Solvency need resulting from reserving risk in a ORSA context

DOI10.1007/s11009-017-9609-9zbMath1452.91278OpenAlexW2775187194MaRDI QIDQ2282735

Geoffrey Nichil, Pierre Vallois

Publication date: 19 December 2019

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9609-9

zbMATH Keywords

Monte Carlo simulationgamma distributionquantilePoisson point processgeometric Brownian motionSolvency IIORSAperpetual integral functional of Brownian motionreserving riskSolvency need

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Cites Work

• The one-year non-life insurance risk
• Perpetual integral functionals as hitting and occupation times
• Provisioning against borrowers default risk
• On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
• Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance
• Central limit theorems for \(U\)-statistics of Poisson point processes
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• Normal Approximations with Malliavin Calculus
• Uncertainty of the claims development result in the chain ladder method
• On a risk model with dependence between interclaim arrivals and claim sizes
• On the Tail Behavior of Sums of Dependent Risks
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• On some exponential functionals of Brownian motion
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Exponential functionals of Brownian motion and related processes

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