In this paper we present a stochastic model that allows to derive estimators for the Mean Squared Error of Prediction (MSEP) of the one-year uncertainty related to the premium and Unearned Premium Reserve (UPR) risk (as defined according to the modified Swiss Solvency Test methodology outlined...

In this paper we propose possible enhancements related to the Swiss Solvency Test (SST) methodology as presented in the technical documentation from the Swiss regulator FINMA. In particular we allow for considering the Unearned Premium Reserve (UPR) risk and show which additional terms should be...