Parameter Estimation for Bomhuet ter /Ferguson
نویسنده
چکیده
The Bomhuetter/Fergnason loss reserving method consists of selecting a development pattern and, for each accident year, an initial ultimate loss ratio. From these, the reserve estimate is derived. In this paper, the usual way to obtain the development pattern from the cl~in ladder link ratios is criticized because it assumes a multiplicat~ve connection between past and future loss amounts whereas the Bornhuetter/Ferg, ason method establishes an additive connection (i.e. an independence). Therefore, an alternative approach to derive and select a deveh)pment pattern is proposed. Furthermore, the raw data usually contain some implicit information about the underwriting cycle. This paper shows how this information can be extracted from the data and used in the selection of the initial ulurnate loss ratios. Altogether the proposed approach is believed to align with the concepts of Bornhuetter and Ferguson better than the conventional approach does. The result is a standalone reserving method which does not rely upon the use of chain ladder elements.
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