Comparison of claim reserves methods using insurance portfolio generators

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F24%3A10488842" target="_blank" >RIV/00216208:11320/24:10488842 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=GvEG6MgBWu" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=GvEG6MgBWu</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.54694/stat.2024.22" target="_blank" >10.54694/stat.2024.22</a>

Result language

angličtina

Original language name

Comparison of claim reserves methods using insurance portfolio generators

Original language description

Different reserving methods can be used to predict claim values in non-life insurance. This article compares two different methodological approaches to reserving methods, namely, Chain-ladder (the traditional approach to reserving in non-life insurance) and state-space modeling (the modern approach based on recursive Kalman filtering). Moreover, the paper compares both methods with the involvement of clustering which divides claims into several groups according to their similarity and ensures greater homogeneity of data. To be able to compare the accuracy of reserve predictions numerically one suggests three types of generators of large insurance portfolios that represent well the behavior of the given methods in practice (one of them is derived directly from a real Czech non-life insurance claims portfolio). The obtained results may serve as a hint to improve the state-space methodology in order to give comparable results with classical approaches to reserving since in future the state-space modeling will be important for micro reserving where the &quot;clustering&quot; gains nearly a form of individual policy contracts.

Czech name

—

Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Statistika: Statistics and Economy Journal

ISSN

0322-788X

e-ISSN

1804-8765

Volume of the periodical

104

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

16

Pages from-to

424-439

UT code for WoS article

001408796900004

EID of the result in the Scopus database

2-s2.0-85214006708