Statistical methods of estimating loss reserves in general insurance
Statistical methods of estimating loss reserves in general insurance
Author(s): Ion PÂRȚACHI, Oleg Verejan, Marcel Bradu, Victoria VerejanSubject(s): Business Economy / Management, Policy, planning, forecast and speculation
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: loss reserves; stochastic models; deterministic models; incurred but not reported reserves(IBNR); the Chain-Ladder method; run-off triangle; predicting future payments; the total estimated loss reserv
Summary/Abstract: Relevant estimation of loss reserves related to general insurance activity was and is one of the most important issues for insurance companies. Maintenance of loss reserves at the right level represents the key condition of insurance monitoring authorities as the result of performance indicators of their activity depends on the value of these reserves. The forecasted value of future loss referred to prior events represents the loss reserve. In this paper, we present stochastic methods (Christofides method) of estimating the loss reserves, especially those of incurred but not reported reserves. The stochastic methods presented in the paper, in contrast to the determinist ones, adjust the result better and offer more information referring to the quality of data and exactness level of damage reserve forecast.
Journal: Analele Ştiinţifice ale Universităţii »Alexandru Ioan Cuza« din Iaşi. Ştiinţe economice
- Issue Year: 57/2010
- Issue No: Spec
- Page Range: 357-370
- Page Count: 14
- Language: English
