Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework

DOI10.1016/j.insmatheco.2013.05.003zbMath1284.62642OpenAlexW1984570485MaRDI QIDQ2446003

Christian Y. Robert

Publication date: 15 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.05.003

zbMATH Keywords

solvency capital requirementBayesian log-normal chain ladder modelcost-of-capital approachmarket value margin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

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