Forecasting in an extended chain-ladder-type model
AbstractReserving in general insurance is often done using chain-ladder-type methods. We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle. It is shown that methods for forecasting non-stationary time series are helpful. We illustrate the method using data published in Barnett and Zehnwirth (2000). These data illustrate features we also found in data from the general insurer RSA during the recent credit crunch.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2010-W05.
Length: 19 pages
Date of creation: 24 Jun 2010
Date of revision:
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Web page: http://www.nuff.ox.ac.uk/economics/
Calendar effect; canonical parameter; extended chain-ladder; identification problem; forecasting.;
Other versions of this item:
- Di Kuang & Bent Nielsen & Jens Perch Nielsen, 2011. "Forecasting in an Extended Chain‐Ladder‐Type Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(2), pages 345-359, 06.
- Bent Nielsen & Di Kuang and Jens Perch Nielsen, 2010. "Forecasting in an extended chain-ladder-type model," Economics Series Working Papers 2010-W05, University of Oxford, Department of Economics.
- NEP-ALL-2010-09-25 (All new papers)
- NEP-ECM-2010-09-25 (Econometrics)
- NEP-FOR-2010-09-25 (Forecasting)
- NEP-MIC-2010-09-25 (Microeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean-Philippe Boucher & Michel Denuit & Montserrat Guillen, 2009. "Number of Accidents or Number of Claims? An Approach with Zero-Inflated Poisson Models for Panel Data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 821-846.
- Bent Nielsen & Maria Dolores Martinez Miranda & Jens Perch Nielsen, 2013.
"Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality,"
Economics Series Working Papers
2013-W05, University of Oxford, Department of Economics.
- María Dolores Martínez Miranda & Bent Nielsen & Jens Perch Nielsen, 2013. "Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality," Economics Papers 2013-W05, Economics Group, Nuffield College, University of Oxford.
- D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
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