Parameter uncertainty and reserve risk under Solvency II

DOI10.1016/j.insmatheco.2017.10.004zbMath1416.91177arXiv1612.03066OpenAlexW2586768384MaRDI QIDQ1667421

Annegret Weng, Andreas Fröhlich

Publication date: 28 August 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.03066

zbMATH Keywords

internal modelparameter uncertaintySolvency IIsolvency capitalreserve risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

• Unnamed Item
• Prediction and asymptotics
• R. A. Fisher and the fiducial argument
• Full Bayesian analysis of claims reserving uncertainty
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Modelling parameter uncertainty for risk capital calculation
• The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
• The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
• On an exact probability matching property of right-invariant priors
• Essentials of Statistical Inference

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