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......
Multi-year analysis of solvency capital in life insurance
European Actuarial Journal - Tập 11 - Trang 463-501 - 2021
With the commencement of the Solvency II directive, insurers in the European Union need to provide a projection of their solvency figures into the future (as part of the Own Risk and Solvency Assessment, ORSA). This is a highly complex task since future solvency figures depend on the development of numerous (stochastic) risk factors. The required evaluations are numerically challenging, which in p......
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......
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