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Fair Value Bewertung von zedierten Reserven

Author

Listed:
  • Heep-Altiner, Maria
  • Hoos, Sebastian
  • Krahforst, Christoph

Abstract

Für Schadenreserven existieren keine hinreichend fungiblen Märkte und somit auch keine Marktpreise im klassischen Sinn. Für eine Fair Value Bewertung bedarf es also eines geeigneten Modellansatzes. In der Schadenversicherung wird üblicher- weise der Transaktionswert modelliert, wobei hier die korrekte Modellierung der Kapitalkosten einer der zentralen Punkte ist. Der Fair Value der zedierten Reserven kann als Differenz zwischen dem Fair Value der Bruttoreserven und dem Fair Value der Nettoreserven angesetzt werden. Dieser Ansatz berücksichtigt allerdings nicht das Bonitätsrisiko des Rückversicherers. Eine adäquate Anpassung des Bewertungsmodells ist demnach erforderlich.

Suggested Citation

  • Heep-Altiner, Maria & Hoos, Sebastian & Krahforst, Christoph, 2014. "Fair Value Bewertung von zedierten Reserven," Forschung am ivwKöln 4/2014, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    • Handle: RePEc:zbw:thkivw:42014
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    Cited by:

    1. Dolgov, Urij, 2015. "Calibration of Heston's stochastic volatility model to an empirical density using a genetic algorithm," Forschung am ivwKöln 3/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.

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