On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
type: Item
instance of: scholarly article
title: On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
zbMATH Open document ID: 1419.91358
author: Mario V. Wüthrich
author: Peter England
author: Richard Verrall
published in: Insurance Mathematics \& Economics
publication date: 2019-03-28T00:00:00Z
full work available at URL: On the lifetime and one year views of reserve risk 11 Jan 2019.pdf
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 7043766
zbMATH Keywords: stochastic reserving
zbMATH Keywords: IFRS 17 risk adjustment
zbMATH Keywords: Solvency II risk margin
zbMATH Keywords: bootstrap
zbMATH Keywords: cost-of-capital
zbMATH Keywords: coherent risk measure
MaRDI profile type: Publication
OpenAlex ID: W3125500613
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DOI: 10.1016/J.INSMATHECO.2018.12.002
description: scientific article; zbMATH DE number 7043766