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 di¤erent 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 e¤ects in the reserve risk such as the impact of in‡ation and super-imposed in‡ation.
Series
ASTIN Colloquium
Editor
International Actuarial Association
Year
2009
Categories
New Valuation Techniques
