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A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS

Published online by Cambridge University Press:  13 November 2013

Ulrich Riegel
Ulrich Riegel*
Affiliation:
Swiss Re Europe S.A., Niederlassung Deutschland, 85773 Unterföhring bei München, Germany E-mail: [email protected]
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Abstract

We introduce a stochastic model for the development of attritional and large claims in long-tail lines of business and present a corresponding “chain ladder-like” IBNR method which allows the use of claims payment data for attritional and claims incurred data for large losses. We derive formulas for the mean squared error of prediction and apply the method to a German motor third party liability portfolio.

Keywords

IBNR methodchain ladderlarge lossattritional lossmean squared error of predictionstandard error
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 44 , Issue 1 , January 2014 , pp. 127 - 172
Copyright
Copyright © ASTIN Bulletin 2013 

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References

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