The multi-year non-life insurance risk in the additive loss reserving model

Dorothea Diers and Marc Linde

Insurance: Mathematics and Economics, 2013, vol. 52, issue 3, 590-598

Abstract: The aim of this paper is to expand on recent contributions in the field of risk modelling for non-life insurance companies by modelling insurance risk in a multi-year context. Academic literature on non-life insurance risk to date has only considered an ultimo perspective (using traditional methods) and, more recently, a one-year perspective (for solvency purposes). However, strategic management in an insurance company requires a multi-year time horizon for economic decision making, providing the motivation for this paper.

Keywords: Non-life insurance risk; Stochastic claims reserving; Additive loss reserving model; Cost-of-capital margin (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:3:p:590-598

DOI: 10.1016/j.insmatheco.2013.03.004

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