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Cash Flow Simulation for a Model of Outstanding Liabilities Based on Claim Amounts and Claim Numbers

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  • Miranda, María Dolores Martínez
  • Nielsen, Bent
  • Nielsen, Jens Perch
  • Verrall, Richard

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.

Suggested Citation

  • Miranda, María Dolores Martínez & Nielsen, Bent & Nielsen, Jens Perch & Verrall, Richard, 2011. "Cash Flow Simulation for a Model of Outstanding Liabilities Based on Claim Amounts and Claim Numbers," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 107-129, May.
    • Handle: RePEc:cup:astinb:v:41:y:2011:i:01:p:107-129_00
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    Citations

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    Cited by:

    1. Massimo De Felice & Franco Moriconi, 2019. "Claim Watching and Individual Claims Reserving Using Classification and Regression Trees," Risks, MDPI, vol. 7(4), pages 1-36, October.
    2. Margraf, Carolin & Elpidorou, Valandis & Verrall, Richard, 2018. "Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 54-65.
    3. Wahl, Felix & Lindholm, Mathias & Verrall, Richard, 2019. "The collective reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 34-50.
    4. Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel, 2014. "Individual loss reserving using paid–incurred data," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 121-131.
    5. Mammen, Enno & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2015. "In-sample forecasting applied to reserving and mesothelioma mortality," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 76-86.
    6. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
    7. Wahl, Felix, 2019. "Explicit moments for a class of micro-models in non-life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 140-156.

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