Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

1.1. Macro and Micro Methods. For more than a century, actuaries have been using run-off triangles to project future payments, in nonlife insurance. In the 30’s, [1] formalized this technique that originated the popular chain ladder estimate. In the 90’s, [2] proved that the chain ladder estimate can be motivated by a simple stochastic model, and later on [3] provided a comprehensive overview o...

Comparing Micro- and Macro-Level Loss Reserving Models

Accurate loss reserves are essential for insurers to maintain adequate capital and to efficiently price their insurance products. Loss reserving for Property & Casualty insurance is usually based on macro-level models with aggregate data in a run-off triangle. The macro-level models may generate material errors in the reserve estimates when assumptions underlying the estimates evolve over time ...

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...

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...