European Actuarial Journal
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Authors’ Reply on the Discussion of Krafft and Pankratz
European Actuarial Journal - Tập 10 Số 1 - Trang 25-27 - 2020
On a dividend problem with random funding
European Actuarial Journal - Tập 9 - Trang 607-633 - 2019
We consider a modification of the dividend maximization problem from ruin
theory. Based on a classical risk process we maximize the difference of expected
cumulated discounted dividends and total expected discounted additional funding
(subject to some proportional transaction costs). For modelling dividends we use
the common approach whereas for the funding opportunity we use the jump times of
ano...
The 1-year premium risk
European Actuarial Journal - Tập 11 - Trang 655-675 - 2021
A general definition of the 1-year premium risk in non-life insurance is given,
which fully covers the risk associated with the change in premium provision.
Based on the chain ladder method, a simple predictor is provided and a new
analytic formula for the estimated prediction error is derived. Furthermore, the
relationship with the claims development result is explicitly worked out.
Finally, the ...
Risk processes with dependence and premium adjusted to solvency targets
European Actuarial Journal - Tập 2 - Trang 1-20 - 2012
This paper considers risk processes with various forms of dependence between
waiting times and claim amounts. The standing assumption is that the increments
of the claims process possess exponential moments so that variations of the
Lundberg upper bound for the probability of ruin are in reach. The traditional
point of view in ruin theory is reversed: rather than studying the probability
of ruin a...
Defining principles of a robust insurance solvency regime
European Actuarial Journal - Tập 8 - Trang 169-196 - 2018
The article deals with the fundamental features of a solvency regime: valuation
and risk modelling. The paper argues that for solvency testing purposes the
valuation method of choice is market consistent valuation. Statutory valuation
based on historical costs is at best irrelevant and possibly misleading in the
case of a compulsory winding up of a company and of forced sales of assets. As
far as ...
The slowdown in mortality improvement rates 2011–2017: a multi-country analysis
European Actuarial Journal - Tập 12 - Trang 839-878 - 2022
Mortality rates have been falling or ‘improving’ in many demographically
developed countries since the 1950s. However, there has been a slowdown since
2010 in the speed of improvement and this phenomenon has been particularly
marked at ages over 50. To understand better this mortality slowdown, we have
analysed long-run mortality trends of a group of developed countries using data
up to 2017 from ...
Discussion on “PRIIP-KID: Providing Retail Investors with Inappropriate Product Information?” (Graf)
European Actuarial Journal - - 2019
Interest rate risk: dimension reduction in the Swiss Solvency Test
European Actuarial Journal - Tập 1 - Trang 159-172 - 2011
Many risk models suffer from the incorporation of too many risk dimensions,
which at best only increase computational costs. However, in many cases such
models suffer in addition from a poor predictive power, as either the numerous
underlying parameters are not understood fully and in order to remain computable
the models may be over-simplistic and therefore neglect the more subtle
interactions be...
On a capital allocation by minimization of some risk indicators
European Actuarial Journal - Tập 6 Số 1 - Trang 177-196 - 2016
European insurance sector will soon be faced with the application of the
Solvency 2 regulation norms. It will create a real change in the risk management
of insurance practices. The ORSA (Own Risk and Solvency Assessment) approach of
the second pillar makes the capital allocation an important exercise for all
insurers, especially when it comes to groups. Considering multi-branches firms,
a capital...
Quadratic hedging: an actuarial view extended to solvency control
European Actuarial Journal - Tập 3 - Trang 45-68 - 2013
An investment strategy or portfolio is uniquely determined by an exposure
process specifying the number of shares held in risky assets at any time and a
cost process representing deposits into and withdrawals from the portfolio
account. The strategy is a hedge of a contractual payment stream if the payments
are currently deposited on/withdrawn from the portfolio account and the terminal
value of t...
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