Risk Evaluation: Building Provisions and Reserve

  • Problem: In many industries there are legal requirements (e.g. product liability for a manufacturing company or risk adequate equity requirements for financial service enterprises) to procure via balance sheet positions in form of provisions (‘liability’) as well as reserves (‘equity’). In both cases the perspective is into the uncertain future, which has to be modeled in a statistically sound way.
  • Research Method: Statistically reliable assessments of future development possibilities require solid models, trustworthy data and efficient algorithms. Concerning the algorithms, the path-wise Monte Carlo simulation approach is beneficial, as it allows computationally efficient calculations for many different models and large data bases.
  • Contribution:
    • Schwaiger/Bös: Bewertung von Rücklöseverpflichtungen in der Münze Österreich AG, in: Industrial Engineering und Management; Beiträge des Techno-Ökonomie-Forums TU Austria, H. Biedermann (Hrg.); Springer Gabler, Wiesbaden, 2016, ISBN: 978-3-658-12096-2.