| Tartalom: |
http://hdl.handle.net/10831/112875 |
| Archívum: |
EDIT |
| Gyűjtemény: |
Publikációk
MTMT Tudományos publikációk
Tudományos publikációk (TTK)
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| Cím: |
The Quality of Reserve Risk Calculation Models under Solvency II and IFRS 17
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| Létrehozó: |
Arató, N. Miklós
Martinek, László
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| Dátum: |
2022
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| Tartalmi leírás: |
We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim triangles support our results. The appropriateness of the Solvency II risk margin on a one-year horizon and of the IFRS 17 risk adjustment in the long run largely vary by the chosen risk model. Despite the fact that IFRS 17 does not uniquely prescribe the metric for risk adjustment, we expect that VaR will be widely applied by insurance firms. Overall, actual data suggest that VaRs are predominantly underestimated by the models. Nevertheless, the 99.5%-VaRs under Solvency II are mostly sufficient on a 10-year-horizon to cover liabilities.
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| Típus: |
info:eu-repo/semantics/article
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| Formátum: |
application/pdf
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| Azonosító: |
elte:000881430700001
elte:85141794860
elte:33194866
elte:11
elte:RISKS
elte:RISKS
elte:10
elte:10089076
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| Létrehozó: |
info:eu-repo/semantics/openAccess
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