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Selected Topics and Examples

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Financial Modeling, Actuarial Valuation and Solvency in Insurance

Part of the book series: Springer Finance ((FINANCE))

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Abstract

We discuss open issues and give new results for dealing with these issues. We start off by discussing model and, in particular, parameter uncertainty. We describe how these can be dealt with in a solvency framework using Bayesian models. Then we describe cost-of-capital margin calculations as they are used in practice. We give some insight to dependence modeling (such as calendar year dependence in non-life insurance run-offs); we discuss premium liability modeling of new insurance business resulting in the notion of attritional and large claims; and we discuss risk mitigation using reinsurance.

Finally, the heart of this chapter (or even of the whole book) is the definition of a complete solvency model for a toy insurance company. We study the solvency position of this toy insurance company under various different management decisions.

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Authors and Affiliations

  1. RiskLab, Department of Mathematics, ETH Zurich, Zurich, Switzerland

    Mario V. Wüthrich

  2. Faculty for Economic and Social Studies, Department of Business Administration, University of Hamburg, Hamburg, Germany

    Michael Merz

Authors
  1. Mario V. Wüthrich
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  2. Michael Merz
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Wüthrich, M.V., Merz, M. (2013). Selected Topics and Examples. In: Financial Modeling, Actuarial Valuation and Solvency in Insurance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-31392-9_10

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