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CHAIN-LADDER METHOD AND MIDYEAR LOSS RESERVING

Published online by Cambridge University Press:  28 March 2017

René Dahms
René Dahms*
Affiliation:
E-Mail: rene.dahms@math.ethz.ch
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Abstract

Although loss reserving has been deeply studied in the literature, there are still practical issues that have not been addressed a lot. One of them is the estimation of reserves during the year, which is necessary for forecasts or closings during the year. We will study the following question: What can be done for forecasts and closings during the year that goes along with the reserving at year end? In order to make it not too complicated, we will focus on the Chain-Ladder method introduced by Mack (1993). We will describe several methods that are used in practice. We will discuss advantages and disadvantages of these methods based on a simple deterministic example. Roughly spoken, we will see that you may shift development or accident periods, or may split development periods, but should not split accident periods.

Keywords

Stochastic reservingChain Laddermean squared error of predictionsolvency reserving riskclaims development resultmidyear reserving
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 48 , Issue 1 , January 2018 , pp. 3 - 24
Copyright
Copyright © Astin Bulletin 2017 

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References

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