Czasopismo
2008
|
nr 1 (1201) Statystyka aktuarialna - teoria praktyka
|
145--161
Tytuł artykułu
Autorzy
Warianty tytułu
Loss Reserve Calculation with an Optimal Claims Data Usage
Języki publikacji
Abstrakty
Celem niniejszej pracy jest próba wypracowania modelu kalkulacji rezerwy, który pozwalałby nie tylko na dokonywanie optymalnego wyboru miedzy udziałem metod Chain Ladder (CL) i Bornheuttera-Fergusona (BF) w oszacowaniu tej rezerwy, ale również określałby wybór między opisanymi powyżej, dwoma możliwymi zakresami danych stanowiących podstawę do zastosowania tych metod. (fragment tekstu)
The most commonly used loss reserve calculation methods, the Chain Ladder (CL) and the Bornheutter-Ferguson method (BF), represent opposite approaches to the ultimate loss amount prediction problem. The first one is based only on the current year loss data while the other uses long term average loss ratio. The problem of simultaneous application of both methods was already- touched by many authors and some solutions are well known (see the Benktander method). In practice, both methods mentioned above may be applied to the paid losses or incurred losses triangles. It may happen thou, that the results obtained with these methods may differ significantly from each other, depending on the loss triangle we used. In this paper, we consider the application of both methods (CL and BF) simultaneously to the incurred and paid claims data. As a result, a unified approach is presented, which enables one to use both, paid losses and incurred losses at the same time. We concentrate on such usage of all available claims data, both paid ones and reported but not paid, that minimizes the mean square error of the reserve prediction. A computational example is also presented. (original abstract)
Rocznik
Strony
145--161
Opis fizyczny
Twórcy
autor
- Towarzystwo Ubezpieczeń na Życie Warszawa
Bibliografia
- Benktander G., An approach to credibility in calculating IBNR for casualty excess reinsurance, The Actuarial Review" 1976.
- Mack T., Credible claims reserves: The Benktander Method, ASTIN Bulletin" 2000, vol. 30, no. 2.
- Venter G., A three-way credibility approach to loss reserving, Insurance: Mathematics and Economics" 1989, no. 8.
- Casualty Actuarial Society, Foundations of Casualty Actuarial Society, 4th Edition, 2001.
- The Faculty and Institute of Actuaries, Claims Reserving Manual, 1989 (updated 1997).
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000168553989