Politická ekonomie
Politická ekonomie
Prague Economic Papers
University of Economics, Prague

Prague Economic Papers Vol. 23 No. 3

On Sums of Claims and their Applications in Analysis of Pension Funds and Insurance Products

DOI: https://doi.org/10.18267/j.pep.488

[full text (PDF)]

Rastislav Potocký, Helmut Waldl, Milan Stehlík

The problem that assets of a fund are not suffi cient to cover its liabilities is of extreme importance both for its members as well as for fund managers. We show that this problem can be solved via total claims distributions and give answers to the following questions: How much money will be needed in the fi rst pillar in order to satisfy the requirements of pensioners in a time horizon and which groups of working people should join also the second pillar because their benefi ts from it will be greater than those from the fi rst pillar? Though the paper concentrates primarily on the situation with Slovakian pension funds we believe that our fi ndings are more general. We show that the alternative methods should be used for calculation of extremes. We discuss the so-called barrier strategy for treating the surplus of an insurance company and bring some new results concerning it.

Keywords: catastrophic events, claims, first and second, Johnson estimators, light- and heavy-tailed distributions, robust approach, the 20–80 rule

JEL Classification: C19, G22


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