On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins-Reference-Cited by-同舟云学术

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On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins

Published:2019-03 Issue: Volume:85 Page:74-88
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

England P.D.,Verrall R.J.,Wüthrich M.V.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference46 articles.

1. AISAM-ACME. 2007. AISAM-ACME study on non-life long tail liabilities. 17 October 2007. http://www.aisam.org/.

2. APRA. 2015. General insurance risk margins: Industry Review Report as at 30 September 2013. Australian Prudential Regulation Authority.

3. Coherent measures of risk;Artzner;Math. Finance,1999

4. An essay at measuring the variance of estimates of outstanding claim payments;Ashe;Astin Bull.,1986

5. Best estimates for reserves;Barnett;Proc. Casualty Actuar. Soc.,2000

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1. Study of Actuarial Characteristics of One-Year and Ultimate Reserve Risk Distributions Based on Market Data;Central European Journal of Economic Modelling and Econometrics;2023-11-06

2. A Model for Risk Adjustment (IFRS 17) for Surrender Risk in Life Insurance;Risks;2023-03-20

3. Optimal longevity risk transfer under asymmetric information;Economic Modelling;2023-03

4. On impact of largest claims reinsurance treaties on the ceding company’s loss reserve;Annals of Actuarial Science;2023-02-01

5. The Quality of Reserve Risk Calculation Models under Solvency II and IFRS 17;Risks;2022-10-26

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