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An Individual Claims Reserving Model

Published online by Cambridge University Press:  17 April 2015

Christian Roholte Larsen  and
Larsen & Partners Limited
Christian Roholte Larsen*
Affiliation:
Larsen & Partners Limited, 30 Manor Road, Salisbury, Wilts SP1 1JS, UK, Email: clarsen@fastmail.fm
Larsen & Partners Limited
Affiliation:
Larsen & Partners Limited, 30 Manor Road, Salisbury, Wilts SP1 1JS, UK, Email: clarsen@fastmail.fm
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Abstract

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Traditional Chain Ladder models are based on a few cells in an upper triangle and often give inaccurate projections of the reserve. Traditional stochastic models are based on the same few summaries and in addition are based on the often unrealistic assumption of independence between the aggregate incremental values. In this paper a set of stochastic models with weaker assumptions based on the individual claims development are described. These models can include information about settlement and can handle seasonal effects, changes in mix of business and claim types as well as changes in mix of claim size. It is demonstrated how the distribution of the process can be specified and especially how the distribution of the reserve can be determined. The method is illustrated with an example.

Keywords

Stochastic Claims ReservingChain LadderMarked Poisson Process (MPP)DecompositionMarkov ChainLogistic RegressionGeneralised Linear Models (GLMs)Generalised Pareto Distribution (GPD)Business Mix, Bootstrap
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 1 , May 2007 , pp. 113 - 132
Copyright
Copyright © ASTIN Bulletin 2007

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