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Summary: |
| A business line of a non-life insurance company is considered. A model of the evolution of its loss reserves under a prudential reserving rule is presented. An equation is derived for the amount of allocated free capital needed to cover the underwriting and the investment risks with a given confidence level. Other types of risk are, for the sake of simplicity, assumed to be taken into consideration by choosing properly the parameters of the two basic risks. |
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| Date: 29 May - Time: 14:30 to 16:00 - Room: 341 |
| Theme: 1.B. Solvency measurements and asset-liability management |
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