Comparison of claim reserves methods using insurance portfolio generators

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of claim reserves methods using insurance portfolio generators

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Comparison of claim reserves methods using insurance portfolio generators

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2024

Kód důvěrnosti údajů

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

Název periodika

Statistika: Statistics and Economy Journal

ISSN

0322-788X

e-ISSN

1804-8765

Svazek periodika

104

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

16

Strana od-do

424-439

Kód UT WoS článku

001408796900004

EID výsledku v databázi Scopus

2-s2.0-85214006708