Parameter uncertainty and reserve risk under Solvency II

Andreas Fröhlich and Annegret Weng

Insurance: Mathematics and Economics, 2018, vol. 81, issue C, 130-141

Abstract: In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II.

Keywords: Solvency II; Parameter uncertainty; Reserve risk; Solvency capital; Internal model (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:81:y:2018:i:c:p:130-141

DOI: 10.1016/j.insmatheco.2017.10.004

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