From ruin theory to solvency in non-life insurance. (English) Zbl 1401.91202
Summary: We start from ruin theory considerations in the classical Cramér-Lundberg model. We modify these considerations step by step so that finally we arrive at today’s solvency assessments for non-life insurance companies. These modifications include discussions about time horizons, risk measures, financial returns, and valuation of insurance liabilities.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
Keywords:
ruin theory; Cramér-Lundberg process; solvency and acceptability; valuation; non-life insurance cash flows; best-estimate reserves; risk measuresSoftware:
QRMReferences:
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