Paid-incurred chain claims reserving method

Link:
Autor/in:
Erscheinungsjahr:
2010
Medientyp:
Text
Schlagworte:
  • Claim
  • Insurance
  • Chain ladder
  • Models
  • Risks
  • Finance
  • Claims payments
  • Prediction uncertainty
  • Outstanding loss liabilities
  • Claims incurred
  • Claims reserving
  • Ultimate loss
  • Incurred losses
  • Claim
  • Insurance
  • Chain ladder
  • Models
  • Risks
  • Finance
Beschreibung:
  • We present a novel stochastic model for claims reserving that allows us to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig's (1985) model and Gogol's (1993) model ) leading to a log-normal paid-incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predictive distribution of the outstanding loss liabilities. On the one hand, this allows for an analytical calculation of the claims reserves and the corresponding conditional mean square error of prediction. On the other hand, simulation algorithms provide any other statistics and risk measure on these claims reserves. © 2010 Elsevier B.V.
Lizenz:
  • info:eu-repo/semantics/restrictedAccess
Quellsystem:
Forschungsinformationssystem der UHH
Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/4e3f4010-28c1-474b-a36f-c40382ca6160