Mathematical modeling of the dynamics of an insurance company based on macro indicators

Authors

  • V. P. Zubchenko Taras Shevchenko National University of Kyiv https://orcid.org/0000-0002-1513-9326
  • P. V. Aleksandrova Taras Shevchenko National University of Kyiv

DOI:

https://doi.org/10.17721/1812-5409.2023/1.6

Keywords:

insurance company, profit test, Svensson model, discounting, key rate

Abstract

In the paper we investigate the dynamics of a life insurance company depending on changes in macro indicators. For the sensitivity study, profitability testing is performed for the average life insurance contract. Profitability testing is based on an estimate of the expected present value of future cash flows. Various approaches to the choice of discount rates are investigated. The choice of strategy for using the rates of the zero-coupon yield curve built on the UAH domestic government bonds is substantiated. The dependence of the zero-coupon yield curve on the change in the key rate is shown. The dynamics of the model at different levels of the interest rates, namely guaranteed investment income, average profitability of investment activity, key rate, is considered. The scenario of the predicted decrease in the key rate at the stage of post-war reconstruction of Ukraine is considered. The profitability of the insurance company was tested based on the macro parameters of the specified scenarios. The expediency of using the chosen approach for researching the dynamics of a life insurance company in the conditions of the current high volatility of the Ukrainian economy is shown.

Pages of the article in the issue: 44 - 47

Language of the article: Ukrainian

References

https://zakononline.com.ua/documents/show/366367___693185

Zubchenko V.P., Aleksandrova P.V. Study of the dynamics of the interest rate swap instrument using machine learning methods / Bulletin of Taras Shevchenko National University of Kyiv, No. 3, 2022, Series Physics & Mathematics / 2022 - pp. 37-41.

Zubchenko V.P. "Mathematical foundations of life insurance". Kyiv, VOC "Kyiv University", 223 p. - 2016.

Law of Ukraine "About Insurance"

Bazilevich V.D., Bazilevich K.S. Insurance cases. - K.: "Znanja", 2005. - 351 p.

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Published

2023-07-13

How to Cite

Zubchenko, V. P., & Aleksandrova, P. V. (2023). Mathematical modeling of the dynamics of an insurance company based on macro indicators. Bulletin of Taras Shevchenko National University of Kyiv. Physical and Mathematical Sciences, (1), 44–47. https://doi.org/10.17721/1812-5409.2023/1.6

Issue

No. 1 (2023)

Section

Algebra, Geometry and Probability Theory

License

Copyright (c) 2023 V. P. Zubchenko, P. V. Aleksandrova

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