Non-Life Insurance: Reserving

Massimiliano Maggioni and Giuseppe Turchetti
Additional contact information
Massimiliano Maggioni: University of Milano
Giuseppe Turchetti: Sant’Anna School of Advanced Studies

Chapter 12 in Fundamentals of the Insurance Business, 2024, pp 261-296 from Springer

Abstract: Abstract In this chapter, the reader can learn the concept of an insurance claim. Starting from this notion the run-off triangle is explained, i.e. the scheme representing claims that underlies the estimation of reserve amounts. The following paragraphs present reserve valuation methodologies, distinguishing between deterministic and probabilistic or stochastic methods. Deterministic methods are based on forecasting the value of the claims reserve through a projection into the future of expected costs, and using assumptions inferred from time series. In the course of the discussion, among the most important ones are presented: grossing up, chain ladder method and Fisher Lange method. In addition, the main outlines of Taylor’s separation method and the method of Bornhuetter and Ferguson are described. The stochastic methods are based on a probabilistic distribution of results. These include the Mack method, GLM models and bootstrapping. In the end, the evaluation principles for premium technical reserve are explained.

Keywords: Loss reserve; Reserve for losses IBNR; Reserve for losses IBNER; The run-off triangle; Deterministic methods; Grossing up method; Chain ladder method; Fisher Lange method; Taylor’s separation method; Bornhuetter–Ferguson method; Stochastic methods; Mack model; Generalised linear models; Bootstrapping; Premium reserve (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sptchp:978-3-319-52851-9_12

Ordering information: This item can be ordered from
http://www.springer.com/9783319528519

DOI: 10.1007/978-3-319-52851-9_12

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().