Abstract
Actuaries have always had the impression that the chain-ladder reserving method applied to real data has some kind of “upward” bias. This bias will be explained by the newly reported claims (true IBNR) and taken into account with an additive part in the age-to-age development. The multiplicative part in the development is understood to be restricted to the changes in the already reported claims (IBNER, “incurred but not enough reserved”). Based on regression theory the reserve as well as error formulae are generalized from the purely multiplicative chain-ladder model to our considerably more stable “affine” models.
Volume
10
Issue
1
Page
121-144
Year
2016
Keywords
Claims reserving, chain-ladder method, IBNR and IBNER, linear regression, standard error, weighted least squares estimators, chain-ladder bias
Categories
Actuarial Applications and Methodologies
Reserving
Claims Handling
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Publications
Variance
