From ruin theory to solvency in non-life insurance

Mario V. Wüthrich

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 6, 516-526

Abstract: We start from ruin theory considerations in the classical Cramér–Lundberg model. We modify these considerations step by step so that finally we arrive at today’s solvency assessments for non-life insurance companies. These modifications include discussions about time horizons, risk measures, financial returns, and valuation of insurance liabilities.

Date: 2015
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DOI: 10.1080/03461238.2013.858401

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