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|
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- 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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