Empirical analysis of the risks and resilience to shocks of the Macedonian insurance sector

The objective of this research is to analyse the risks to the stability of the Macedonian insurance sector and to quantify its resilience to shocks.

 We create an empirical economic model to identify which variables potentially affect the stability of insurance sector, as measured through the solvency margin. We use the results of the economic model to develop a stress test model of the Macedonian insurance sector, where by assigning shocks to the statistically significant variables, we will assess the resilience of the insurance sector to shocks. We create one baseline scenario without shocks and four shocked scenarios to examine the resilience of the insurance sector and of the individual insurance companies to shocks. The latter is done through the Value at Risk (VaR) statistics obtained by a Monte Carlo simulation.

Provider: The Geneva Association for the Study of Insurance Economics

Period: 2013 (12 months)

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Paper winning the ISA prize (MK) – Info on ISA prize

Paper published in Geneva papers on risk and insurance – issues and practice

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