Solvency capital estimation, reserving cycle and ultimate risk

A. Ferriero

Insurance: Mathematics and Economics, 2016, vol. 68, issue C, 162-168

Abstract: In this paper we propose a stochastic model for the evolution of the reserves for a non-life insurance run-off portfolio that captures the dynamic of the reserving cycle, which consists in years of prudent reserves releases followed by sudden reserves strengthening.

Keywords: Solvency II; SCR; One-year risk; Risk margin; Non-life insurance risk; Reserving cycle (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:68:y:2016:i:c:p:162-168

DOI: 10.1016/j.insmatheco.2016.03.004

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