Solvency need resulting from reserving risk in a ORSA context
From MaRDI portal
Publication:2282735
DOI10.1007/s11009-017-9609-9zbMath1452.91278MaRDI QIDQ2282735
Pierre Vallois, Geoffrey Nichil
Publication date: 19 December 2019
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-017-9609-9
Monte Carlo simulation; gamma distribution; quantile; Poisson point process; geometric Brownian motion; Solvency II; ORSA; perpetual integral functional of Brownian motion; reserving risk; Solvency need
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G05: Actuarial mathematics