Claims Reserving When There Are Negative Values in the Runoff Triangle

Claims Reserving When There Are Negative Values in the Runoff Triangle: Bayesian Analysis Using the Three-parameter Log-normal Distribution

This paper is concerned with the situation that occurs in claims reserving when there are negative values in the development triangle of incremental claim amounts. Typically these negative values will be the result of salvage recoveries, payments from third parties, total or partial cancellation of outstanding claims due to initial overestimation of the loss or to a possible favorable jury deci...

Claims Reserving When There Are Negative Values in the Development Triangle

Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

1.1. Macro and Micro Methods. For more than a century, actuaries have been using run-off triangles to project future payments, in nonlife insurance. In the 30’s, [1] formalized this technique that originated the popular chain ladder estimate. In the 90’s, [2] proved that the chain ladder estimate can be motivated by a simple stochastic model, and later on [3] provided a comprehensive overview o...

Prediction Error of the Multivariate Additive Loss Reserving Method for Dependent Lines of Business

Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the prediction of adequate claims reserves for a portfolio consisting of several run-off subportfolios from dependent lines of business is of big importance for every non-life insurance company. In the present paper we consider the claims reserving problem in a multivaria...

Department of Actuarial Studies Research

The forecasting of general insurance liabilities using runoff triangle data is discussed and considered. Techniques are based on time series models and methods which facilitate the calculation of forecast distributions. Models are readily estimated and permit the consideration of correlation within and between triangles. These correlations are critical to proper reserving. Models are assessed u...