Higher moments of the claims development result in general insurance

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<title>Higher moments of the claims development result in general insurance</title>
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<namePart>Salzman, Robert</namePart>
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<abstract displayLabel="Summary">The claims development result (CDR) is one of the major risk drivers in the profit and loss statement of a general insurance company. Therefore, the CDR has become a central object of interest under new solvency regulation. In current practice, simple methods based on the first two moments of the CDR are implemented to find a proxy for the distribution of the CDR. Such approximations based on the first two moments are rather rough and may fail to appropriately describe the shape of the distribution of the CDR. In this paper we provide an analysis of higher moments of the CDR. Within a Bayes chain ladder framework we consider two different models for which it is possible to derive analytical solutions for the higher moments of the CDR. Based on higher moments we can e.g. calculate the skewness and the excess kurtosis of the distribution of the CDR and obtain refined approximations. Moreover, a case study investigates and answers questions raised in IASB [9].
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<note type="statement of responsibility">Robert Salzman, Mario V. Wüthrich, Michael Merz</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586294">
<topic>Mercado de seguros</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591953">
<topic>Métodos actuariales</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090041776">
<topic>Análisis actuarial</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080554286">
<topic>Estimación</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>07/05/2012 Volumen 42 Número 1  - mayo 2012 , p. 355-384</text>
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