Purpose – The purpose of this paper is to transfer the concept of market‐consistent embedded value (MCEV) from life to non‐life insurance. This is an important undertaking since differences in management techniques between life and non‐life insurance make management at the group level...

Purpose – The purpose of this paper is to illustrate how risk capital can be calculated and allocated in a multi‐year context. This is an important issue, since strategic management and decision making within insurance companies require a multi‐year time horizon (instead of a one‐year...

Purpose – The purpose of this paper is to illustrate the importance of modeling parameter risk in premium risk, especially when data are scarce and a multi‐year projection horizon is considered. Internal risk models often integrate both process and parameter risks in modeling reserve risk,...