Centro de Documentacion de Fundación MAPFRE - Chain-ladder method and midyear loss reserving

MAP20180005404

Chain-ladder method and midyear loss reserving / René Dahms

Sumario: 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 tomake it not too complicated,wewill focus on the Chain-Laddermethod 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 3-24

1. Modelos matemáticos . 2. Modelos estadísticos . 3. Modelo estocástico . 4. Matemática del seguro . I. Título.