Solvency capital estimation, reserving cycle and ultimate risk

DOI10.1016/J.INSMATHECO.2016.03.004zbMATH Open1369.91083OpenAlexW2310750266MaRDI QIDQ320289FDOQ320289

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

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

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)

Cites Work

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

Cited In (9)

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

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