Risk Management and Capital Allocation for Non-Life Insurance Companies

DOI10.1007/978-3-319-02499-8_23MaRDI QIDQ4561919zbMATH OpenOpenAlexFDO

Authors Marco Pirra, Salvatore Forte, Matteo Ialenti

Publication date 13 December 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02499-8_23

zbMATH Keywords

business unitcapital allocationcapital requirementeconomic capitalrisk measure

Mathematics Subject Classification ID

Recommendations

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Cites work

• A general multivariate chain ladder model
• A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
• An introduction to copulas.
• Claims reserving: A correlated Bayesian model
• scientific article; zbMATH DE number 1538071 (Why is no real title available?)
• Multivariate loss prediction in the multivariate additive model
• Risk Measures and Comonotonicity: A Review
• Stochastic claims reserving methods in insurance
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

Cited in

(9)

• Wertorientiertes Risikomanagement von Versicherungsunternehmen
• Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions
• Interest-Rate Changes and the Value of a Non-life Insurance Company
• Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test
• A management rule of thumb in property-liability insurance
• A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation
• The Coming Revolution in Insurance Accounting
• Efficient capital management using an internal model: a case of non-life insurance
• The influence of corporate taxes on pricing and capital structure in property-liability insurance

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