England, Peter
[VerfasserIn]
;
Verrall, R. J.
[Sonstige Person, Familie und Körperschaft];
Wuthrich, Mario V.
[Sonstige Person, Familie und Körperschaft]
On the Lifetime and One-Year Views of Reserve Risk, with Application to IFRS 17 and Solvency II Risk Margins
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 16, 2018 erstellt
Beschreibung:
This paper brings together analytic and simulation-based approaches to reserve risk in general (P&C) insurance, applied to the traditional actuarial view of risk over the lifetime of the liabilities and to the one-year view of Solvency II. It also connects the lifetime and one-year views of risk. The framework of the model in Mack (1993) is used throughout, although the results have wider applicability.The advantages of a simulation-based approach are highlighted, giving a full predictive distribution, which is used to estimate risk margins under Solvency II and risk adjustments under IFRS 17. We discuss methods for obtaining capital requirements in a cost-of-capital risk margin, and methods for estimating risk adjustments using risk measures applied to a simulated distribution of the outstanding liabilities over their lifetime