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Combining chain-ladder claims reserving with fuzzy numbers

MAP20140014378
Heberle, Jochen
Combining chain-ladder claims reserving with fuzzy numbers / Jochen Heberle, Anne Thomas
Sumario: In this paper we extend the classical chain-ladder claims reserving method using fuzzy methods. Therefore, we derive new estimators for the claims development factors as well as new predictors for the ultimate claims. The advantage in using fuzzy numbers lies in the fact that the model uncertainty is directly included in and can be controlled by the new fuzzy claims development factors. We also provide an estimator for the uncertainty of the ultimate claims for single accident years and for aggregated accident years
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/03/2014 Volumen 55 Número 1 - marzo 2014
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