Statistical Methods Of Estimating Loss Reserves In General Insurance
AbstractRelevant estimation of loss reserves related to general insurance activity was and is one of the most important issues for insurance companies. Maintenance of loss reserves at the right level repre-sents the key condition of insurance monitoring authorities as the result of performance indicators of their activity depends on the value of these reserves. The forecasted value of future loss referred to prior events represents the loss reserve. In this paper, we present stochastic methods (Christofides method) of estimating the loss reserves, especially those of incurred but not reported reserves. The stochastic methods presented in the paper, in contrast to the determinist ones, adjust the result better and offer more information referring to the quality of data and exactness level of damage reserve forecast.
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Bibliographic InfoArticle provided by Alexandru Ioan Cuza University, Faculty of Economics and Business Administration in its journal Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi.
Volume (Year): 2010SE (2010)
Issue (Month): (july)
Contact details of provider:
Postal: Universitatea Al. I. Cuza; B-dul Carol I nr. 22; Iasi
Phone: 004 0232 201070
Fax: 004 0232 217000
Web page: http://anale.feaa.uaic.ro/anale/
More information through EDIRC
loss reserves; stochastic models; deterministic models; incurred but not reported re-serves(IBNR); the Chain-Ladder method; run-off triangle; predicting future payments; the total estimated loss reserve; the confidence interval for future payments.;
Find related papers by JEL classification:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
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