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NonLife Insurance Services

Arbitrage pricing, deterministic and stochastic claim reserving, modelling individual claims cash flows, annuity modelling, pricing of tail events, internal risk models.


Evaluation of uncertainty in reserves

A single point estimate of the level of technical provisions is often not sufficient to illustrate the range of possible outcomes of the ultimate claims. Consequently, point estimates do provide sufficient information for understanding the variability of the claims. In such cases, companies need to produce several point estimates or even better, to estimate full distribution of the ultimate claims.

We can consult with our clients the possible methods for estimation of claim distributions, their parameterization and we can also help with performing the calculations. Accent is put on transparency of the model and parameter specification in order to allow for detailed analysis of the randomness present in real processes. Subsequently we help to our clients with proper interpretation of such results, including consulting any accounting policy consequence.


Cash flow modelling

Most of the traditional actuarial methods in non-life insurance work with aggregated data. Nevertheless, this approach is not always sufficient. This holds true, in particular, in cases when the calculations should correctly consider policy limits or the parameters of the non-proportional reinsurance.  In such cases the approaches to pricing or reserving should be based on individual, i.e. un-aggregated policy and claim data.

Our unique projection models of individual claims, developed over several years and already tested in practice, can be helpful in any situation when the projections using standard models fail. We can provide our clients with a customized solution, tailor-made to the needs of the given company and the specific case.


CEE annuities modelling

Estimation of the ultimate claims form MTPL which take form of annuity bears high uncertainty. This can be attributed to the traditional insurance-technical parameters, reinsurance and economic assumptions, but also, and more importantly, to the uncertainty arising from potential legal disputes and changes in local legislation requirements. We can help insurance companies with assessment of the uncertainty in the estimation of the annuity claims, including the legal risks, and to define an optimum settlement strategy.


Market arbitrage pricing

Facing the market pressures and the changes in customer behaviour it is increasingly difficult for insurance companies to maintain strong growth and good profits at the same time. They are forced to reconsider their traditional approaches to product pricing. We respond to this situation by offering alternative pricing solutions which are based on better pricing of the risk (deeper segmentation and focus on key risk factors via application of GLMs), use opportunities for market arbitrage (pricing considers competitors’ rates and customer behaviour) and optimize the price for each policy from the perspective of desired KPIs (growth, profit target, retention, etc.).


Pricing of tail events

For a number of rare events in various lines of business, it is difficult to estimate the realistic cost for the accepted risk. The pricing of such risks is often based only on experience or reinsurance rating and may also be distorted by sales discounts. Our modelling tools for analysis of tail events combine mathematical approaches for risk pricing with intuitive experience rating. After several iterations, we can build a management tool, for visualization of the relations between the available capital, its cost and price of the risk. This can put the pricing of big risks on a conscious basis and can result in significant improvements in the underwriting process.


Internal models

To support the implementation of Solvency II or any risk management application we can help our clients with advanced (partial) internal risk modelling applications. Similarly, we have knowledge and tools for production of the capital projections required by Solvency II (one year as well as the ultimate risk horizon).  This can be used for various capital / profit optimization tasks as well as for definition of risk limits. We are ready to support our clients also in validation and implementation of internal models (in particular those taken over from parent companies.

Contact us

t: +420 604 558 695

Martin Janeček
t: +420 604 294 866


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