The aim of the study is the assessment of the reserve risk for a non-life insurance company that writes two different lines of business; the focus is on the determination of the current estimates incorporated in the measurement of the liabilities (in some jurisdictions referred to as technical provisions or actuarial reserves) of insurance contracts (without risk margins) through a bayesian stochastic methodology and on the possible methods for the determination of risk margins above current estimates appropriate for the measurement of the liabilities for insurance contracts for regulatory and general purpose financial reports. A new formula for the calculation of the latter is proposed, analyzing its potential advantages in comparison with the existing ones. In order to determine the risk margin the reserve risk is calibrated on a one year time horizon considering both the case of independence between lines of business and the case of dependence.

A reserve risk model for a non-life insurance company / Pirra, Marco; Forte, S; Ialenti, M.. - In: MATHEMATICAL METHODS IN ECONOMICS AND FINANCE. - ISSN 1971-6419. - Volume 3 - No. 1 - 2008(2008), pp. 63-78.

A reserve risk model for a non-life insurance company

PIRRA, Marco;
2008

Abstract

The aim of the study is the assessment of the reserve risk for a non-life insurance company that writes two different lines of business; the focus is on the determination of the current estimates incorporated in the measurement of the liabilities (in some jurisdictions referred to as technical provisions or actuarial reserves) of insurance contracts (without risk margins) through a bayesian stochastic methodology and on the possible methods for the determination of risk margins above current estimates appropriate for the measurement of the liabilities for insurance contracts for regulatory and general purpose financial reports. A new formula for the calculation of the latter is proposed, analyzing its potential advantages in comparison with the existing ones. In order to determine the risk margin the reserve risk is calibrated on a one year time horizon considering both the case of independence between lines of business and the case of dependence.
Bayesian stochastic methods; Current Estimate; Risk Margin
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11770/158422
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact