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dc.contributor.author
Peters, Gareth W.
dc.contributor.author
Targino, Rodrigo S.
dc.contributor.author
Wüthrich, Mario V.
dc.date.accessioned
2020-05-20T06:46:28Z
dc.date.available
2017-12-05T12:25:22Z
dc.date.available
2018-01-08T13:47:54Z
dc.date.available
2018-02-05T12:44:15Z
dc.date.available
2020-05-20T06:46:28Z
dc.date.issued
2017-09-22
dc.identifier.other
10.3390/risks5040053
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/217495
dc.identifier.doi
10.3929/ethz-b-000217495
dc.description.abstract
The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under the new solvency regulations. In particular, a novel Monte Carlo method to calculate capital allocations for a general insurance company is developed, with a focus on coherent capital allocation that is compliant with the Swiss Solvency Test. The data used is based on the balance sheet of a representative stylized company. For each line of business in that company, allocations are calculated for the one-year risk with dependencies based on correlations given by the Swiss Solvency Test. Two different approaches for dealing with parameter uncertainty are discussed and simulation algorithms based on (pseudo-marginal) Sequential Monte Carlo algorithms are described and their efficiency is analysed.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
MDPI
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.subject
capital allocation
en_US
dc.subject
premium and reserve risk
en_US
dc.subject
Solvency Capital Requirement (SCR)
en_US
dc.subject
Sequential Monte Carlo (SMC)
en_US
dc.subject
Swiss Solvency Test (SST)
en_US
dc.title
Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
ethz.journal.title
Risks
ethz.journal.volume
5
en_US
ethz.journal.issue
4
en_US
ethz.pages.start
53
en_US
ethz.size
51 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.publication.place
Basel
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
en_US
ethz.date.deposited
2017-12-05T12:25:22Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2018-01-08T13:47:58Z
ethz.rosetta.lastUpdated
2020-05-20T06:46:37Z
ethz.rosetta.versionExported
true
ethz.COinS
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