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Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladder reserving models

Author

Listed:
  • Diers, Dorothea
  • Linde, Marc
  • Hahn, Lukas

Abstract

This is the first study to derive closed-form analytical expressions for multi-year non-life insurance risk in the chain ladder model. Extending on previous research on the additive reserving model, we define multi-year risk via prediction errors of multi-year claims development results including both observed and future accident years. A resampling argument and a first-order Taylor approximation address the quantification of estimation errors and multiplicative dependencies in the chain ladder framework, respectively. From our generalized multi-year approach, we deduce estimators for reserve and premium risks in multi-year view and their implicit correlation. We reproduce well-known results from literature for the special cases of one-year and ultimo view. Further, we comment on how to obtain estimators for generalized versions of the chain ladder method. A case study demonstrates the applicability of our analytical formulae.

Suggested Citation

  • Diers, Dorothea & Linde, Marc & Hahn, Lukas, 2016. "Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladde," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 187-199.
    • Handle: RePEc:eee:insuma:v:67:y:2016:i:c:p:187-199
    DOI: 10.1016/j.insmatheco.2015.10.013
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    References listed on IDEAS

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    1. Buchwalder, Markus & Bühlmann, Hans & Merz, Michael & Wüthrich, Mario V., 2006. "The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 521-542, November.
    2. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    3. repec:eme:jrfpps:v:14:y:2013:i:2:p:353-377 is not listed on IDEAS
    4. Mack, Thomas, 1999. "The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 361-366, November.
    5. Ohlsson, Esbjörn & Lauzeningks, Jan, 2009. "The one-year non-life insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 203-208, October.
    6. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
    7. Diers, Dorothea & Linde, Marc, 2013. "The multi-year non-life insurance risk in the additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 590-598.
    8. Dorothea Diers & Martin Eling & Christian Kraus & Marc Linde, 2013. "Multi-year non-life insurance risk," Journal of Risk Finance, Emerald Group Publishing, vol. 14(4), pages 353-377, August.
    9. Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
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    Cited by:

    1. Hahn, Lukas, 2017. "Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 71-81.

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