Modelling the claims development result for solvency purposes

We assume that the claims liability process satisfies the distribution-free chain-ladder model assumptions. For claims reserving at time I we predict the total ultimate claim with the information available at time I and, similarly, at time I+1 we predict the same total ultimate claim with the (updated) information available at time I+1. The claims development result at time I+1 for accounting year (I, I+1] is then defined to be the difference between these two successive predictions for the total ultimate claim. In [6, 10] we have analyzed this claims development result and we have quantified its prediction uncertainty. Here, we simplify, modify and illustrate the results obtained in [6, 10]. We emphasize that these results have direct consequences for solvency considerations and were (under the new risk-adjusted solvency regulation) already implemented in industry