The one-year non-life insurance risk
2008 (English)Conference paper (Other (popular science, discussion, etc.))
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.
Reserve risk, premium risk, Solvency II, IFRS 4 phase II, risk margin, Dynamic Financial Analysis, stochastic reserving
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:su:diva-16451OAI: oai:DiVA.org:su-16451DiVA: diva2:182971