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A Bifurcation Approach For Attritional And Large Losses In Chain Ladder Calculations

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  • Riegel, Ulrich

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.

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  • Riegel, Ulrich, 2014. "A Bifurcation Approach For Attritional And Large Losses In Chain Ladder Calculations," ASTIN Bulletin, Cambridge University Press, vol. 44(1), pages 127-172, January.
    • Handle: RePEc:cup:astinb:v:44:y:2014:i:01:p:127-172_00
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    Cited by:

    1. Martin Eling & Ruo Jia, 2017. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2014 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 63-77, March.
    2. Denuit, Michel & Trufin, Julien, 2016. "Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance," LIDAM Discussion Papers ISBA 2016029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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