A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS

Ulrich Riegel

ASTIN Bulletin, 2014, vol. 44, issue 1, 127-172

Abstract: We introduce a stochastic model for the development of attritional and large claims in long-tail lines of business and present a corresponding “chain ladder-like” IBNR method which allows the use of claims payment data for attritional and claims incurred data for large losses. We derive formulas for the mean squared error of prediction and apply the method to a German motor third party liability portfolio.

Date: 2014
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