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
Carmen Boado-Penas, Julia Eisenberg, Axel Helmert, Paul Krühner
The 1-year premium risk
European Actuarial Journal - Tập 11 - Trang 655-675 - 2021
David Fischinger, Florian Gach
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 ...... hiện toàn bộ
Defining principles of a robust insurance solvency regime
European Actuarial Journal - Tập 8 - Trang 169-196 - 2018
René Schnieper
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 ...... hiện toàn bộ
Discussion on “PRIIP-KID: Providing Retail Investors with Inappropriate Product Information?” (Graf)
European Actuarial Journal - - 2019
Matthias Bidell, Andreas Niemeyer, Tobias Rieck
On a capital allocation by minimization of some risk indicators
European Actuarial Journal - Tập 6 Số 1 - Trang 177-196 - 2016
Maume-Deschamps, V., Rullière, D., Said, K.
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...... hiện toàn bộ
Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
European Actuarial Journal - Tập 12 - Trang 647-700 - 2021
Andreas Lichtenstern, Rudi Zagst
In this article we consider the post-retirement phase optimization problem for a specific pension product in Germany that comes without guarantees. The continuous-time optimization problem is defined consisting of two specialties: first, we have a product-specific pension adjustment mechanism based on a certain capital coverage ratio which stipulates compulsory pension adjustments if the pension f...... hiện toàn bộ
An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
European Actuarial Journal - Tập 12 - Trang 89-123 - 2021
Alberto Zanotto, Gian Paolo Clemente
In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through a simulation model that combines alternative reinsurance treaties. Based on the Solvency II framework, the model maximises both solvency ratio and portfolio performance under user-defined constraints. Data visualisation helps understanding the numerical results and, together with the...... hiện toàn bộ
Solvency capital requirement for hybrid products
European Actuarial Journal - Tập 1 - Trang 173-198 - 2011
Michael Kochanski, Bertel Karnarski
In this paper, we propose a partial internal model to determine the solvency capital requirement (SCR) for static and dynamic hybrid products. We present qualitative and quantitative results from several simulation studies for new business portfolios as well as for existing portfolios based on actual and fictitious historical financial market data. Our findings show that hybrid products are mainly...... hiện toàn bộ
Lapse tables for lapse risk management in insurance: a competing risk approach
European Actuarial Journal - Tập 8 - Trang 97-126 - 2018
Xavier Milhaud, Christophe Dutang
This paper deals with the crucial problem of modeling policyholders’ behaviours in life insurance. We focus here on the surrender behaviours and model the contract lifetime through the use of survival regression models. Standard models fail at giving acceptable forecasts for the timing of surrenders because of too much heterogeneity, whereas the competing risk framework provides interesting insigh...... hiện toàn bộ
Discussion on ‘A comprehensive model for cyber risk based on marked point processes and its applications to insurance’ (Zeller, Scherer)
European Actuarial Journal - Tập 12 - Trang 87-88 - 2022
Jürgen Reinhart
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