State-space modeling of claims reserves in non-life insurance

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10468012" target="_blank" >RIV/00216208:11320/21:10468012 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

State-space modeling of claims reserves in non-life insurance

Popis výsledku v původním jazyce

One of the fundamental activities of insurance companies is the calculation of technical reserves. The available data are usually considered in the form of run-off triangles. Prediction of unknown values, which are the basis for the calculation of reserves, can be constructed not only using simple approaches such as chain-ladder, but also using advanced methods such as state-space modeling. This paper focuses on the construction of Kalman projections of the values in dependent run-off triangles, which can be considered in the form of a time series with missing observations. Since the quantiles, currently the preferred risk measure, or even the whole distribution of the reserves are highly important, their estimation using smoothed bootstrap is also the content of this work. The proposed methods are applied to real data consisting of two dependent run-off triangles in order to verify their applicability in practice. The obtained results are compared to the ones obtained by other procedures.

Název v anglickém jazyce

State-space modeling of claims reserves in non-life insurance

Popis výsledku anglicky

One of the fundamental activities of insurance companies is the calculation of technical reserves. The available data are usually considered in the form of run-off triangles. Prediction of unknown values, which are the basis for the calculation of reserves, can be constructed not only using simple approaches such as chain-ladder, but also using advanced methods such as state-space modeling. This paper focuses on the construction of Kalman projections of the values in dependent run-off triangles, which can be considered in the form of a time series with missing observations. Since the quantiles, currently the preferred risk measure, or even the whole distribution of the reserves are highly important, their estimation using smoothed bootstrap is also the content of this work. The proposed methods are applied to real data consisting of two dependent run-off triangles in order to verify their applicability in practice. The obtained results are compared to the ones obtained by other procedures.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název statě ve sborníku

39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021)

ISBN

978-80-213-3126-6

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

511-516

Název nakladatele

Czech Univ Life Sciences Prague

Místo vydání

Prague 6

Místo konání akce

Prague

Datum konání akce

8. 9. 2021

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000936369700085