simulation methods considered and for the statistics elaborated in the comparison. Keywords: run-off error, outstanding claims reserves, stochastic simulation

PERHITUNGAN DANA PENSIUN DENGAN METODE PROJECTED UNIT CREDIT DAN INDIVIDUAL LEVEL PREMIUM

The company which provides the pension program needs the actuarial valuation to estimate the fund amount required by the company to pay for pension funding. Actuarial method that used in this research are projected unit credit and invidual level premium method. Through this research be obtained the result of valuation pension benefits with career average salary assumption is lower than the other salary assumptions. On the other hand, the result of normal cost final value valuation using individual level premium method is smaller than projected unit credit method that suits for the participants of the pension funding program.

Developing a clinically useful actuarial tool for assessing violence risk

BackgroundA new actuarial method for violence risk assessment – the Iterative Classification Tree (ICT) – has become available. It has a high degree of accuracy but can be time and resource intensive to administer.AimsTo increase the clinical utility of the ICT method by restricting the risk factors used to generate the actuarial tool to those commonly available in hospital records or capable of being routinely assessed in clinical practice.MethodA total of 939 male and female civil psychiatric patients between 18 and 40 years old were assessed on 106 risk factors in the hospital and monitored for violence to others during the first 20 weeks after discharge.ResultsThe ICT classified 72.6% of the sample as either low risk (less than half of the sample's base rate of violence) or high risk (more than twice the sample's base rate of violence).ConclusionsA clinically useful actuarial method exists to assist in violence risk assessment.