Abstract
We indicate a simple solution to the evaluation of solvency margins and equalization reserves in a non-life insurance portfolio. One of our provision models is based on a combination of ruin and credibility theory. It takes characteristics such as variance of claims, correlation of claims and volume of portfolio into account.
Keywords: Solvency margins; Equalization reserves; Non-life insurance portfolio
Volume
24:1-2
Page
103-115
Year
1999
Categories
Actuarial Applications and Methodologies
Reserving
Equalization/Catastrophe Reserves
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Actuarial Applications and Methodologies
Reserving
Uncertainty and Ranges
Financial and Statistical Methods
Credibility
Publications
Insurance: Mathematics & Economics
