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Publicação
Modelling long-term worker´s compensation : an application to a general insurance company
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| 1.5 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper resumes the main findings from modeling life underwriting risks to which Worker´s Compensation is exposed. Models presented aim to shorten the path between ad hoc procedures in place and the new capital requirements foreseen by Solvency II. The legal framework of this line of business is primarily explained as it is determinant for modeling purposes. We then provide a discussion about risk models in use, major options, assumptions and other relevant issues that were regarded when modeling this line of business.
Descrição
Mestrado em Ciências Actuariais
Palavras-chave
Internal Model Worker´s compensation Solvency II SCR Elasticity CIR model VaR Geometric Mortality Model life underwritings risks stochastic modeling longevity risk interest rate risk expense risk revision risk
Contexto Educativo
Citação
Herculano, Miguel Colburn (2013). "Modelling long-term worker´s compensation : an application to a general insurance company". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Último nome, Primeiro nome. data de publicação. "Título". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.