Forecasting in an extended chain-ladder-type model

Di Kuang (), Bent Nielsen and Jens Perch Nielsen ()
Additional contact information
Di Kuang: Aon, 8 Devonshire Square, London EC2M 4PL, U.K.
Jens Perch Nielsen: Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, U.K.

No 2010-W05, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Reserving in general insurance is often done using chain-ladder-type methods. We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle. It is shown that methods for forecasting non-stationary time series are helpful. We illustrate the method using data published in Barnett and Zehnwirth (2000). These data illustrate features we also found in data from the general insurer RSA during the recent credit crunch.

Keywords: Calendar effect; canonical parameter; extended chain-ladder; identification problem; forecasting. (search for similar items in EconPapers)
Pages: 19 pages
Date: 2010-06-24
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mic
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.nuffield.ox.ac.uk/economics/papers/2010/w5/Forecast24jun10.pdf (application/pdf)

Related works:
Journal Article: Forecasting in an Extended Chain‐Ladder‐Type Model (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1005

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