Published April 18, 2024 | Version v1
Preprint Open

Una aplicación a los seguros de No Vida de algunos métodos de reservas técnicas en condiciones de incertidumbre

  • 1. Universidad de la República
  • 2. Univerisdad de la República, Uruguay
  • 3. Universidad de la República, Uruguay

Description

The Solvency margin in an insurance company is of the utmost importance, for which
when analyzing it, both assets and liabilities should be studied. Great part of a company’s
obligations is to make estimates of reserves (provisions) claim techniques linked to the
non-life branch, playing a fundamental role on the company’s balance sheet. The main
objective of this work is to present different ways to estimate Incurred But Unreported
Claims Reserves (IBNR). The IBNR is treated in two possible ways, firstly, it contains the
Pure IBNR, which represents the amount to be paid for those claims that have occurred
but have not yet been been reported to the insurer, and in second place appears IBNER is
the amount of the claims that although they have already been reported to the insurer and
have been registered by this, its amount may vary over time as a result of its development
over time and even your final payment. One of the methods used to calculate the two types
of reserves mentioned, is the ChainLadder method or also known as the triangle method.
The method starts from the historical information available regarding the payments made
by claims and this data is presented in the form of triangles, which is called Paid Claims
Triangles. In the exercise presented, it is incorporated into the calculation reserve for
future claims probability distributions using to estimation and prediction errors using the
Bootstrap method.

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Additional details

Dates

Created
2022-10

Software

Repository URL
https://gitlab.com/meda3/introduccion-a-diferentes-metodos-para-el-calculo-de-reservas
Programming language
R
Development Status
Active

References

  • Gesmann, M.and Murphy, D. and Zhang, Y. and Carrato, A and Wuthrich, M. and Concina, F. anda Dal Moro, E., ChainLadder: Statistical Methods and Models for Claims Reserving in General Insurance, 2012.
  • Mack, T, Distribution-free calculation of the standard error of chain ladder reserve estimates. Astin Bulletin. Vol. 23. No 2. pp.213:225, 1993.
  • England, PD. and Verrall, RJ., Stochastic Claims Reserving in General Insurance (with discussion), 2002.
  • Verrall, R. and England, P., Stochastic Claims Reserving in General Insurance. Bri- tish Actuarial Journal, 8(3), 443-518, 2002.
  • R Core Team, R: A Language and Environment for Statistical Computing, R Foun- dation for Statistical Computing, Vienna, Austria, 2021. [Online]. Available: https: //www.R-project.org/
  • Reinsurance Association of America , Historical Loss Development Study, 1991.
  • Gesmann, M.and Murphy, D. and Zhang, Y. and Carrato, A and Wuthrich, M. and Concina, F. anda Dal Moro, E., ChainLadder: Statistical Methods and Models for Claims Reserving in General Insurance,R package version 0.2.15, https://CRAN. R-project.org/package=ChainLadder,2022
  • Mack, T, The standard error of chain ladder reserve estimates: Recursive calculation and inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. pp.361:366, 1999.
  • Murphy and Daniel M., Tunbiased Loss Development Factors. Proceedings of the Casualty Actuarial Society Casualty Actuarial Society - Arlington, Virginia, 1994.
  • Barnett and Zehnwirth, The need for diagnostic assessment of bootstrap predictive models, Insureware technical report, 2007.