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

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Author
England, Peter D.
Verrall, Richard J.
Wüthrich, Mario V.
Date
2019-03
Type
    Journal Article
Publication status
published
External links
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 8 times in Web of Science
Cited 12 times in Scopus
ETH Bibliography
yes
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