Calculation of the capital requirement for technical risk in non-life insurance using a multiplicative model

Abstract

From a loss development triangle with aid of a multiplicative model the claims reserves are obtained together with estimates of their variances. The overall capital requirements for successive years are defined by means of percentile risk measure.

Applying the total balance sheet approach the required solvency capital is computed by subtracting a cost of capital risk margin.

Keywords

• Calculation
• capital
• requirement
• technical
• non-life
• insurance
• using
• multiplicative
• model