Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195896 
Year of Publication: 
2017
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 5 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-28
Publisher: 
MDPI, Basel
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.
Subjects: 
liability valuation
claims triangles
cost of capital
parameter estimation
parameter uncertainty
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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