Advanced Search
MyIDEAS: Login to save this paper or follow this series

One-Year Volatility of Reserve Risk in a Multivariate Framework

Contents:

Author Info

  • Yannick Appert-Raullin

    ()
    (Group Risk Management, GIE AXA - GIE AXA)

  • Laurent Devineau

    ()
    (Recherche et Développement, Milliman Paris - Milliman, SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Hinarii Pichevin

    ()
    (Recherche et Développement, Milliman Paris - Milliman)

  • Philippe Tann

    ()
    (Group Risk Management, GIE AXA - GIE AXA)

Registered author(s):

    Abstract

    The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed expression of the prediction error of several run-off portfolios at the ultimate horizon by taking into account their dependency. This article proposes an analytical expression of the one-year MSEP obtained by generalizing the modeling developed by Braun to the one-year horizon with an approach similar to Merz and Wüthrich. A full mathematical demonstration of the formula has been provided in this paper. A case study is presented to assess the dependency between commercial and motor liabilities businesses based on data coming from a major international insurer.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://hal.archives-ouvertes.fr/docs/00/84/93/91/PDF/APPERT-RAULLIN_DEVINEAU_PICHEVIN_TANN_-_One-Year_Volatility_of_Reserve_Risk_in_a_Multivariate_Framework_v2.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by HAL in its series Working Papers with number hal-00848492.

    as in new window
    Length:
    Date of creation: 30 Jul 2013
    Date of revision:
    Handle: RePEc:hal:wpaper:hal-00848492

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00848492
    Contact details of provider:
    Web page: http://hal.archives-ouvertes.fr/

    Related research

    Keywords: multivariate reserving; correlation; run-off portfolio; prediction error; estimation error; process error; one-year multivariate reserve risk; claims development result; Solvency II; aggregation; dependency; lines of business;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Hess, Klaus Th. & Schmidt, Klaus D. & Zocher, Mathias, 2006. "Multivariate loss prediction in the multivariate additive model," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 185-191, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00848492. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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