Runoff Collateral Requirements

Motivation: To provide a simple method of estimating collateral for captive reinsurance contracts that are in runoff with respect to the issuing carrier.

Method: The paper demonstrates a simplified application of individual claim development.

Results: For small open claim counts, the parameter risk and distribution risk of the estimated collateral requirement is reduced by the presence of the loss limit.

Conclusions: Individual claim development addresses the two problems of reserving subject to a loss limit and dealing with a small claim count.

Keywords: Reinsurince, claims handling, reserving