Multi-Year Non-Life Insurance Risk for Correlated Loss Portfolios Under Chain Ladder Model Assumptions

2016 ◽  
Author(s):  
Marc Linde
Keyword(s):  
Life Insurance ◽  
Insurance Risk ◽  
Ladder Model ◽  
Chain Ladder

scholarly journals The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1350
Author(s):  
Galina Horáková ◽  
František Slaninka ◽  
Zsolt Simonka
Keyword(s):  
Life Insurance ◽  
Continuous Time ◽  
Ruin Probability ◽  
Proportional Reinsurance ◽  
Insurance Risk ◽  
Optimal Reinsurance ◽  
Insurance Contracts ◽  
Time Period ◽  
Different Types ◽  
Capital Injections

The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains. In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.

scholarly journals Identification of the age-period-cohort model and the extended chain-ladder model

Biometrika ◽  
2008 ◽  
Vol 95 (4) ◽  
pp. 979-986 ◽  
Author(s):  
D. Kuang ◽  
B. Nielsen ◽  
J. P. Nielsen
Keyword(s):  
Cohort Model ◽  
Ladder Model ◽  
Extended Chain ◽  
Chain Ladder

scholarly journals Forecasting with the age-period-cohort model and the extended chain-ladder model

Biometrika ◽  
2008 ◽  
Vol 95 (4) ◽  
pp. 987-991 ◽  
Author(s):  
D. Kuang ◽  
B. Nielsen ◽  
J. P. Nielsen
Keyword(s):  
Cohort Model ◽  
Ladder Model ◽  
Extended Chain ◽  
Chain Ladder

Chain ladder and maximum likelihood

1991 ◽  
Vol 118 (3) ◽  
pp. 489-499 ◽  
Author(s):  
R. J. Verrall
Keyword(s):  
Maximum Likelihood ◽  
Real Data ◽  
Ladder Model ◽  
Second Moments ◽  
Chain Ladder

ABSTRACTThis paper derives second moments of estimates of the parameters in the chain ladder model. Thus, the so-called link ratios, and proportions of ultimate claims for each development year are considered. This enables confidence statements about the chain ladder parameters to be made with statistical rigour. The methods are illustrated using 6 sets of real data taken from the DTI returns.

Chain ladder and interactive modelling. (Claims reserving and GLIM)

1989 ◽  
Vol 116 (3) ◽  
pp. 559-587 ◽  
Author(s):  
A. E. Renshaw
Keyword(s):  
Prediction Model ◽  
Life Insurance ◽  
The Past ◽  
Detailed Survey ◽  
Chain Ladder ◽  
Interactive Modelling

The prediction of outstanding claims amounts in non-life insurance is, by its very nature, highly speculative. Partially because of this and partially because of the variety of features suggested by various researchers for possible inclusion in the structure of the underlying prediction model, the past two decades have seen a proliferation of methodologies for making such predictions. Specific details of these developments are contained in a comprehensive and highly detailed survey conducted by Taylor (1986) in which a taxonomy of methods is established. One feature common to all of these methods is the utilization of current and past records of claims amounts—invariably in the form of the familiar so-called runoff triangle or a variant thereof—to calibrate the proposed prediction model before use. Prudence dictates that diagnostic checks should then be made to establish whether or not the data are supportive of the structure imparted to the prediction model before use, a feature which apart from some notable exceptions including Zehnwirth (1985) and Taylor (1983), is not always emphasized in the literature.

Sign in / Sign up

Export Citation Format

Share Document