City Research Online

Risk margin for a non-life insurance run-off

Wuethrich, M. V., Embrechts, P. & Tsanakas, A. (2011). Risk margin for a non-life insurance run-off. Statistics & Risk Modeling, 28(4), pp. 299-317. doi: 10.1524/strm.2011.1096


For solvency purposes insurance companies need to calculate so-called best-estimate reserves for outstanding loss liability cash flows and a corresponding risk margin for non-hedgeable insurance-technical risks in these cash flows. In actuarial practice, the calculation of the risk margin is often not based on a sound model but various simplified methods are used. In the present paper we properly define these notions and we introduce insurance-technical probability distortions. We describe how the latter can be used to calculate a risk margin for non-life insurance run-off liabilities in a mathematically consistent way.

Publication Type: Article
Additional Information: Published by De Gruyter 2011.
Publisher Keywords: Claims reserving, best-estimate reserves, run-off risks, risk margin, market value margin, one-year uncertainty, claims development result, market-consistent valuation
Subjects: H Social Sciences > HF Commerce
Departments: Bayes Business School > Actuarial Science & Insurance
SWORD Depositor:
[thumbnail of WuethrichEmbrechtsTsanakas2011.pdf]
PDF - Accepted Version
Download (648kB) | Preview


Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email


Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login