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Double Chain Ladder

Published online by Cambridge University Press:  09 August 2013

María Dolores Martínez Miranda ,
Jens Perch Nielsen  and
Richard Verrall
María Dolores Martínez Miranda
Affiliation:
University of Granada, Spain, E-mail: mmiranda@ugr.es
Jens Perch Nielsen
Affiliation:
Cass Business School, City University London, U.K., E-mail: Jens.Nielsen.1@city.ac.uk
Richard Verrall
Affiliation:
Cass Business School, City University London, U.K., E-mail: R.J.Verrall@city.ac.uk
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Abstract

By adding the information of reported count data to a classical triangle of reserving data, we derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between development factors allows to involve and then estimate the reporting and payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR and RBNS claims, separately.

Keywords

BootstrappingChain LadderClaims ReservesReserve Risk
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 42 , Issue 1 , May 2012 , pp. 59 - 76
Copyright
Copyright © International Actuarial Association 2012

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