Claims development result in the paid-incurred chain reserving method

Sebastian Happ, Michael Merz and Mario V. Wüthrich

Insurance: Mathematics and Economics, 2012, vol. 51, issue 1, 66-72

Abstract: We present the one-year claims development result (CDR) in the paid-incurred chain (PIC) reserving model. The PIC reserving model presented in Merz and Wüthrich (2010) is a Bayesian stochastic claims reserving model that considers simultaneously claims payments and incurred losses information and allows for deriving the full predictive distribution of the outstanding loss liabilities. In this model we study the conditional mean square error of prediction (MSEP) for the one-year CDR uncertainty, which is the crucial uncertainty view under Solvency II.

Keywords: Stochastic claims reserving; PIC method; Outstanding loss liabilities; Claims payments; Incurred losses; Prediction uncertainty; Conditional mean square error; Claims development result; Solvency (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:1:p:66-72

DOI: 10.1016/j.insmatheco.2012.03.002

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