Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data

Carolin Margraf, Valandis Elpidorou and Richard Verrall

Insurance: Mathematics and Economics, 2018, vol. 80, issue C, 54-65

Abstract: This paper addresses a new problem in the literature, which is how to consider reserving issues for a portfolio of general insurance policies when there is excess-of-loss reinsurance. This is very important for pricing considerations and for decision making regarding capital issues. The paper sets out how this is currently often tackled in practice and provides an alternative approach using recent developments in stochastic claims reserving. These alternative approaches are illustrated and compared in an example using real data. The stochastic modelling framework used in this paper is Double Chain Ladder, but other approaches would also be possible. The paper sets out an approach which could be explored further and built on in future research.

Keywords: General insurance; Claims reserving; Risk; Chain Ladder; Reinsurance; Micro models (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:80:y:2018:i:c:p:54-65

DOI: 10.1016/j.insmatheco.2018.03.001

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