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Statistical Methods Of Estimating Loss Reserves In General Insurance

Author

Listed:
  • Ion Partachi

    () (Academy of Economic Studies of Moldova, Chisinau, Moldova)

  • Oleg Verejan

    (Academy of Economic Studies of Moldova, Chisinau, Moldova)

  • Marcel Bradu

    (Academy of Economic Studies of Moldova, Chisinau, Moldova)

  • Victoria Verejan

    (Academy of Economic Studies of Moldova, Chisinau, Moldova)

Abstract

Relevant estimation of loss reserves related to general insurance activity was and is one of the most important issues for insurance companies. Maintenance of loss reserves at the right level repre-sents the key condition of insurance monitoring authorities as the result of performance indicators of their activity depends on the value of these reserves. The forecasted value of future loss referred to prior events represents the loss reserve. In this paper, we present stochastic methods (Christofides method) of estimating the loss reserves, especially those of incurred but not reported reserves. The stochastic methods presented in the paper, in contrast to the determinist ones, adjust the result better and offer more information referring to the quality of data and exactness level of damage reserve forecast.

Suggested Citation

  • Ion Partachi & Oleg Verejan & Marcel Bradu & Victoria Verejan, 2010. "Statistical Methods Of Estimating Loss Reserves In General Insurance," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2010, pages 357-371, july.
  • Handle: RePEc:aic:journl:y:2010:v:se:p:357-371
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    More about this item

    Keywords

    loss reserves; stochastic models; deterministic models; incurred but not reported re-serves(IBNR); the Chain-Ladder method; run-off triangle; predicting future payments; the total estimated loss reserve; the confidence interval for future payments.;

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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