Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-23T01:51:19.823Z Has data issue: false hasContentIssue false
  • English
  • Français

Back-testing the chain-ladder method

Published online by Cambridge University Press:  13 November 2018

Andrea Gabrielli  and
Mario V. Wüthrich
Andrea Gabrielli*
Affiliation:
ETH Zurich, RiskLab, Department of Mathematics, 8092Zurich, Switzerland
Mario V. Wüthrich
Affiliation:
ETH Zurich, RiskLab, Department of Mathematics, 8092Zurich, Switzerland
*
*Correspondence to: Andrea Gabrielli, ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland. E-mail: [email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

The chain-ladder method is one of the most popular claims reserving techniques. The aim of this study is to back-test the chain-ladder method. For this purpose, we use a stochastic scenario generator that allows us to simulate arbitrarily many upper claims reserving triangles of similar characteristics for which we also know the corresponding lower triangles. Based on these simulated triangles, we analyse the performance of the chain-ladder claims reserving method.

Keywords

Chain-ladderIndividual claims history simulation machineClaims reservingBack-testingReserve uncertainty
Type
Paper
Information
Annals of Actuarial Science , Volume 13 , Issue 2 , September 2019 , pp. 334 - 359
Copyright
© Institute and Faculty of Actuaries 2018 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Ajne, B. (1994). Additivity of chain-ladder projections. ASTIN Bulletin, 24/2, 311–318.Google Scholar
Bühlmann, H., De Felice, M., Gisler, A., Moriconi, F. & Wüthrich, M.V. (2009). Recursive credibility formula for chain ladder factors and the claims development result. ASTIN Bulletin, 39/1, 275–306.Google Scholar
England, P.D. & Verrall, R.J. (2006). Predictive distributions of outstanding liabilities in general insurance. Annals of Actuarial Science, 1/2, 221–270.Google Scholar
Gabrielli, A. & Wüthrich, M.V. (2018). An individual claims history simulation machine. Risks, 6/2, 29.Google Scholar
Mack, T. (1993). Distribution-free calculation of the standard error of chain ladder reserve estimates. ASTIN Bulletin, 23/2, 213–225.Google Scholar
Williams, D. (1991). Probability with Martingales. Cambridge University Press, Cambridge.Google Scholar
Wüthrich, M.V. & Merz, M. (2015). Stochastic Claims Reserving Manual: Advances in Dynamic Modeling. SSRN Manuscript, ID 2649057.Google Scholar