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fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Heep-Altiner, Maria; Hoos, Sebastian; Krahforst, Christoph (2014)
Languages: German
Types: Research
Subjects: Versicherungswissenschaft, Versicherungswirtschaft, Fakultät 04 / Institut für Versicherungswesen
ddc: ddc:330
jel: jel:G22
Für Schadenreserven existieren keine hinreichend fungiblen Märkte und somit auch keine Marktpreise im klassischen Sinn. Für eine Fair Value Bewertung bedarf es also eines geeigneten Modellansatzes. In der Schadenversicherung wird üblicher- weise der Transaktionswert modelliert, wobei hier die korrekte Modellierung der Kapitalkosten einer der zentralen Punkte ist. Der Fair Value der zedierten Reserven kann als Differenz zwischen dem Fair Value der Bruttoreserven und dem Fair Value der Nettoreserven angesetzt werden. Dieser Ansatz berücksichtigt allerdings nicht das Bonitätsrisiko des Rückversicherers. Eine adäquate Anpassung des Bewertungsmodells ist demnach erforderlich. Due to non-existing deep and liquid markets for claims reserves, there does not exist a market price in the classical sense. With respect to a fair value valuation, a mark-to-model approach has to be applied. In nonlife insurance, traditionally the transaction value is modeled. Here the correct approach for the capital costs is one of the most significant aspects. The fair value of ceded reserves could be defined as the difference between the fair value of gross reserves and the fair value of net reserves, but this approach does not consider the reinsurers default risk. Therefore, the model approach needs to consider the default risk as well.
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