Accurate loss reserves are essential for insurers to maintain adequate capital and to efficiently price their insurance products. Loss reserving for Property & Casualty insurance is usually based on macro-level models with aggregate data in a run-off triangle. The macro-level models may generate material errors in the reserve estimates when assumptions underlying the estimates evolve over time ...

We consider the problem of decomposing monetary risk in the presence of a fully traded market in some risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the sense of Delbaen.

Aggregate financial data histories are extensively used by actuaries in projecting ultimate liabilities, but the claim occurrence, reporting, and settlement process which generates these data is not perfectly understood, rarely modeled directly, and not incorporated into the structure of most popular reserving methods. This paper utilizes today’s computer applications to create an automated sim...

This paper works on the claims data generated by individual policies which are randomly exposed to a period of continuous time. The main aim is model occurrence times claims, as well their developments given feature information and exposure periods policies, thus project outstanding liabilities. In this paper, we also propose method compute moments liabilities in an analytic form. It significan...