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Erschienen in:
2010 | OriginalPaper | Buchkapitel
Valuation portfolio in non-life insurance
verfasst von : Mario V. Wüthrich, Hans Bühlmann, Hansjörg Furrer
Erschienen in: Market-Consistent Actuarial Valuation
Verlag: Springer Berlin Heidelberg
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In this chapter we construct the valuation portfolio for a non-life insurance runoff. That is, we study triangular non-life insurance data and based on these data we construct a replicating portfolio in terms of financial instruments. This replicating portfolio (called valuation portfolio) models the outstanding non-life insurance liabilities. We consider two versions of the valuation portfolio, the first version models the expected outstanding insurance liabilities, the second version considers in addition loadings for insurance technical risks. These constructions are based on the chain-ladder claims reserving method and use cumulative payments data for the analysis.