Application of classical and robust chain-ladder methods: results for the Belgian non-life business

Martine van Wouwe (), Tim Verdonck and Kristel Van Rompay

Global Business and Economics Review, 2009, vol. 11, issue 2, 99-115

Abstract: The solvency II regulation for the non-life insurance business focuses on the application of the chain-ladder method in the EU. A recent memorandum of the EU also expresses its concern about the treatment of outlying data. Not only the appearance but certainly the consequences for the solvency risk capital are brought up. We will discuss the results of applying classical and robust chain-ladder methods to real data from several lines of business in the non-life insurance branch in Belgium.

Keywords: claims reserve; chain-ladder methods; outliers; Belgium; non-life insurance business; solvency risk capital. (search for similar items in EconPapers)
Date: 2009
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