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Risks 2017, 5(3), 39; doi:10.3390/risks5030039

Valuation of Non-Life Liabilities from Claims Triangles

Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden
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Author to whom correspondence should be addressed.
Academic Editor: Mogens Steffensen
Received: 28 June 2017 / Revised: 15 July 2017 / Accepted: 17 July 2017 / Published: 19 July 2017
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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. View Full-Text
Keywords: liability valuation; claims triangles; cost of capital; parameter estimation; parameter uncertainty liability valuation; claims triangles; cost of capital; parameter estimation; parameter uncertainty
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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MDPI and ACS Style

Lindholm, M.; Lindskog, F.; Wahl, F. Valuation of Non-Life Liabilities from Claims Triangles. Risks 2017, 5, 39.

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