IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v68y2016icp162-168.html

Solvency capital estimation, reserving cycle and ultimate risk

Author

Listed:
  • Ferriero, A.

Abstract

In this paper we propose a stochastic model for the evolution of the reserves for a non-life insurance run-off portfolio that captures the dynamic of the reserving cycle, which consists in years of prudent reserves releases followed by sudden reserves strengthening.

Suggested Citation

  • Ferriero, A., 2016. "Solvency capital estimation, reserving cycle and ultimate risk," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 162-168.
    • Handle: RePEc:eee:insuma:v:68:y:2016:i:c:p:162-168
    DOI: 10.1016/j.insmatheco.2016.03.004
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668715300342
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2016.03.004?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

    for a different version of it.

    References listed on IDEAS

    as
    1. repec:cup:astinb:v:23:y:1993:i:02:p:213-225_01 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mathias Lindholm & Filip Lindskog & Felix Wahl, 2017. "Valuation of Non-Life Liabilities from Claims Triangles," Risks, MDPI, vol. 5(3), pages 1-28, July.
    2. Michel Dacorogna & Alessandro Ferriero & David Krief, 2018. "One-Year Change Methodologies for Fixed-Sum Insurance Contracts," Risks, MDPI, vol. 6(3), pages 1-29, July.
    3. Dacorogna, Michel M, 2017. "Approaches and Techniques to Validate Internal Model Results," MPRA Paper 79632, University Library of Munich, Germany.
    4. Yuechen Dai & Tonghui Xu, 2021. "A Lifecycle Approach to Insurance Solvency," Working Papers in Economics 21/13, University of Canterbury, Department of Economics and Finance.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    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:eee:insuma:v:68:y:2016:i:c:p:162-168. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc 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 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    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.