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Solvency capital estimation, reserving cycle and ultimate risk

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  • Ferriero, A.

Abstract

In this paper we propose a stochastic model for the evolution of the reserves for a non-life insurance run-off portfolio that captures the dynamic of the reserving cycle, which consists in years of prudent reserves releases followed by sudden reserves strengthening.

Suggested Citation

  • Ferriero, A., 2016. "Solvency capital estimation, reserving cycle and ultimate risk," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 162-168.
    • Handle: RePEc:eee:insuma:v:68:y:2016:i:c:p:162-168
    DOI: 10.1016/j.insmatheco.2016.03.004
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    References listed on IDEAS

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    1. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
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    Cited by:

    1. Dacorogna, Michel M, 2017. "Approaches and Techniques to Validate Internal Model Results," MPRA Paper 79632, University Library of Munich, Germany.
    2. Michel Dacorogna & Alessandro Ferriero & David Krief, 2018. "One-Year Change Methodologies for Fixed-Sum Insurance Contracts," Risks, MDPI, vol. 6(3), pages 1-29, July.
    3. Mathias Lindholm & Filip Lindskog & Felix Wahl, 2017. "Valuation of Non-Life Liabilities from Claims Triangles," Risks, MDPI, vol. 5(3), pages 1-28, July.
    4. Yuechen Dai & Tonghui Xu, 2021. "A Lifecycle Approach to Insurance Solvency," Working Papers in Economics 21/13, University of Canterbury, Department of Economics and Finance.

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