Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The one-year non-life insurance risk
Stockholm University, Faculty of Science, Department of Mathematics. Matematisk statistik.
2008 (English)Conference paper, Published 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
Identifiers
URN: urn:nbn:se:su:diva-16451OAI: oai:DiVA.org:su-16451DiVA: diva2:182971
Available from: 2008-12-18 Created: 2008-12-18Bibliographically approved

Open Access in DiVA

No full text

Other links

http://www.actuaries.org/ASTIN/Colloquia/Manchester/Papers/ohlsson_paper_final.pdf

Search in DiVA

By author/editor
Ohlsson, Esbjörn
By organisation
Department of Mathematics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 43 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf