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Validating the double chain ladder stochastic claims reserving model

Nielsen, J. P., Agbeko, T., Miranda, M. D. M. and Verrall, R. J. (2014). Validating the double chain ladder stochastic claims reserving model. Variance: advancing the science of risk, 8(2), pp. 138-160.

Abstract

Double chain ladder, introduced by Martínez-Miranda et al. (2012), is a statistical model to predict outstanding claim reserve. Double chain ladder and Bornhuetter-Ferguson are extensions of the originally described double chain ladder model which gain more stability through including expert knowledge via an incurred claim amounts triangle. In this paper, we introduce a third method, the incurred double chain ladder, which replicates the popular results from the classical chain ladder on incurred data. We will compare and validate these three using two data sets from major property and casualty insurers.

Publication Type: Article
Publisher Keywords: Reserving; Double-Chain Ladder; Stochastic Claims; Data Sets.
Subjects: H Social Sciences > HA Statistics
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/6778
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