IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-05014-0_22.html

Run-Off Error in the Outstanding Claims Reserves Evaluation

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Nicolino Ettore D’Ortona

    (University of Sannio)

  • Giuseppe Melisi

    (University of Sannio)

Abstract

The variability of claim costs represents an important risk component, which should be taken into account while implementing the internal models for solvency evaluation of an insurance undertaking. This component can generate differences between future payments for claims and the provisions set aside for the same claims (run-off error). If the liability concerning the claims reserve is evaluated using synthetic methods, than the run-off error depends on the statistical method adopted. This work focuses on measuring the run-off error with reference to claims reserves evaluation methods applied to simulated run-off matrices for the claims-settlement development. The results from the numerical implementations provide us with useful insights for a rational selection of the statistical-actuarial method for the claims reserve evaluation on an integrated risk management framework.

Suggested Citation

  • Nicolino Ettore D’Ortona & Giuseppe Melisi, 2014. "Run-Off Error in the Outstanding Claims Reserves Evaluation," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 95-98, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_22
    DOI: 10.1007/978-3-319-05014-0_22
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-05014-0_22. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.