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Forecasting in an extended chain-ladder-type model

  • Di Kuang

    ()

    (Aon, 8 Devonshire Square, London EC2M 4PL, U.K.)

  • Bent Nielsen

    ()

    (Nuffield College, Oxford OX1 1NF, U.K.)

  • Jens Perch Nielsen

    ()

    (Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, U.K.)

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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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2010-W05.

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Length: 19 pages
Date of creation: 24 Jun 2010
Date of revision:
Handle: RePEc:nuf:econwp:1005
Contact details of provider: Web page: http://www.nuff.ox.ac.uk/economics/

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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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