Loss Reserves and Financial Risk: The Rich and the Poor

Link
http://www.actuaries.org/EVENTS/congresses/Cancun/astin_subject/astin_90_hellerman_bolviken.pdf
Abstract
The effect of including financial risk in actuarial reserve calculation is investigated. It is demonstrated that the requirements are quite sensitive towards the investment profile.

PowerPoint Presentation

Volume
Cancun
Year
2002
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Financial Risks
Actuarial Applications and Methodologies
Investments
Investment Policy
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Publications
ASTIN Colloquium
Authors
Erik Bolviken
Anders Hellemann Rolfsen