FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10451285" target="_blank" >RIV/00216208:11320/22:10451285 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=vjAzVc3ANK" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=vjAzVc3ANK</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1017/asb.2022.4" target="_blank" >10.1017/asb.2022.4</a>

Jazyk výsledku

angličtina

Název v původním jazyce

FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING

Popis výsledku v původním jazyce

One of the most fundamental tasks in non-life insurance, done on regular basis, is risk reserving assessment analysis, which amounts to predict stochastically the overall loss reserves to cover possible claims. The most common reserving methods are based on different parametric approaches using aggregated data structured in the run-off triangles. In this paper, we propose a rather non-parametric approach, which handles the underlying loss development triangles as functional profiles and predicts the claim reserve distribution through permutation bootstrap. Three competitive functional-based reserving techniques, each with slightly different scope, are presented; their theoretical and practical advantages - in particular, effortless implementation, robustness against outliers, and wide-range applicability - are discussed. Theoretical justifications of the methods are derived as well. An evaluation of the empirical performance of the designed methods and a full-scale comparison with standard (parametric) reserving techniques are carried on several hundreds of real run-off triangles against the known real loss outcomes. An important objective of the paper is also to promote the idea of natural usefulness of the functional reserving methods among the reserving practitioners.

Název v anglickém jazyce

FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING

Popis výsledku anglicky

One of the most fundamental tasks in non-life insurance, done on regular basis, is risk reserving assessment analysis, which amounts to predict stochastically the overall loss reserves to cover possible claims. The most common reserving methods are based on different parametric approaches using aggregated data structured in the run-off triangles. In this paper, we propose a rather non-parametric approach, which handles the underlying loss development triangles as functional profiles and predicts the claim reserve distribution through permutation bootstrap. Three competitive functional-based reserving techniques, each with slightly different scope, are presented; their theoretical and practical advantages - in particular, effortless implementation, robustness against outliers, and wide-range applicability - are discussed. Theoretical justifications of the methods are derived as well. An evaluation of the empirical performance of the designed methods and a full-scale comparison with standard (parametric) reserving techniques are carried on several hundreds of real run-off triangles against the known real loss outcomes. An important objective of the paper is also to promote the idea of natural usefulness of the functional reserving methods among the reserving practitioners.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamické a granulární rezervování škod s využitím kopulí - DaGLoRCo</a><br>

Návaznosti

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

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

Astin Bulletin

ISSN

0515-0361

e-ISSN

1783-1350

Svazek periodika

52

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

34

Strana od-do

449-482

Kód UT WoS článku

000767111000001

EID výsledku v databázi Scopus

2-s2.0-85126480478