Details

Autor(en) / Beteiligte

• Wüthrich, Mario V.
• Embrechts, Paul
• Tsanakas, Andreas

Titel

Risk margin for a non-life insurance run-off

Ist Teil von

• Statistics & risk modeling, 2011-12, Vol.28 (4), p.299-317

Ort / Verlag

Oldenbourg Wissenschaftsverlag GmbH

Erscheinungsjahr

2011

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• For solvency purposes insurance companies need to calculate so-called best-estimate reserves for outstanding loss liability cash flows and a corresponding risk margin for non-hedgeable insurance-technical risks in these cash flows. In actuarial practice, the calculation of the risk margin is often not based on a sound model but various simplified methods are used. In the present paper we properly define these notions and we introduce insurance-technical probability distortions. We describe how the latter can be used to calculate a risk margin for non-life insurance run-off liabilities in a mathematically consistent way.