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Analysis of the IBNR reserve credibility predictors

Karina Ostoj
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Karina Ostoj: Deloitte, Dział Usług Aktuarialnych; Szkoła Główna Handlowa w Warszawie

Collegium of Economic Analysis Annals, 2018, issue 51, 187-206

Abstract: Chain ladder is one of the simplest and the most frequently used method for the estimation of the IBNR (Incurred but not Reported) reserve. Due to its popularity and wide recognition, it abided many modifications, including its generalization within the credibility theory presented in Gisler and Wütrich (2008). The idea relies on a distinction between so-called individual information and collective information relating to various parts of a single insurance portfolio, where the share of both sources of information constitutes a subject to estimation. The simulation analysis presented in this paper enabled the comparison of the prediction quality based on the classical chain ladder and of its Bayesian counterpart.

Keywords: Bayesian statistics; credibility theory; IBNR; simulation analysis; mean square error (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:sgh:annals:i:51:y:2018:p:187-206