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Solvency margins and equalization reserves. (English) Zbl 0931.62088

Summary: We indicate a simple solution to the evaluation of solvency margins and equalization reserves in a non-life insurance portfolio. One of our provision models is based on a combination of ruin and credibility theory. It takes characteristics such as variance of claims, correlation of claims and volume of portfolio into account.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B28 Finance etc. (MSC2000)
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References:

[1] Beard, R.E., Pentikaïnen T., Pesonen E., 1969. Risk Theory. Methuen London.; Beard, R.E., Pentikaïnen T., Pesonen E., 1969. Risk Theory. Methuen London.
[2] Cramér, H., 1958. Mathematical Methods of Statistics. Princeton University Press. Princeton, NJ.; Cramér, H., 1958. Mathematical Methods of Statistics. Princeton University Press. Princeton, NJ.
[3] De Vylder, F., 1996. Advanced Risk Theory. Editions de l’ Université de Bruxelles & Swiss Association of Actuaries.; De Vylder, F., 1996. Advanced Risk Theory. Editions de l’ Université de Bruxelles & Swiss Association of Actuaries.
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