AN INDUSTRY QUESTION: THE ULTIMATE AND ONE-YEAR RESERVING UNCERTAINTY FOR DIFFERENT NON-LIFE RESERVING METHODOLOGIES

Fuzzy claim reserving in non-life insurance

This paper develops several expressions to quantify claim provisions to account in financial statements of a non-life insurance company under the hypothesis of a fuzzy environment. Concretely, by applying the expected value of a fuzzy number and the more general concept of value of a fuzzy number to the ANOVA claim predicting model [2] we estimate claim reserves to account in insurer’s balance ...

The Philosophy of Reserving

This paper is about how liability provisions should be set when there is material uncertainty. Conventional accounting practice is deterministic. A stochastic approach is needed. Since a single figure is needed in general purpose financial statements, the provision should include the value of uncertainty. There is a conflict between the measurement of solvency and profitability. The best estima...

One-Year and Full Reserve Risk for the Bayesian Additive Loss Reserving Method

In this paper we consider the additive loss reserving (ALR) method in a Bayesian set up. The classical ALR method is a simple claims reserving method which combines prior information (e.g. premium, number of contracts, market statistics) and claims observations. The presented Bayesian set up allows in addition for combining the information from a single run-off portfolio (e.g. company specific ...

A Simulation Procedure for Comparing Different Claims Reserving Methods

A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving

Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of hierarchical Bayesian paid–incurred claims models, combining the claims reserving models of Hertig (1985) and Gogol (1993). In the process we extend the independent log-normal model of Me...