Keywords and Phrases
Bootstrap Application; Double Chain Ladder; Reserve Estimation
"To avoid insolvency, insurance companies must have enough reserves to fulfill their present and future commitment-refer to in this thesis as outstanding claims towards policyholders. This entails having an accurate and reliable estimate of funds necessary to cover those claims as they are presented. One of the major techniques used by practitioners and researchers is the single chain ladder method. However, though most popular and widely used, the method does not offer a good understanding of the distributional properties of the way claims evolve. In a series of recent papers, researchers have focused on two potential components of outstanding claims, namely: those that have incurred but not reported (IBNR), and those that are reported but not settled (RBNS). The deep analysis of those has led to improvements in the chain ladder technique leading to the so-called double chain ladder method in a reference to the two steps application of the single chain ladder. First to RBNS, and then to IBNR. Although this new technique of estimating outstanding claims is a signifcant improvement over the single chain ladder, there are still room for better. This thesis is based on the most up to date work in the area that is presented in a paper by Miranda, Nielsen, Verrall, and Wüthrich . Using the machinery of stochastic processes, the authors outline how a possible inflation of the loss distribution over the years and distributional properties of future claims can be incorporated into the analysis leading to a better estimate of the reserves. We discuss in details those new breakthroughs, and, apply them to bootstrapped run-off triangle data. We assess the new methods with respect to the existing ones and provide a discussion and recommendation to practitioners"--Abstract, page iii.
Gelles, Gregory M.
Samaranayake, V. A.
Mathematics and Statistics
M.S. in Applied Mathematics
Missouri University of Science and Technology
viii, 74 pages
© 2016 Larissa Schoepf, All rights reserved.
Thesis - Open Access
Library of Congress Subject Headings
-- Insurance -- Reserves -- Management
Insurance claims -- Mathematical models
Electronic OCLC #
Schoepf, Larissa, "On the double chain ladder for reserve estimation with bootstrap applications" (2016). Masters Theses. 7523.