publication . Article . 2017

Economic capital modelling for the MTPL man-made catastrophe risk

Hürlimann, Werner;
Restricted
  • Published: 02 Aug 2017 Journal: Annals of Actuarial Science, volume 7, pages 46-60 (issn: 1748-4995, eissn: 1748-5002, Copyright policy)
  • Publisher: Cambridge University Press (CUP)
  • Country: Switzerland
Abstract
<jats:title>Abstract</jats:title><jats:p>We undertake a mathematical clarification of the QIS5 proposal for the calculation of the Motor Third Party Liability (MTPL) man-made catastrophe risk capital in terms of two more general models. The QIS5 model assumption implies that the total loss consists of a single catastrophe claim in case it occurs during the next one-year insurance time period. However, the total loss should instead be dynamically modelled by a sequence of claims of varying size that follow a compound Poisson Pareto model, which is our first alternative model. A second possibility also takes into account the effect of investments, whose financial ...
Subjects
free text keywords: Third party, Actuarial science, Pareto principle, Economics, Fist, Economic capital, Closed-form expression, Poisson distribution, symbols.namesake, symbols, Mathematical economics, Liability, Catastrophe risk
Related Organizations
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Article . 2017

Economic capital modelling for the MTPL man-made catastrophe risk

Hürlimann, Werner;