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Double Chain Ladder

Published online by Cambridge University Press:  09 August 2013

María Dolores Martínez Miranda
Affiliation:
University of Granada, Spain, E-mail: [email protected]
Jens Perch Nielsen
Affiliation:
Cass Business School, City University London, U.K., E-mail: [email protected]
Richard Verrall
Affiliation:
Cass Business School, City University London, U.K., E-mail: [email protected]

Abstract

By adding the information of reported count data to a classical triangle of reserving data, we derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between development factors allows to involve and then estimate the reporting and payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR and RBNS claims, separately.

Type
Research Article
Copyright
Copyright © International Actuarial Association 2012

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