Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer

no code implementations • 14 Jul 2020 • Carlos Andrés Araiza Iturria, Frédéric Godin, Mélina Mailhot

We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements.