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Double chain ladder and bornhuetter-ferguson

Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20130027487
003  MAP
005  20130906144626.0
008  130906e20130603esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130011721‎$a‎Martínez-Miranda, Maria Dolores
24510‎$a‎Double chain ladder and bornhuetter-ferguson‎$c‎Maria Dolores Martínez-Miranda, Jens Perch Nielsen, Richard Verrall
520  ‎$a‎In this article we propose a method close to Double Chain Ladder (DCL) introduced by Martínez-Miranda, Nielsen, and Verrall (2012a). The proposed method is motivated by the potential lack of stability of the DCL method (and of the classical Chain ladder method [CLM] itself). We consider the implicit estimation of the underwriting year inflation in the CLM method and the explicit estimation of it in DCL. This may represent a weak point for DCL and CLM because the underwriting year inflation might be estimated with significant uncertainty. A key feature of the new method is that the underwriting year inflation can be estimated from the less volatile incurred data and then transferred into the DCL model. We include an empirical illustration that illustrates the differences between the estimates of the IBNR and RBNS cash flows from DCL and the new method. We also apply bootstrap estimation to approximate the predictive distributions
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎03/06/2013 Tomo 17 Número 2 - 2013