Reserve and Capital Requirements in Non-Life Insurance. An analysis of the Italian MTPL market by stochastic claims reserving models

descrizione

In 2005 a study on the italian non-life insurance market has been started by ISVAP, aimed to verify the applicability of some stochastic loss reserving methods and to analyze their possible use in the supervisory activity. Following the debate on the new reserving standards, the original scope of the study has been extended in order to include the valuation of the effects of the alternative definitions of best estimate, risk margin and solvency capital considered in the Solvency II framework.

Author(s)

Lino Matarazzo, Stefano Cavastracci, Stefano Pasqualini, Massimo De Felice and Franco Moriconi

issue date

1 October 2006