We investigate a bottom-up risk aggregation applied by insurance companies facing reserve risk from multiple lines of business. Since the required risk capitals should be calculated in different time horizons, depending on the regulatory or reporting regime (Solvency II vs IFRS 17), we study...

We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks...

We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks...

We study the relation between one-year premium risk and ultimate premium risk. We provide additional insight and information to the work by Delong and Szatkowski (2019) and investigate new properties of the one-year premium risk vs. the ultimate premium risk. In practice, the one-year risk is...

We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks...

In this work, we perform an analysis of commonly used characteristics of the one-year and ultimate reserve risk distributions: duration, first development factor, coefficient of variation, skewness coefficient, skewness-to-CoV ratio, aggregated emergence factor, emergence pattern, and risk...

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...