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

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Author

England, Peter D.

Verrall, Richard J.

Wüthrich, Mario V.

Date

2019-03

Type

Journal Article

Citations

Cited 1 times in Web of Science

Cited 4 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.insmatheco.2018.12.002

Journal / series

Insurance: Mathematics and Economics

Volume

85

Pages / Article No.

74 - 88

Publisher

Elsevier

Subject

Stochastic reserving; IFRS 17 risk adjustment; Solvency II risk margin; Bootstrap; Cost-of-capital; Coherent risk measure

Organisational unit

08813 - Wüthrich, Mario Valentin (Tit.-Prof.)

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Citations

Cited 1 times in Web of Science

Cited 4 times in Scopus

ETH Bibliography

yes

Altmetrics