Double Chain Ladder
Martinez-Miranda, M. D., Nielsen, J. P. & Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76. doi: 10.2143/AST.42.1.216071
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.
| Publication Type: | Article |
|---|---|
| Additional Information: | Copyright Cambridge Journals 2012. |
| Publisher Keywords: | Bootstrapping, Chain Ladder, Claims Reserves, Reserve Risk |
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Actuarial Science & Insurance |
| Related URLs: | |
| SWORD Depositor: |
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