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Izvođenje Krive Prinosa Za Vrednovanje Obaveza Iz Osiguranja U Regulatornom Okviru Solventnost Ii (Izvođenje Krive Prinosa Za Vrednovanje Obaveza Iz Osiguranja U Regulatornom Okviru Solventnost Ii)

Author

Listed:
  • Jelena Kočović
  • Marija Koprivica

Abstract

Vrednovanje obaveza iz osiguranja u regulatornom okviru Solventnost II podrazumeva diskontovanje očekivanih budućih novčanih tokova potrebnih za izmirenje tih obaveza, primenom odgovarajuće krive bezrizičnih kamatnih stopa. Za interpolaciju i ekstrapolaciju stopa koristi se Smit-Vilsonov model ročne strukture kamatnih stopa, dok su vrednosti parametara, ili način njihovog određivanja, unapred definisani po različitim valutama. Sledeći metodološki pristup Solventnosti II, na bazi podataka sa domaćeg finansijskog tržišta, u radu je izvedena kriva prinosa u svrhe vrednovanja obaveza iz osiguranja izraženih u srpskim dinarima. Dobijeni rezultati su značajni sa aspekta pozicioniranja pojedinačnih osiguravača i celokupnog sektora osiguranja u odnosu na zahteve režima Solventnost II.

Suggested Citation

  • Jelena Kočović & Marija Koprivica, 2019. "Izvođenje Krive Prinosa Za Vrednovanje Obaveza Iz Osiguranja U Regulatornom Okviru Solventnost Ii (Izvođenje Krive Prinosa Za Vrednovanje Obaveza Iz Osiguranja U Regulatornom Okviru Solventnost Ii)," Ekonomske ideje i praksa, Faculty of Economics and Business, University of Belgrade, issue 32, pages 7-24, March.
    • Handle: RePEc:beo:ekidpr:y:2019:i:32:p:7-24
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    More about this item

    Keywords

    kriva prinosa; Solventnost II; Smit-Vilsonov model;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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