Centro de Documentación de Fundación MAPFRE - A Generalized loss ratio method dealing with uncertain volume measures

Notes: Sumario: Unlike chain ladder, the loss ratio method requires volume measures. Typically, these volumes are assumed to be known. In practice, however, accurate volume measures are rarely available. We interpret the available volumes as estimators for the true volume measures and analyze the consequences for the loss ratio method. In particular, we calculate the mean squared error of prediction, including uncertainty of volume measures, and derive approximately optimal weights for the observed incremental loss ratios. We then introduce a generalization of the loss ratio method that is tailored to the situation of uncertain volume measures and calculate the prediction uncertainty of this generalized loss ratio methodRelated records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 699-747Materia / lugar / evento: Cálculo actuarial Matemática del seguro Indice de siniestralidad Modelo estocástico Other categories: 6

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