top of page
  • Photo du rédacteurHélène Dufour

On the decomposition of an insurer's profits and losses

"Current reporting standards for insurers require a decomposition of observed profits and losses in such a way that changes in the insurer's balance sheet can be attributed to specified risk factors. Generating such a decomposition is a nontrivial task because balance sheets generally depend on the risk factors in a non-linear way. This paper starts from an axiomatic perspective on profit and loss decompositions and finds that the axioms necessarily lead to infinitesimal sequential updating (ISU) decompositions, provided that the latter exist and are stable, whereas the current practice is rather to use sequential updating (SU) decompositions. The generality of the axiomatic approach makes the results useful also beyond insurance applications wherever profits and losses shall be additively decomposed in a risk-oriented manner."


0 vue0 commentaire

Posts récents

Voir tout

The paper explores optimal insurance contracts using decision makers' preferences, combining expected loss with a deviation measure like Gini coefficient or standard deviation. It reveals that using e

“I show that, during a normal economic period, rather than having a disciplining effect, disclosure leads to banks increasing risk taking, consistent with banks facing pressure to offset the costs of

bottom of page