Solvency Need Resulting from Reserving Risk in a ORSA Context View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2017-12-07

AUTHORS

Geoffrey Nichil, Pierre Vallois

ABSTRACT

The main goal of the paper is the evaluation of the Solvency Need SN(h), where h is the maximal duration of the insurance contracts that we will consider. We define it as the quantile of R(h, S) − 𝔼[R(h, S)], where R(h, S) is the reserve introduced in Nichil and Vallois (Insurance: Mathematics and Economics 66:29–43, 2016) and S := (Sx, x ⩾ 0) is a systemic risk. We prove that the normalized reserve converges in distribution, as h → + ∞, to the sum of a Gaussian RV and an independent RV which is an integral of a function of the systemic risk. In the case of mortgage guarantee we can go further in the description of the non-Gaussian RV and we propose three numerical schemes to estimate SN(h) when h is large and we compare the results of simulation. More... »

PAGES

1-26

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11009-017-9609-9

DOI

http://dx.doi.org/10.1007/s11009-017-9609-9

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1099698124


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