A Row-Wise Stacking of the Runoff Triangle: State Space Alternatives for IBNR Reserve Prediction

Rodrigo Atherino, Adrian Pizzinga and Cristiano Fernandes

ASTIN Bulletin, 2010, vol. 40, issue 2, 917-946

Abstract: This work deals with prediction of IBNR reserve under a different data ordering of the non-cumulative runoff triangle. The rows of the triangle are stacked, resulting in a univariate time series with several missing values. Under this ordering, two approaches entirely based on state space models and the Kalman filter are developed, implemented with two real data sets, and compared with two well-established IBNR estimation methods — the chain ladder and an overdispersed Poisson regression model. The remarks from the empirical results are: (i) computational feasibility and efficiency; (ii) accuracy improvement for IBNR prediction; and (iii) flexibility regarding IBNR modeling possibilities.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

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:cup:astinb:v:40:y:2010:i:02:p:917-946_00

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().