Home News Empirical Bayesian Approach in Micromodels of Reserve Risk.

Empirical Bayesian Approach in Micromodels of Reserve Risk.

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Discover  our new Expert Paper by  Claudia FEDORCAKOVA, Junior Consultant at ADDACTIS Worldwide.

“Following the recent legislative changes in insurance business, the insurers are forced to reconsider how their reserves are evaluated. In Europe, with the Solvency II regulation, reserve risk has been redefined from the ultimate claim horizon to a one-year risk horizon, meaning that also the distribution of claim estimates must be estimated on a one-year horizon. Therefore, it is desirable to develop a methodology to update the estimates based on new observations collected over one year, which is a typical task for Bayesian approach.”

Download the complete paper:click here

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