Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a solvency II perspective
Year of publication: |
May 2016
|
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Authors: | Melisi, Giuseppe ; Konstandatos, Otto ; Bienek, Tobias |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 68.2016, p. 27-44
|
Subject: | Chain Ladder | Claims reserve | Best estimate | Direct compensation | Multistate model | Copula | Dependence |
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