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COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING

Published online by Cambridge University Press:  18 December 2017

Gilles Dupin ,
Emmanuel Koenig ,
Pierre Le Moine ,
Alain Monfort  and
Eric Ratiarison
Gilles Dupin
Affiliation:
Groupe MONCEAU, Paris, E-Mail: gdupin@monceauassurances.com
Emmanuel Koenig
Affiliation:
Groupe MONCEAU, Paris, E-Mail: ekoenig@monceauassurances.com
Pierre Le Moine
Affiliation:
Groupe MONCEAU, Paris, E-Mail: plemoine@monceauassurances.com
Alain Monfort*
Affiliation:
CRESTParis
Eric Ratiarison
Affiliation:
Groupe MONCEAU, Paris, E-Mail: eratiarison@monceauassurances.com
*
E-Mail: monfort@ensae.fr
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Abstract

In this paper, we first propose a statistical model, called the Coherent Incurred Paid model, to predict future claims, using simultaneously the information contained in incurred and paid claims. This model does not assume log-normality of the levels (or normality of the growth rates) and is semi-parametric since it only specifies the first and the second moments; however, in order to evaluate the impact of the normality assumption, we also propose a benchmark Gaussian version of our model. Correlations between growth rates of incurred and paid claims are allowed and the tail development period is estimated. We also provide methods for computing the Claim Development Results and their Values at Risk in the semi-parametric framework. Moreover, we show how to take into account the updating of the estimation in the computation of the Claim Development Results. An application highlights the practical importance of relaxing the normality assumption and of updating the estimation of the parameters.

Keywords

Incurred and paid claimssimultaneous estimationcorrelationsemi-parametric approachtail developmentpredictionupdatingCDRVaR
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 48 , Issue 2 , May 2018 , pp. 749 - 777
Copyright
Copyright © Astin Bulletin 2017 

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