FH-WORKINGPAPERS

A PRACTICAL GUIDE TO THE USE OF THE CHAIN-LADDER METHOD FOR DETERMINING TECHNICAL PROVISIONS FOR OUTSTANDING REPORTED CLAIMS IN NON-LIFE INSURANCE

AutorInnen
Björn Weindorfer
Erscheinungsdatum
30.10.2012
Studiengang
Bank- und FinanzwirtschaftQuantitative Asset and Risk Management
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ABSTRACT

The Solvency II directive establishes a revised set of capital adequacy rules for insurance and reinsurance undertakings in the EEA. The starting point for assessing the available capital of an undertaking is to value its assets and liabilities. The liabilities of insurance undertakings include the technical provisions which constitute a significant proportion of their balance sheets. Under Solvency II the projection of run-off triangles is one of the allowed methods for valuing the technical provisions for non-life insurance business. This paper demonstrates how the chain-ladder method, a simple form of run-off triangle methods, can be used by a non-life insurer in determining the technical provisions for outstanding claims.
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