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Cost-of-Capital Margin for a General Insurance Liability Runoff

https://doi.org/10.2143/ast.40.2.2061123
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/3-540-29273-xopenalex-snapshot
A Course in Credibility Theory and its Applications
inferredcites →https://doi.org/10.1007/978-3-642-14852-1openalex-snapshot
Market-Consistent Actuarial Valuation
inferredcites →https://doi.org/10.1016/j.insmatheco.2009.06.001openalex-snapshot
The one-year non-life insurance risk
inferredcites →https://doi.org/10.1016/s0167-6687(00)00074-3openalex-snapshot
On transformations of actuarial valuation principles
inferredcites →https://doi.org/10.1017/s0515036100015294openalex-snapshot
Credibility for the Chain Ladder Reserving Method
inferredcites →https://doi.org/10.1080/03461238.1981.10413728openalex-snapshot
Recursive credibility estimation
inferredcites →https://doi.org/10.1080/03461238.1982.10405260openalex-snapshot
Credibility theory for some evolutionary models
inferredcites →https://doi.org/10.1080/10920277.2010.10597587openalex-snapshot
Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
inferredcites →https://doi.org/10.2139/ssrn.1576612openalex-snapshot
Time-Consistent and Market-Consistent Actuarial Valuations
inferredcites →https://doi.org/10.2143/ast.23.2.2005092openalex-snapshot
Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates
inferredcites →https://doi.org/10.2143/ast.39.1.2038065openalex-snapshot
Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1874043openalex-extracted
Parameter Uncertainty in Exponential Family Tail Estimation
inferred← citeshttps://doi.org/10.2139/ssrn.2148911openalex-extracted
Market Value Margin via Mean-Variance Hedging
inferred← citeshttps://doi.org/10.2139/ssrn.2524352openalex-extracted
Claims Run-Off Uncertainty: The Full Picture
inferred← citeshttps://doi.org/10.2139/ssrn.2653955openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2745909openalex-extracted
Capital Valuation Adjustment and Funding Valuation Adjustment
inferred← citeshttps://doi.org/10.1002/9781119756538.biblioopenalex-snapshot
References
inferred← citeshttps://doi.org/10.1007/978-3-642-31392-9_10openalex-snapshot
Selected Topics and Examples
inferred← citeshttps://doi.org/10.1007/978-981-15-1576-7_5openalex-snapshot
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes
inferred← citeshttps://doi.org/10.1007/s00500-015-1847-6openalex-snapshot
Relevant applications of Monte Carlo simulation in Solvency II
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2013.05.003openalex-snapshot
Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2016.12.002openalex-snapshot
Insurance valuation: A computable multi-period cost-of-capital approach
inferred← citeshttps://doi.org/10.1017/asb.2013.18openalex-snapshot
MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
inferred← citeshttps://doi.org/10.1017/asb.2014.10openalex-snapshot
FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
inferred← citeshttps://doi.org/10.1017/asb.2016.9openalex-snapshot
CHAIN LADDER AND ERROR PROPAGATION
inferred← citeshttps://doi.org/10.1080/03461238.2018.1528477openalex-snapshot
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
inferred← citeshttps://doi.org/10.1080/10920277.2014.997934openalex-snapshot
A Solution for Solvency II Quantitative Requirements Modeling with Long-Tail Liabilities
inferred← citeshttps://doi.org/10.1524/strm.2011.1096openalex-snapshot
Risk margin for a non-life insurance run-off
inferred← citeshttps://doi.org/10.2143/ast.41.2.2136980openalex-snapshot
Market-Consistent Valuation of Insurance Liabilities by Cost of Capital
inferred← citeshttps://doi.org/10.3390/risks5030039openalex-snapshot
Valuation of Non-Life Liabilities from Claims Triangles
inferred← citeshttps://doi.org/10.48550/arxiv.1607.04100openalex-snapshot
Insurance valuation: a computable multi-period cost-of-capital approach
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