Risk aggregation and stochastic claims reserving in disability insurance

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...

HEALTH INSURANCE CLAIMS AND RISK EQUALISATION IN AUSTRALIA Health Insurance Claims and Risk Equalisation in Australia

Model risk in claims reserving within Tweedie’s compound Poisson models

In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare estimated models under different scenarios. The key point we demonstrate relates to comparison of reserving quantities with and without model uncertainty incorporated into the pre...

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...

Operational Risk and Insurance: A Ruin-probabilistic Reserving Approach

A new methodology for financial and insurance operational risk capital estimation is proposed. It is based on using the finite time probability of (non)ruin as an operational risk measure, under a general ruin probability model, according to which operational losses may have any joint (dependent) discrete or continuous distribution, and the function, describing the accumulation of risk capital ...