CALENDAR YEAR EFFECTS, CLAIMS INFLATION AND THE CHAIN-LADDER TECHNIQUE

被引:8
|
作者
Brydon, D.
Verrall, R. J.
机构
关键词
Chain-Ladder Technique; Claims Reserving; Solvency;
D O I
10.1017/S1748499500000749
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper examines the chain-ladder technique using the recently developed theory for age-period- cohort models. The theory was set out by Kuang et al. (2008a), and we believe that it has some significant implications for claims reserving and the chain-ladder technique. This paper applies the age-period-cohort model using the over-dispersed Poisson framework, and examines a number of experiments in order to understand better how the chain-ladder technique deals with calendar year effects. The conclusions from these investigations are that the basic chain-ladder technique may have some fundamental difficulties in many circumstances. We would therefore recommend that it should be used with caution, and that the data are examined in detail before any projections are made. This has particular importance in the context of solvency calculations since the chain-ladder technique can impose some specific patterns into the projections.
引用
收藏
页码:287 / 301
页数:15
相关论文
共 50 条
  • [21] Estimation error and bootstrapping in the chain-ladder model of Mack
    Alois Gisler
    European Actuarial Journal, 2021, 11 : 269 - 283
  • [22] A robust random coefficient regression representation of the chain-ladder method
    Badounas, Ioannis
    Bozikas, Apostolos
    Pitselis, Georgios
    ANNALS OF ACTUARIAL SCIENCE, 2022, 16 (01) : 151 - 182
  • [23] The estimation error in the chain-ladder reserving method: A Bayesian approach
    Gisler, Alois
    ASTIN BULLETIN, 2006, 36 (02): : 554 - 565
  • [24] Parameter reduction in log-normal chain-ladder models
    Verrall R.J.
    Wüthrich M.V.
    European Actuarial Journal, 2015, 5 (2) : 355 - 380
  • [25] Calculating Insurance Claim Reserves with an Intuitionistic Fuzzy Chain-Ladder Method
    Andres-Sanchez, Jorge De
    MATHEMATICS, 2024, 12 (06)
  • [26] Identification of the age-period-cohort model and the extended chain-ladder model
    Kuang, D.
    Nielsen, B.
    Nielsen, J. P.
    BIOMETRIKA, 2008, 95 (04) : 979 - 986
  • [27] Forecasting with the age-period-cohort model and the extended chain-ladder model
    Kuang, D.
    Nielsen, B.
    Nielsen, J. P.
    BIOMETRIKA, 2008, 95 (04) : 987 - 991
  • [28] Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack
    Siegenthaler, Filippo
    ANNALS OF ACTUARIAL SCIENCE, 2023, 17 (01) : 118 - 144
  • [29] Uncertainty of the claims development result in the chain ladder method
    Wuethrich, Mario V.
    Merz, Michael
    Lysenko, Natalia
    SCANDINAVIAN ACTUARIAL JOURNAL, 2009, (01) : 63 - 84
  • [30] CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM
    Gigante, Patrizia
    Picech, Liviana
    Sigalotti, Luciano
    ASTIN BULLETIN, 2019, 49 (03): : 763 - 786