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 University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2010-W05.
Date of creation: 01 Jun 2010
Date of revision:
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.
- Di Kuang & Bent Nielsen & Jens Perch Nielsen, 2010. "Forecasting in an extended chain-ladder-type model," Economics Papers 2010-W05, Economics Group, Nuffield College, University of Oxford.
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.
- D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
- 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,"
2013-W05, Economics Group, Nuffield College, University of Oxford.
- 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.
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