IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v42y2012i01p59-76_00.html
   My bibliography  Save this article

Double Chain Ladder

Author

Listed:
  • Miranda, María Dolores Martínez
  • Nielsen, Jens Perch
  • Verrall, Richard

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.

Suggested Citation

  • Miranda, María Dolores Martínez & Nielsen, Jens Perch & Verrall, Richard, 2012. "Double Chain Ladder," ASTIN Bulletin, Cambridge University Press, vol. 42(1), pages 59-76, May.
  • Handle: RePEc:cup:astinb:v:42:y:2012:i:01:p:59-76_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100001008/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Huang, Jinlong & Wu, Xianyi & Zhou, Xian, 2016. "Asymptotic behaviors of stochastic reserving: Aggregate versus individual models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 657-666.
    2. Kevin Kuo, 2019. "DeepTriangle: A Deep Learning Approach to Loss Reserving," Risks, MDPI, vol. 7(3), pages 1-12, September.
    3. Margraf, Carolin & Elpidorou, Valandis & Verrall, Richard, 2018. "Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 54-65.
    4. Wahl, Felix & Lindholm, Mathias & Verrall, Richard, 2019. "The collective reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 34-50.
    5. Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel, 2014. "Individual loss reserving using paid–incurred data," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 121-131.
    6. Mammen, Enno & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2015. "In-sample forecasting applied to reserving and mesothelioma mortality," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 76-86.
    7. Michel Denuit & Yang Lu, 2021. "Wishart‐gamma random effects models with applications to nonlife insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 443-481, June.
    8. Lindholm, Mathias & Verrall, Richard, 2020. "Regression based reserving models and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 109-124.
    9. Wahl, Felix, 2019. "Explicit moments for a class of micro-models in non-life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 140-156.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:42:y:2012:i:01:p:59-76_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.