Econometric Systems of Simultaneous Equations in Life Insurance

In the present work, we deal with econometric systems of (linear) simultaneous equations. We apply this approach to a dynamic model of relevant relationships within a life insurance company. Concretely, we focus our attention on an econometric analysis of financial flows in a life insurance company operating in the Czech market. We assemble the linear econometric model and estimate its parameters using the usual three-stage least squares method. Selected results will be interpreted from the economic point of view. In this context, we also show a possibility of a residual bootstrap procedure which can be very useful here. For example, we construct bootstrap confidence intervals because in this specific situation (we operate with only a short data range) we cannot rely on the classical approximations by the normal distribution.