City Research Online

Double Chain Ladder

Martinez-Miranda, M. D., Nielsen, J. P. and Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76.

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:
Date available in CRO: 23 Jul 2014 17:16
Date of first online publication: May 2012
URI: https://openaccess.city.ac.uk/id/eprint/3805
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