Accounting Year Effects Modelling in the Stochastic Chain Ladder Reserving Method
نویسنده
چکیده
In almost all stochastic claims reserving models one assumes that accident years are independent. In practice this assumption is violated most of the time. Typical examples are claims inflation and accounting year effects which influence all accident years simultaneously. We study a Bayesian chain ladder model that allows for accounting (calendar) year effects modelling. A case study on a general liability dataset shows that such accounting year effects contribute substantially to the prediction uncertainty and therefore need a careful treatment within a risk management and solvency framework.
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