Abstract
Both the Swiss Solvency Test (SST) and solvency II in the EU are the framework of a new, risk based solvency regulation. In this paper we concentrate on the insurance risk. We will compare the two models and discuss what is common and what is different in the two models. Emphasis will be lead on the estimation of the parameters and some new parameter estimators will be presented. In this context we will also address the problem of how to combine individual and industry-wide data by means of credibility. Another special discussion point will be diagonal effects in the reserve risk such as the impact of inflation and super-imposed inflation.
Keywords: Solvency II, insurance risk
Page
1-37
Year
2009
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Publications
ASTIN Colloquium
