Macroeconomic Uncertainty: An Exogenous Risk in Reinsurance Pricing
|Author:||Mgr. Zuzana Stehlíková|
|Year:||2020 - summer|
|Leaders:|| Mgr. Ing. Adam Kučera Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The thesis focuses on the analysis of the impact of the inflation uncertainty on the reinsurance
pricing, particularly on its measures of risk. Vector autoregression models are used to predict
the medium-term inflation and simulate different inflation paths. The consideration of various
scenarios of future inflation captured by the stochastic modelling increases the value at risk
(VaR) and the tail value of risk (TVaR) of mean ceded loss to the reinsurer. The thesis founds
that the inflation uncertainty measured by the stochastic inflation matters and it is important
from risk management and hedging perspectives. As a result, additional loadings could be
added to the price for the mitigation of the inflation risk. Although the effect of stochasticity
of the future inflation is not significant on mean loss, it is the case for the risk of measures,
especially for the contracts with high retention relatively to the underlying exposure.