Reports Outline Economic Modelling Findings from S. Araichi and Colleagues (Solvency capital requirement for a temporal dependent losses in insurance)

By a News Reporter-Staff News Editor at Economics Week -- Researchers detail new data in Economic Modelling. According to news originating from Sousse, Tunisia, by VerticalNews correspondents, research stated, "This article addresses the appropriate modeling of losses for the insurance sector. In fact, solvency 2 framework has suggested some formulas to evaluate losses and solvency capital using an internal approach."

Our news journalists obtained a quote from the research, "However, these formulas where derived under the assumption of independent losses. Thus, the amount of capital may be inaccurate when losses are dependent, which is the case in practice. The aim of this paper is to investigate temporal dependence structure among claim amounts (losses). For that, a novel model named autoregressive conditional amount (ACA) model handling the dynamic behavior of claim amounts in insurance companies is proposed. ACA, models allow to predict accurately the future claims. Moreover, a measure of risk namely value at risk (VaR) ACA that could hedge daily dependent losses is provided."

According to the news editors, the research concluded: "By backtesting techniques, empirical results show that the new VaR ACA can efficiently evaluate the coverage amount of risks."

For more information on this research see: Solvency capital requirement for a temporal dependent losses in insurance. Economic Modelling, 2016;58():588-598. Economic Modelling can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands. (Elsevier - www.elsevier.com; Economic Modelling - www.journals.elsevier.com/economic-modelling/)

The news correspondents report that additional information may be obtained from High Commercial Studies Sousse, Lab Res Econ Management & Quantitat Finance, Sousse, Tunisia. Additional authors for this research include C. de Peretti and L. Belkacem.

Keywords for this news article include: Sousse, Tunisia, Africa, Economic Modelling.

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