Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258078 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 4 [Article No.:] 125 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
The goal of this paper was to exploit the Bayesian approach and MCMC procedures to structure an internal model to quantify the reserve risk of a non-life insurer under Solvency II regulation. To this aim, we provide an extension of the Correlated Chain Ladder (CCL) model to the one-year time horizon. In this way, we obtain the predictive distribution of the next year obligations and we are able to assess a capital requirement compliant with Solvency II framework. Numerical results compare the one-year CCL with other traditional approaches, such as Re-Reserving and the Merz and Wüthrich formula. One-year CCL proves to be a legitimate alternative, providing values comparable with the more traditional approaches and more robust and accurate risk estimations, that embed external knowledge not present in the data and allow for a more precise and tailored representation of the risk profile of the insurer.
Subjects: 
Bayesian models
stochastic claims reserving
claims development results
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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