IDEAS home Printed from https://ideas.repec.org/a/wri/journl/v38y2015i2p157-183.html
   My bibliography  Save this article

Evaluating Reserve Risk in a Regulatory Perspective

Author

Listed:
  • Emmanuel Koenig
  • Pierre Le Moine
  • Alain Monfort
  • Eric Ratiarson

Abstract

We propose statistical methods for estimating not only the moments but the whole distribution of Claims Development Results (CDR), which is a key variable in calculating economic capital for non-life insurance reserving risk. These methods allow us to provide estimates of the under-provisioning risk, or reserve risk, associated with each accident year and of the global reserve risk. These risks are measured by the Value at Risk of the opposite of the CDR. We carefully examine the impact of two kinds of potential mistakes : wrongly assuming normality of the variables of interest and ignoring updating of the estimates of the parameters appearing in the statistical model. We show that both kinds of error may lead to large underestimations of the risk and, therefore, of the economic capital for reserving risk. These findings seem particularly important in a regulatory perspective.

Suggested Citation

  • Emmanuel Koenig & Pierre Le Moine & Alain Monfort & Eric Ratiarson, 2015. "Evaluating Reserve Risk in a Regulatory Perspective," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 38(2), pages 157-183.
  • Handle: RePEc:wri:journl:v:38:y:2015:i:2:p:157-183
    as

    Download full text from publisher

    File URL: http://www.insuranceissues.org/PDFs/382KLMR.pdf
    Download Restriction: no
    ---><---

    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:wri:journl:v:38:y:2015:i:2:p:157-183. 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: James Barrese (email available below). General contact details of provider: .

    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.