The multi-year non-life insurance risk in the additive loss reserving model

This is the first paper to derive analytically closed formulae for multi-year non-life insurance risk in the additive loss reserving model as defined by variation of multi-year claims development results. Embedding future accident years leads to an integrated approach to quantifying multi-year risk arising from the settlement of outstanding claims (reserve risk) and future claims yet to occur (premium risk). An application study will serve to illustrate the usefulness of the new multi-year horizon.