Faculty of Economics
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Item type:Publication, Is the Claims Ratio Dynamic Predictable? A Study of the Macedonian Non-Life Insurance Sector(Faculty of Economics-Skopje, Ss. Cyril and Methodius University in Skopje, 2023-12-15); Insurance, simplified to a risk management concept, offers protection against unexpected losses arising from adverse events. As a financial service of structural importance in modern economies, it requires specific attention due to its risk protection component. Consequently, insurance companies devote sufficient resources towards stable, resilient, and profitable operations. However, a scarce amount of research treats the topic of financial stability maintenance and claims management with even fewer studies dealing with its prediction. This study deals with claims ratio (CR) dynamics in the Macedonian non-life insurance sector and its prediction. Utilizing a data set of 138 monthly observations between January 2012 and June 2023, this paper models the CR indicator through multiple approaches i.e., naïve, ARIMA, ETS exponential smoothing, and random forest (RF) thus making suitability and accuracy comparisons. Results suggest that the SARIMA(4,0,2)(2,1,2,12) model is superior in predicting the claims ratio in both the training and test samples. Moreover, the random forest algorithm shows good performances in the test set but is only superior to the ETS(A,N,A) model. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, PREDICTING NON-LIFE INSURANCE SEGMENTS IN THE REPUBLIC OF NORTH MACEDONIA: A COMPARATIVE MULTI-MODELLING PERSPECTIVE(EERIA Second Annual Conference, 2023-09); Insurance prediction emerges as one of the fundamentals in business sustainability and rising market competitiveness, as current decisions depend on future expectations. As the available data exponentially grows, insurers face the most important decision - either focus on significant data analytics or simply lose ground to competitors which do so. This paper aims at predicting future developments in non-life gross written premiums, claims, number of contracts and technical premiums as the pure quantity of the underwritten risk in the Macedonian insurance sector. Through a multi-model univariate approach, the paper aims at uncovering forecasting capabilities of different models, which in turn can be used by the insurers to form expectations more adequately.