Forecasting in an extended chain-ladder-type model
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.
|Date of creation:||01 Jun 2010|
|Date of revision:|
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- England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(03), pages 443-518, August.
- Kuang, D. & Nielsen, B. & Nielsen, J. P., 2009. "Chain-Ladder as Maximum Likelihood Revisited," Annals of Actuarial Science, Cambridge University Press, vol. 4(01), pages 105-121, March.
- 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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