IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2023y2023i1p51-70.html
   My bibliography  Save this article

On the decomposition of an insurer's profits and losses

Author

Listed:
  • Marcus C. Christiansen

Abstract

Current reporting standards for insurers require a decomposition of observed profits and losses in such a way that changes in the insurer's balance sheet can be attributed to specified risk factors. Generating such a decomposition is a non-trivial task because balance sheets generally depend on the risk factors in a non-linear way. This paper starts from an axiomatic perspective on profit and loss decompositions and finds that the axioms necessarily lead to infinitesimal sequential updating (ISU) decompositions, provided that the latter exist and are stable, whereas the current practice is rather to use sequential updating (SU) decompositions. The generality of the axiomatic approach makes the results useful also beyond insurance applications wherever profits and losses shall be additively decomposed in a risk-oriented manner.

Suggested Citation

  • Marcus C. Christiansen, 2023. "On the decomposition of an insurer's profits and losses," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2023(1), pages 51-70, January.
    • Handle: RePEc:taf:sactxx:v:2023:y:2023:i:1:p:51-70
    DOI: 10.1080/03461238.2022.2079996
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461238.2022.2079996
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461238.2022.2079996?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2023:y:2023:i:1:p:51-70. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.