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The one-year non-life insurance risk
Stockholm University, Faculty of Science, Department of Mathematics. Matematisk statistik.
2008 (English)Conference paper (Other (popular science, discussion, etc.))
Abstract [en]

With few exceptions, the literature on non-life insurance reserve risk has been devoted to the ultimo risk, the risk in the full run-off of the liabilities. This is in contrast to the short time horizon in models for the total risk of the insurance company, and in particular the one-year risk perspective taken in the Solvency II project, and in the computation of risk margins with the Cost-of-Capital method. This paper aims at clarifying the methodology for the one-year risk; in particular we describe a simulation approach to the one-year reserve risk. We also discuss the one-year premium risk and the premium reserve. Finally, we initiate a discussion on the role of risk margins and discounting for the reserve and premium risk.

Place, publisher, year, edition, pages
2008. 19- p.
Keyword [en]
Reserve risk, premium risk, Solvency II, IFRS 4 phase II, risk margin, Dynamic Financial Analysis, stochastic reserving
National Category
Probability Theory and Statistics
URN: urn:nbn:se:su:diva-16451OAI: diva2:182971
Available from: 2008-12-18 Created: 2008-12-18Bibliographically approved

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Ohlsson, Esbjörn
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Department of Mathematics
Probability Theory and Statistics

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