Abstract
The purpose of this paper is to develop a simple model for determining distributions of present value estimates of aggregate losses. Three random components of the model that will be described are aggregate losses, payout patterns, and interest rates.
In addition, this paper addresses the impact of timing and investment variability on risk margin/solvency requirements.
Volume
May
Page
155-216
Year
1989
Categories
Actuarial Applications and Methodologies
Valuation
Discount Rates
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Actuarial Applications and Methodologies
Investments
Financial and Statistical Methods
Loss Distributions
Publications
Casualty Actuarial Society Discussion Paper Program
Prizes
Michelbacher Prize
