Double chain ladder and bornhuetter-ferguson

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<title>Double chain ladder and bornhuetter-ferguson</title>
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<namePart>Martínez-Miranda, Maria Dolores</namePart>
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<dateIssued encoding="marc">2013</dateIssued>
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<abstract displayLabel="Summary">In 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</abstract>
<note type="statement of responsibility">Maria Dolores Martínez-Miranda, Jens Perch Nielsen, Richard Verrall</note>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
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<text>03/06/2013 Tomo 17 Número 2 - 2013 </text>
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