Inflation in reserving triangles: Taylor and Verbeek techniques are equivalent to a Chain Ladder on a calendar triangle

Sébastien Farkas () and Amélie Roux ()
Additional contact information
Sébastien Farkas: Allianz, Addia
Amélie Roux: Allianz, ISUP - Institut de Statistique de Sorbonne Université - SU - Sorbonne Université, SU - Sorbonne Université

Working Papers from HAL

Abstract: In this paper, we study the estimation of past inflation based on reserving triangles of average claims costs. More precisely, we focus on methodologies introduced by H. G. Verbeek in 1972 and by G.C. Taylor in 1977 that allows to estimate such an historical inflation index based on average claims costs triangle. Those methods rely on recursive formula that challenges the understanding of underlying assumptions and that can complexify the interpretation of the results. We alternatively show the equivalence of those techniques with a Chain Ladder on a specificly rearranged triangle. We therefore highligths the spirit of that technics that firstly compute the ultimate average claims costs by calendar year and secondly deduce the inflation index based on calendar evolutions. Moreover, this allow to rationalize the underlying assumptions of Taylor and Verbeek methodology, using the mathematical conceptualization of Chain Ladder by Mack in 1993. We illustrate those findings on simulated data.

Keywords: Actuarial science; Inflation; Chain Ladder; Taylor; Verbeek (search for similar items in EconPapers)
Date: 2024-02-08
New Economics Papers: this item is included in nep-mac and nep-mon
Note: View the original document on HAL open archive server: https://hal.science/hal-04019831v2
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04019831v2/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-04019831

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().