Solvency capital estimation, reserving cycle and ultimate risk

DOI10.1016/J.INSMATHECO.2016.03.004MaRDI QIDQ320289zbMATH OpenOpenAlexFDO

Authors Alessandro Ferriero

Publication date 6 October 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.03.004

zbMATH Keywords

non-life insurance riskSolvency IIone-year riskreserving cyclerisk marginSCR

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Solvency need resulting from reserving risk in a ORSA context
• Parameter uncertainty and reserve risk under Solvency II
• The reserve uncertainties in the chain ladder model of Mack revisited
• Risk margin for a non-life insurance run-off
• A stochastic approach to insurance cycles

Cites work

• Market-consistent valuation of insurance liabilities by cost of capital

Cited in

(9)

• The one-year non-life insurance risk
• Solvency
• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• Loss reserves in the light of stochastic processes
• Risk margin for a non-life insurance run-off
• On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
• Parameter uncertainty and reserve risk under Solvency II
• TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL
• Solvency need resulting from reserving risk in a ORSA context

This page was built for publication: Solvency capital estimation, reserving cycle and ultimate risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320289)