Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers
Martinez-Miranda, M. D., Nielsen, B., Nielsen, J. P. & Verrall, R. J. (2011). Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin, 41(1), pp. 107-129. doi: 10.2143/AST.41.1.2084388
Abstract
In this paper we develop a full stochastic cash flow model of outstanding liabilities for the model developed in Verrall, Nielsen and Jessen (2010). This model is based on the simple triangular data available in most non-life insurance companies. By using more data, it is expected that the method will have less volatility than the celebrated chain ladder method. Eventually, our method will lead to lower solvency requirements for those insurance companies that decide to collect counts data and replace their conventional chain ladder method.
| Publication Type: | Article |
|---|---|
| Additional Information: | Copyright 2011 Cambridge Journals. |
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Actuarial Science & Insurance |
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