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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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S. Björkwall , O. Hössjer and E. Ohlsson (2009a) Non-parametric and Parametric Bootstrap Techniques for Arbitrary Age-to-Age Development Factor Methods in Stochastic Claims Reserving. Scandinavian Actuarial Journal 306331.

D. Bryden and R.J. Verrall (2009) Calendar year effects, claims inflaton and the Chain-Ladder technique. Annals of Actuarial Science 4, 287301.

D. Kuang , B. Nielsen and J.P. Nielsen (2008a) Identification of the age-period-cohort model and the extended chain-ladder model. Biometrika 95, 979986.

D. Kuang , B. Nielsen and J.P. Nielsen (2008b) Forecasting with the age-period-cohort model and the extended chain-ladder model. Biometrika 95, 987991.

D. Kuang , B. Nielsen and J.P. Nielsen (2009) Chain Ladder as Maximum Likelihood Revisited. Annals of Actuarial Science 4, 105121.

T. Mack (1991) A simple parametric model for rating automobile insurance or estimating IBNR claims reserves. ASTIN Bulletin, 21, 93109.

P.J.R. Pinheiro , J.M. Andrade e SILVA and M.d.L. Centeno (2003) Bootstrap Methodology in Claim Reserving. Journal of Risk and Insurance 70, 701714.

G. Taylor (1977) Separation of inflation and other effects from the distribution of non-life insurance claim delays. ASTIN Bulletin 9, 217230.

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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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