ASSESSMENT OF ACCURACY OF A NUMERICAL METHOD OF CALCULATION OF INSURANCE RATES ARE BASED ON GENERALIZED ACTUARIAL BASIS
O.Yu. Ryzhkov1, L.K. Bobrov2
1Siberian Inter-Regional Association of Insurers, Uritskogo st., 12, Novosibirsk, Novosibirsk Region, 630099, Russia
2Novosibirsk State University of Economics and Management, Kamensky st., 56, Novosibirsk, Novosibirsk Region, 630099, Russia
Keywords: insurance rate, actuarial calculations, actuarial basis, statistical modeling, method Monte-Carlo
Abstract
The article presents the algorithm of a numerical method of calculation of insurance rates based on the concept of generalized actuarial basis, according to which there are no differences between actuarial conditions of life insurance contracts and contracts of general insurance. This algorithm for a typical insurance risks for both classes of contracts executed the calculation of insurance rates. For each dataset, the calculation is repeated 10 times, the result was averaged, calculated the coefficient of variation and the average result was compared with rate value according to the standard methods of calculation. It is shown that with the increasing number of simulated insurance portfolios is reduced as the variation of the obtained values and the relative deviation obtained insurance tariff from the tariff according to standard methods. Also it is shown that the approximation by a normal distribution in most cases allows you to get a closer value of the insurance rate to the value by the standard method.
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