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Estimación de reservas en una compañía aseguradora. Una aplicación en Excel del método Chain-Ladder y Bootstrap || Estimating the Reserves in Insurance Companies: An Excel Application of the Chain-Ladder Method and Bootstrap

Author

Listed:
  • Álvarez-Jareño, José Antonio

    (Centro Universitario EDEM. Universidad de Valencia)

  • Coll-Serrano, Vicente

    (Departamento de Economía Aplicada. Universidad de Valencia)

Abstract

Las compañías aseguradoras deben calcular la cuantía de las reservas y la dotación de provisiones para hacer frente al pago de siniestros que o bien no han sido comunicados o bien no han sido cerrados. En este trabajo, se aplica el método Chain-Ladder para la estimación puntual de las reservas y, posteriormente, se recurre al bootstrap para obtener el error de muestreo y una estimación por intervalos. Dado que el cálculo de las reservas es un problema real al que se enfrentan las aseguradoras, su resolución es de gran interés para los estudiantes de Ciencias Actuariales. Para facilitar la comprensión y el seguimiento del proceso a desarrollar, los métodos Chain-Ladder y bootstrap se ejecutan paso a paso en una aplicación Excel diseñada ad hoc. || Insurance companies have to estimate reserves and provisions to cover the payment of either unreported claims or unsettled claims. In this paper, we apply the Chain-Ladder method to obtain a point estimate of reserves, and then we use the bootstrap technique to estimate the margin of error and the confidence interval of the reserves. Since estimating reserves is a real problem which insurance companies have to face, its solving has a special interest for students of Actuarial Sciences. To ease the understanding and monitoring the process, the Chain-Ladder method and bootstrap is run step by step by using an Excel application designed for that purpose.

Suggested Citation

  • Álvarez-Jareño, José Antonio & Coll-Serrano, Vicente, 2012. "Estimación de reservas en una compañía aseguradora. Una aplicación en Excel del método Chain-Ladder y Bootstrap || Estimating the Reserves in Insurance Companies: An Excel Application of the Chain-Lad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 14(1), pages 124-136, December.
    • Handle: RePEc:pab:rmcpee:v:14:y:2012:i:1:p:124-136
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    References listed on IDEAS

    as
    1. England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
    2. Paulo J. R. Pinheiro & João Manuel Andrade e Silva & Maria De Lourdes Centeno, 2003. "Bootstrap Methodology in Claim Reserving," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 701-714, December.
    3. Taylor, G. C. & Ashe, F. R., 1983. "Second moments of estimates of outstanding claims," Journal of Econometrics, Elsevier, vol. 23(1), pages 37-61, September.
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    More about this item

    Keywords

    bootstrap; método Chain-Ladder; reservas; aseguradora; Chain-Ladder method; reserves; insurance company; Excel;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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