On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins

P.D. England, R.J. Verrall and M.V. Wüthrich

Insurance: Mathematics and Economics, 2019, vol. 85, issue C, 74-88

Abstract: This paper brings together analytic and simulation-based approaches to reserve risk in general (P&C) insurance, applied to the traditional actuarial view of risk over the lifetime of the liabilities and to the one-year view of Solvency II. It also connects the lifetime and one-year views of risk. The framework of the model in Mack (1993) is used throughout, although the results have wider applicability.

Keywords: Stochastic reserving; IFRS 17 risk adjustment; Solvency II risk margin; Bootstrap; Cost-of-capital; Coherent risk measure (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:85:y:2019:i:c:p:74-88

DOI: 10.1016/j.insmatheco.2018.12.002

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