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2015
2014
Actuaries are a key part of the ratemaking process, and generally are responsible for determining the estimated costs of risk transfer. As risk transfer costs change over time, actuaries develop rate indications and determine how to update the rates and factors used to price risk transfer. A rate indication represents a point estimate of expected future costs.
2014
Double chain ladder, introduced by Martínez-Miranda et al. (2012), is a statistical model to predict outstanding claim reserve. Double chain ladder and Bornhuetter-Ferguson are extensions of the originally described double chain ladder model which gain more stability through including expert knowledge via an incurred claim amounts triangle.
2014
Quantile testing is a key technique for fitting parameters and testing performance in workers compensation experience rating and the number of quantile intervals must be specified for such a test. A model is developed to compare the error in the quantile test empirical estimates of relative pure loss ratios to the interquantile differences between expected pure loss ratios.
2014
We introduce the hybrid chain ladder (HCL) method, a distribution-free stochastic loss reserving method that allows for a weighted combination of two approaches. The first approach is data driven resembling the Chain-Ladder (CL) method. The second approach uses expert estimates of ultimate losses in a similar way as the Bornhuetter-Ferguson (BF) method.
