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Separation of Inflation and other Effects from the Distribution of Non-Life Insurance Claim Delays

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  • Taylor, G. C.

Abstract

In recent years, as a result of more concentrated research together with the ravages wrought upon some insurers by inflation, the fundamental significance of the so-called run-off triangle in the calculation of provisions for outstanding claims has been increasingly recognised. The run-off triangle, which is a two-way tabulation—according to year of origin and year of payment—of claims paid to date, has the following form, where Cij is the amount paid by the end of development year j in respect of claims whose year of origin is i, i.e. Cij is the total amount paid in year of origin i and the following j years.The information relating to the area below this triangle is unknown since it represents the future development of the various cohorts of claims.

Suggested Citation

  • Taylor, G. C., 1977. "Separation of Inflation and other Effects from the Distribution of Non-Life Insurance Claim Delays," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 219-230, January.
    • Handle: RePEc:cup:astinb:v:9:y:1977:i:1-2:p:219-230_01
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    Cited by:

    1. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 265-310, June.
    2. de Andres-Sanchez, Jorge, 2007. "Claim reserving with fuzzy regression and Taylor's geometric separation method," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 145-163, January.
    3. Apaydin, Aysen & Baser, Furkan, 2010. "Hybrid fuzzy least-squares regression analysis in claims reserving with geometric separation method," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 113-122, October.
    4. Bohnert, Alexander & Gatzert, Nadine & Kolb, Andreas, 2016. "Assessing inflation risk in non-life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 86-96.
    5. Verrall, R. J., 2000. "An investigation into stochastic claims reserving models and the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 91-99, February.
    6. Jan Barlak & Matus Bakon & Martin Rovnak & Martina Mokrisova, 2022. "Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business," Risks, MDPI, vol. 10(9), pages 1-17, August.
    7. Cadogan, Godfrey, 2010. "Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance," MPRA Paper 23235, University Library of Munich, Germany.
    8. Jorge De Andrés-Sánchez, 2024. "Calculating Insurance Claim Reserves with an Intuitionistic Fuzzy Chain-Ladder Method," Mathematics, MDPI, vol. 12(6), pages 1-24, March.

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