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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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.
- 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.
- D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Caroline Wise).
If references are entirely missing, you can add them using this form.