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The multi-year non-life insurance risk in the additive loss reserving model

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  • Diers, Dorothea
  • Linde, Marc

Abstract

The aim of this paper is to expand on recent contributions in the field of risk modelling for non-life insurance companies by modelling insurance risk in a multi-year context. Academic literature on non-life insurance risk to date has only considered an ultimo perspective (using traditional methods) and, more recently, a one-year perspective (for solvency purposes). However, strategic management in an insurance company requires a multi-year time horizon for economic decision making, providing the motivation for this paper.

Suggested Citation

  • Diers, Dorothea & Linde, Marc, 2013. "The multi-year non-life insurance risk in the additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 590-598.
    • Handle: RePEc:eee:insuma:v:52:y:2013:i:3:p:590-598
    DOI: 10.1016/j.insmatheco.2013.03.004
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    References listed on IDEAS

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    1. Ohlsson, Esbjörn & Lauzeningks, Jan, 2009. "The one-year non-life insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 203-208, October.
    2. Dorothea Diers, 2011. "Management Strategies in Multi-year Enterprise Risk Management," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(1), pages 107-125, January.
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    Cited by:

    1. England, P.D. & Verrall, R.J. & Wüthrich, M.V., 2019. "On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 74-88.
    2. Wahl, Felix & Lindholm, Mathias & Verrall, Richard, 2019. "The collective reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 34-50.
    3. Hahn, Lukas, 2017. "Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 71-81.
    4. Diers, Dorothea & Linde, Marc & Hahn, Lukas, 2016. "Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladde," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 187-199.

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