Peter England

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

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Scholarly Papers (1)

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On the Lifetime and One-Year Views of Reserve Risk, with Application to IFRS 17 and Solvency II Risk Margins

Number of pages: 31 Posted: 15 Mar 2018 Last Revised: 30 May 2019
Peter England, R. J. Verrall and Mario V. Wuthrich
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and RiskLab, ETH Zurich
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Abstract:

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Stochastic Reserving, General Insurance, Bootstrap, Chain-Ladder, Prediction Error, Mean Square Error of Prediction, Cost-of-Capital, Risk Margin, Risk Adjustment, Solvency II, IFRS 17, Value-at-Risk, Tail Value-at-Risk, One-Year View, Proportional Hazards Transform, Coherent Risk Measure