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Claims development result in the paid-incurred chain reserving method

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  • Happ, Sebastian
  • Merz, Michael
  • Wüthrich, Mario V.

Abstract

We present the one-year claims development result (CDR) in the paid-incurred chain (PIC) reserving model. The PIC reserving model presented in Merz and Wüthrich (2010) is a Bayesian stochastic claims reserving model that considers simultaneously claims payments and incurred losses information and allows for deriving the full predictive distribution of the outstanding loss liabilities. In this model we study the conditional mean square error of prediction (MSEP) for the one-year CDR uncertainty, which is the crucial uncertainty view under Solvency II.

Suggested Citation

  • Happ, Sebastian & Merz, Michael & Wüthrich, Mario V., 2012. "Claims development result in the paid-incurred chain reserving method," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 66-72.
    • Handle: RePEc:eee:insuma:v:51:y:2012:i:1:p:66-72
    DOI: 10.1016/j.insmatheco.2012.03.002
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    References listed on IDEAS

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    1. Bühlmann, Hans & De Felice, Massimo & Gisler, Alois & Moriconi, Franco & Wüthrich, Mario V., 2009. "Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 275-306, May.
    2. Ohlsson, Esbjörn & Lauzeningks, Jan, 2009. "The one-year non-life insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 203-208, October.
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    Citations

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    Cited by:

    1. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
    2. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    3. Yixing Zhao & Rogemar Mamon & Heng Xiong, 2021. "Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.

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