Evaluating Reserve Risk in a Regulatory Perspective

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...

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Veröffentlicht in:	Journal of insurance issues 2015-10, Vol.38 (2), p.157-183
Hauptverfasser:	Koenig, Emmanuel, Le Moine, Pierre, Monfort, Alain, Ratiarison, Eric
Format:	Artikel
Sprache:	eng
Schlagworte:	Accidents Capital Consistent estimators Estimation methods Estimators Insurance regulation Insurance risk Life insurance Maximum likelihood estimation Parametric models Risk management Solvency Statistical methods Statistical variance Studies
Online-Zugang:	Volltext
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