Metodi di riservazione e rischi di riservazione e premi per il non-vita sotto Solvency II

Abstract ¿... the aims of this work are: comparing several claims reserving methods and their results, comparing standard and Undertaking-Specific formula for Non-life premium and reserve risk sub-module and their final results.[...] Best Estimate Liabilities (BEL) were computed following the technical provision valuation process (Figure 1.7); this process was born after a personal adaptation of legal provisions into a process able to underline every required step necessary to obtain a BEL which were consistent with rules. Following the process, data were collected, adjusted for assumptions and expert adjustments and BEL were computed for each Line of Business (LoB) in according with, previously explained, claims reserving methods. A final report about BEL valuation process is shown on Tables 5.4 and 5.5; [...] Subsequently it was selected a specific method for the evaluation of BEL for each LoB and some diagnostic tests on such methods were performed. In order to achieve the second aim of the work firstly, it was computed Non-life Capital Charge for premium and reserve risk sub-module in according to standard formula (final result at Table 5.16). Secondly, Merz-Wuthrich model was implemented and applied on each LoB. Merz-Wuthrich model's results (reported as sigma'U at Table 5.19) were used to get Undertaking-Specific Parameters. Thirdly, after having computed Merz-Wuthrich sigmas, that were consistent with one year view, assumptions and expert adjustments for each Line of Business, they were used to compute initially, Undertaking-Specific Parameters (USP), and finally Non-life Capital Charge for premium and reserve risk sub-module in according with Undertaking-Specific formula.¿