Stochastic loss reserving : a new perspective from a Dirichlet model

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Título: Stochastic loss reserving : a new perspective from a Dirichlet model / Karthik Sriram, Peng Shi

Notas: Sumario: Forecasting the outstanding claim liabilities to set adequate reserves is critical for a nonlife insurer's solvency. ChainLadder and BornhuetterFerguson are two prominent actuarial approaches used for this task. The selection between the two approaches is often ad hoc due to different underlying assumptions. We introduce a Dirichlet model that provides a common statistical framework for the two approaches, with some appealing properties. Depending on the type of information available, the model inference naturally leads to either ChainLadder or BornhuetterFerguson prediction. Using claims data on Worker's compensation insurance from several U.S. insurers, we discuss both frequentist and Bayesian inference.

Autores secundários: Shi, Peng

Outras classificações: 6

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