A Comparison of Stochastic Claims Reserving Methods

Stochastic Claims Reserving in General Insurance

This paper considers a wide range of stochastic reserving models for use in general insurance, beginning with stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are extended to consider parametric curves and smoothing models for the shape of the development run-off, which allow extrapolation for the estimation of tail factors. The Bornhuetter-Ferguson t...

A Simulation Procedure for Comparing Different Claims Reserving Methods

Recent Development in Claims Reserving

This contribution deals with recent development in the field of mathematical loss reserving via Chain Ladder that is regarded as the most popular method for setting technical reserves in non life insurance. It could be formulated deterministically or via a stochastic model. However there are some drawbacks of using this method automatically that will be discussed. Its generalisation Munich Chai...

Claims Reserving Using Tweedie’s Compound Poisson Model

We consider the problem of claims reserving and estimating run-off triangles. We generalize the gamma cell distributions model which leads to Tweedie’s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear models (see Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reaso...

Paid-Incurred Chain Claims Reserving Method

We present a novel stochastic model for claims reserving that allows to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig’s model [11] and Gogol’s model [8]) leading to a log-normal paid-incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predic...