IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v43y2016i5p847-870.html
   My bibliography  Save this article

Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis

Author

Listed:
  • Leonardo Costa
  • Adrian Pizzinga
  • Rodrigo Atherino

Abstract

This work deals with two methodologies for predicting incurred but not reported (IBNR) actuarial reserves. The first is the traditional chain ladder, which is extended for dealing with the calendar year IBNR reserve. The second is based on heteroscedastic regression models suitable to deal with the tail effect of the runoff triangle -- and to forecast calendar year IBNR reserves as well. Theoretical results regarding closed expressions for IBNR predictors and mean squared errors are established -- for the case of the second methodology, a Monte Carlo study is designed and implemented for accessing finite sample performances of feasible mean squared error formulae. Finally, the methods are implemented with two real data sets. The main conclusions: (i) considering tail effects does not imply theoretical and/or computational problems; and (ii) both methodologies are interesting to design softwares for IBNR reserve prediction.

Suggested Citation

  • Leonardo Costa & Adrian Pizzinga & Rodrigo Atherino, 2016. "Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 847-870, April.
    • Handle: RePEc:taf:japsta:v:43:y:2016:i:5:p:847-870
    DOI: 10.1080/02664763.2015.1079305
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2015.1079305
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664763.2015.1079305?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Leonardo Costa & Adrian Pizzinga, 2020. "State‐space models for predicting IBNR reserve in row‐wise ordered runoff triangles: Calendar year IBNR reserves & tail effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 438-448, April.
    2. Adrian Pizzinga & Marcelo Fernandes, 2021. "Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 355-371, May.
    3. Benjamin Avanzi & Xingyun Tan & Greg Taylor & Bernard Wong, 2023. "Cyber Insurance Risk: Reporting Delays, Third-Party Cyber Events, and Changes in Reporting Propensity -- An Analysis Using Data Breaches Published by U.S. State Attorneys General," Papers 2310.04786, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:43:y:2016:i:5:p:847-870. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.