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Quantitative assessment of multi-year non-life insurance risk

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Erstveröffentlichung
2019-08-16
Authors
Hahn, Lukas
Referee
Zwiesler, Hans-Joachim
Stadje, Mitja
Dissertation


Faculties
Fakultät für Mathematik und Wirtschaftswissenschaften
Institutions
Institut für Versicherungswissenschaften
Abstract
This cumulative dissertation contributes to the field of quantitative multi-year risk assessment for non-life insurance obligations. Quantifying non-life insurance risk, i.e. the uncertainty in pricing and reserving resulting from the stochastic nature in occurrence, reporting, and settlement of claims, over a horizon of several years is necessary for modern risk- and value-based business planning and regulatory requirements for insurance companies. Practitioners are challenged to develop adequate and feasible multi-year risk projection models that are consistent with the company’s best estimate reserving practices. The research papers included in this dissertation contribute to the multi-year risk literature by providing closed-form estimators of second-moment risk measures for the distribution-free chain ladder model, extending analytical risk quantification to the case of multivariate reserving models among several loss portfolios, and developing simulation algorithms for joint multi-year risk evaluation on company level based on full predictive distributions.
Date created
2019
Cumulative dissertation containing articles
• Diers, D., Linde, M., and Hahn, L. J. (2016). Addendum to ‘The multi-year non-life insurance risk in the additive loss reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladder reserving models. Insurance: Mathematics and Economics 67(C): 187–199. DOI: 10.1016/j.insmatheco.2015.10.013.
• Hahn, L. J. (2017). Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model. Insurance: Mathematics and Economics 75: 71–81. DOI: 10.1016/j.insmatheco.2017.04.005.
• Hahn, L. J., and Linde, M. (2019). Quantification of multi-year non-life insurance risk: Analytical and simulation-based approaches in multivariate reserving models. Working Paper.
Subject headings
[GND]: Risikomanagement | Versicherungsmarkt | Risikoanalyse | Versicherungsbetrieb | Bilanzstrukturmanagement | Risikomaß | Sachversicherung | Stochastischer Prozess | Statistisches Modell | Versicherungstechnik
[LCSH]: Risk management | Risk (Insurance) | Insurance claims; Mathematical models | Insurance; Risk management | Insurance; Mathematical models | Insurance; Reserves | Estimation theory
[Free subject headings]: Non-life insurance risk | Stochastic claims reserving | Multi-year view | Chain ladder method | Incremental loss ratio method | Analytical estimator | Simulation-based estimator | Dependent lines of business | Multivariate stochastic reserving models | Claims triangle bootstrapping | Stochastic re-reserving | Actuary-in-the-box | Risk projection over multiple years | Multi-year internal risk model | ORSA process | Solvency II | Multi-year risk management | Overall Solvency Needs | Balance Sheet Approach
[DDC subject group]: DDC 310 / General statistics | DDC 330 / Economics | DDC 510 / Mathematics
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https://oparu.uni-ulm.de/xmlui/license_v3

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DOI & citation

Please use this identifier to cite or link to this item: http://dx.doi.org/10.18725/OPARU-17979

Hahn, Lukas (2019): Quantitative assessment of multi-year non-life insurance risk. Open Access Repositorium der Universität Ulm und Technischen Hochschule Ulm. Dissertation. http://dx.doi.org/10.18725/OPARU-17979
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