Solvency need resulting from reserving risk in a ORSA context (Q2282735): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s11009-017-9609-9 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2775187194 / rank | |||
Normal rank |
Revision as of 03:18, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Solvency need resulting from reserving risk in a ORSA context |
scientific article |
Statements
Solvency need resulting from reserving risk in a ORSA context (English)
0 references
19 December 2019
0 references
The paper provides an internal model to evaluate the Solvency need resulting from the reserving risk of insurance companies with long maturity contracts. As part of the Solvency II insurance guidelines, the study focuses on the difference between the reserve and its mean (in continuous time). In order to quantify the reserving risk, the value at risk of this difference is considered, that is the Solvency need. After defining the reserve $R(h,S)$, its asymptotic behavior $(h\to +\infty)$ is studied. Then, the paper focuses on the evaluation of the Solvency need $SN(h)$, where h is the maximal duration of the insurance contracts; the study proves that the normalized reserve converges in distribution, as $h\to +\infty$, to the sum of a Gaussian RV and an independent RV which is an integral of a function of the systemic risk. In particular, in the case of mortgage guarantee, the non-Gaussian RV is considered and three numerical schemes to estimate $SN(h)$ when $h$ is large are proposed.
0 references
Solvency II
0 references
ORSA
0 references
Solvency need
0 references
reserving risk
0 references
quantile
0 references
geometric Brownian motion
0 references
Poisson point process
0 references
perpetual integral functional of Brownian motion
0 references
gamma distribution
0 references
Monte Carlo simulation
0 references