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Forecasting in an extended chain-ladder-type model

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  • Bent Nielsen
  • Di Kuang and Jens Perch Nielsen

Abstract

Reserving 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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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2010/w5/Forecast24jun10.pdf
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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2010-W05.

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Date of creation: 01 Jun 2010
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Handle: RePEc:oxf:wpaper:2010-w05

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Related research

Keywords: Calendar effect; Canonical parameter; Extended chain-ladder; Identification problem; Forecasting;

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  1. 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.
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Cited by:
  1. 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.
  2. 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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