Combining chain-ladder claims reserving with fuzzy numbers

Jochen Heberle and Anne Thomas

Insurance: Mathematics and Economics, 2014, vol. 55, issue C, 96-104

Abstract: In this paper we extend the classical chain-ladder claims reserving method using fuzzy methods. Therefore, we derive new estimators for the claims development factors as well as new predictors for the ultimate claims. The advantage in using fuzzy numbers lies in the fact that the model uncertainty is directly included in and can be controlled by the “new” fuzzy claims development factors. We also provide an estimator for the uncertainty of the ultimate claims for single accident years and for aggregated accident years.

Keywords: Claims reserving; Chain-ladder model; Fuzzy numbers; Ultimate claims predictor; Fuzzy uncertainty (search for similar items in EconPapers)
JEL-codes: C10 G22 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:55:y:2014:i:c:p:96-104

DOI: 10.1016/j.insmatheco.2014.01.002

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