The application of autoregressive models and vector autoregressive models in forecasting basic variables on the non-life insurance market Cover Image

Modele autoregresji i wektorowej autoregresji w prognozowaniu podstawowych zmiennych charakteryzujących rynek ubezpieczeń działu II
The application of autoregressive models and vector autoregressive models in forecasting basic variables on the non-life insurance market

Author(s): Monika Papież, Stanisław Wanat
Subject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: vector autoregressive models; forecasting; non-life insurance market

Summary/Abstract: The paper presents the application of autoregressive models and vector autoregressive models in forecasting basic variables on the non-life insurance market. The variables chosen for the analysis include gross written premiums, gross claims paid and net-operating expenses. The models are based on the quarterly data from the period 2003-2010. The authors attempt to determine which models can be successfully used in forecasting: SARIMA, SARIMAX, VAR, VECM, ARDL. The validity of the forecasts and the evaluation of the models will be conducted using ex post measures.

  • Issue Year: 2012
  • Issue No: 254
  • Page Range: 199-208
  • Page Count: 10
  • Language: Polish