A stochastic approach for measuring the uncertainty of claims reserves
Abstract
This paper aims to obtain metrics for quantifying the variability of technical provisions for claims by making use of deterministic and stochastic models. In short, everything that the traditional methods do not provide (measures of variability and capital insufficiency) are of fundamental importance for efficient actuarial management. The proposed methodology reveals the probability of insufficiency of the allocated capital to cover the...
Paper Details
Title
A stochastic approach for measuring the uncertainty of claims reserves
Published Date
Dec 1, 2019
Volume
30
Issue
81
Pages
409 - 424
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