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

  • María Dolores Martínez Miranda (a1), Bent Nielsen (a2), Jens Perch Nielsen (a3) and Richard Verrall (a4)

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.

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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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