On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins

DOI10.1016/j.insmatheco.2018.12.002zbMath1419.91358OpenAlexW3125500613MaRDI QIDQ1735035

Mario V. Wüthrich, Peter England, Richard J. Verrall

Publication date: 28 March 2019

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/21270/1/On%20the%20lifetime%20and%20one%20year%20views%20of%20reserve%20risk%2011%20Jan%202019.pdf

zbMATH Keywords

bootstrapcoherent risk measurestochastic reservingcost-of-capitalIFRS 17 risk adjustmentSolvency II risk margin

Mathematics Subject Classification ID

Related Items (1)

Risk aggregation in non-life insurance: standard models vs. internal models

Cites Work

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• IBNR-claims and the two-way model of ANOVA
• CHAIN LADDER AND ERROR PROPAGATION
• Coherent risk measures

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