Title: One-year premium risk and emergence pattern of ultimate loss based on conditional distribution / Lukasz Delong, Marcin Szatkowski
Author: Delong, Lukasz
Notes: Sumario: We study the relation between one-year premium risk and ultimate premium risk. In practice, the one-year risk is sometimes related to the ultimate risk by using a so-called emergence pattern formula which postulates a linear relation between both risks. We define the true emergence pattern of the ultimate loss for the one-year premium risk based on a conditional distribution of the ultimate loss derived from a multivariate distribution of the claims development process. We investigate three models commonly used in claims reserving and prove that the true emergence pattern formulas are different from the linear emergence pattern formula used in practice. We show that the one-year risk, when measured by VaR, can be under and overestimated if the linear emergence pattern formula is applied. We present two modifications of the linear emergence pattern formula. These modifications allow us to go beyond the claims development models investigated in the first part and work with an arbitrary distribution of the ultimate loss.
Other authors: Szatkowski, Marcin
Other categories: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/