Appert-Raullin, Yannick; Devineau, Laurent; Pichevin, … - HAL - 2013
The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...