Combining Chain-Ladder and Additive Loss Reserving Method for Dependent Lines of Business
نویسندگان
چکیده
Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the estimation of adequate claims reserves for a portfolio consisting of several run-off subportfolios is relevant for every nonlife insurance company. In the present paper we provide a framework in which we unify the multivariate Chain-ladder (CL) model and the multivariate additive loss reserving (ALR) model to one model. This model allows for the simultaneous study of individual run-off subportfolios in which we use both the CL method and the additive loss reserving method for different subportfolios. Moreover, we derive an estimator for conditional mean square error of prediction (MSEP) for the predictor of the ultimate claims of the total portfolio.
منابع مشابه
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...
متن کاملOptimal and Additive Loss Reserving for Dependent Lines of Business
In the present paper we review and extend two stochastic models for loss resenting and study their impact on extensions of the additive method and of the chain-ladder method. The first of these models is a particular linear model while the second one is a sequential model which is composed of a finite number of conditional linear models. These models lead to multivariate extensions of the addit...
متن کاملMethods and Models of Loss Reserving Based on Run-Off Triangles: A Unifying Survey
The present paper provides a unif3"ing survey of some of the most important methods and models of loss reserving which are based on run-off triangles. The starting point is the thesis that the use of runoff triangles in loss reserving can be justified only under the assumption that the development of the losses of ever3, accident year follows a development pattern which is common to all acciden...
متن کاملDependent Loss Reserving Using Copulas
Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...
متن کاملParameter Estimation for Bomhuet ter /Ferguson
The Bomhuetter/Fergnason loss reserving method consists of selecting a development pattern and, for each accident year, an initial ultimate loss ratio. From these, the reserve estimate is derived. In this paper, the usual way to obtain the development pattern from the cl~in ladder link ratios is criticized because it assumes a multiplicat~ve connection between past and future loss amounts where...
متن کامل