The 1-year premium risk

被引：0
|
作者：
David Fischinger
Florian Gach
机构：
[1] Austrian Financial Market Authority,
来源：
European Actuarial Journal | 2021年 / 11卷
关键词：
Chain ladder; Claims development result; Premium provision; Premium risk; SCR; Solvency capital requirement; Solvency II;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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 formula is applied to publicly available data of a legal protection insurance company falling under Solvency II; and the resulting confidence intervals are compared to the reported premium risk capital.
引用
收藏
页码：655 / 675
页数：20
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