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2021, vol. 69, br. 5-6, str. 306-317
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Analiza glavnih komponenata u određivanju reprezentativnih finansijskih pokazatelja u sektoru neživotnih osiguranja u Srbiji
Principal component analysis in determining representative financial ratios within non-life insurance sector in Serbia
Univerzitet u Beogradu, Ekonomski fakultet, Katedra za statistiku i matematiku, Srbija
Sažetak
Predmet rada je primena analize glavnih komponenata u određivanju reprezentativnih finansijskih pokazatelja u sektoru neživotnih osiguranja. Cilj istraživanja je da se, polazeći od mnoštva finansijskih pokazatelja koji se susreću u literaturi u oblasti osiguranja, identifikuje manji skup pokazatelja koji su najrelevantniji za ocenu finansijskog položaja i performansi kompanija koje se bave poslovima neživotnih osiguranja u Srbiji, uz minimalan gubitak informacija. Na osnovu finansijskih izveštaja neživotnih i kompozitnih osiguravača tokom perioda 2010-2019. godine, izračunato je 38 finansijskih pokazatelja, koji su razvrstani u sedam kategorija (adekvatnost kapitala, kvalitet imovine, rizik i performanse reosiguranja, adekvatnost tehničkih rezervi, profitabilnost, likvidnost i kvalitet menadžmenta). Primenom paralelne analize i Velicerovog minimalnog prosečnog delimičnog testa, utvrđeno je da je sa svega šest finansijskih pokazatelja moguće objasniti 85% varijabiliteta inicijalnog skupa pokazatelja. Dobijeni rezultati mogu biti korišćeni u svrhe efikasne finansijske analize pojedinačnih osiguravajućih kompanija i celokupnog sektora neživotnih osiguranja u Srbiji.
Abstract
The paper deals with the application of principal component analysis in determining financial ratios that are representative within non-life insurance sector. Starting from many financial indicators found in the literature in the field of insurance, the purpose of the study is to identify a smaller set of ratios that are most relevant for assessing the financial position and performance of non-life insurance companies in Serbia with a minimum loss of information. On the basis of financial reports of nonlife and composite insurers in the period 2010-2019, we calculated 38 financial ratios, grouped into seven categories (capital adequacy, asset quality, reinsurance risk and performance, adequacy of technical reserves, profitability, liquidity and management soundness). Using parallel analysis and Velicer's minimum average partial test, we found that it is possible to explain 85% of variability of the initial set of ratios with six financial ratios. The obtained results can be used for the purposes of efficient financial analysis of individual insurance companies and the entire nonlife insurance sector in Serbia.
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