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

Published online by Cambridge University Press:  09 August 2013

María Dolores Martínez Miranda ,
Bent Nielsen ,
Jens Perch Nielsen  and
Richard Verrall
María Dolores Martínez Miranda
Affiliation:
University of Granada, Campus Fuentenueva, 18071, Granada, Spain, E-mail: mmiranda@ugr.es
Bent Nielsen
Affiliation:
Nuffield College, Oxford OX1 1NF, U.K., E-mail: bent.nielsen@nuffield.ox.ac.uk
Jens Perch Nielsen
Affiliation:
Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, U.K., E-mail: Jens.Nielsen.1@city.ac.uk
Richard Verrall
Affiliation:
Cass Business School, City University London, E-Mail: r.j.verrall@city.ac.uk
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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.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 41 , Issue 1 , May 2011 , pp. 107 - 129
Copyright
Copyright © International Actuarial Association 2011

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