Valuation of Non-Life Liabilities from Claims Triangles

Mathias Lindholm, Filip Lindskog and Felix Wahl
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Mathias Lindholm: Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden
Filip Lindskog: Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden
Felix Wahl: Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden

Risks, 2017, vol. 5, issue 3, 1-28

Abstract: This paper provides a complete program for the valuation of aggregate non-life insurance liability cash flows based on claims triangle data. The valuation is fully consistent with the principle of valuation by considering the costs associated with a transfer of the liability to a so-called reference undertaking subject to capital requirements throughout the runoff of the liability cash flow. The valuation program includes complete details on parameter estimation, bias correction and conservative estimation of the value of the liability under partial information. The latter is based on a new approach to the estimation of mean squared error of claims reserve prediction.

Keywords: liability valuation; claims triangles; cost of capital; parameter estimation; parameter uncertainty (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:5:y:2017:i:3:p:39-:d:105172

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