Stochastic Chain-Ladder Reserving with Modeled General Inflation

被引:0
|
作者
De Felice, Massimo [1 ]
Moriconi, Franco [2 ]
机构
[1] Sapienza Univ Rome, Dept Stat Sci, I-00185 Rome, Italy
[2] Univ Perugia, Dept Econ, I-06123 Perugia, Italy
关键词
claims reserving; general inflation; claims inflation; stochastic chain-ladder; reserve risk; nominal interest rates; real interest rates; TERM STRUCTURE;
D O I
10.3390/risks11120221
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We consider two possible approaches to the problem of incorporating explicit general (i.e., economic) inflation in the non-life claims reserve estimates and the corresponding reserve SCR, defined-as in Solvency II-under the one-year view. What we call the actuarial approach provides a simplified solution to the problem, obtained under the assumption of deterministic interest rates and absence of inflation risk premia. The market approach seeks to eliminate these shortcomings by combining a stochastic claims reserving model with a stochastic market model for nominal and real interest rates. The problem is studied in details referring to the stochastic chain-ladder provided by the Over-dispersed Poisson model. The application of the two approaches is illustrated by a worked example based on market data.
引用
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页数:31
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