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Analysis of the IBNR reserve credibility predictors

Author

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  • Karina Ostoj

    (Deloitte, Dział Usług Aktuarialnych; Szkoła Główna Handlowa w Warszawie)

Abstract

Chain ladder is one of the simplest and the most frequently used method for the estimation of the IBNR (Incurred but not Reported) reserve. Due to its popularity and wide recognition, it abided many modifications, including its generalization within the credibility theory presented in Gisler and Wütrich (2008). The idea relies on a distinction between so-called individual information and collective information relating to various parts of a single insurance portfolio, where the share of both sources of information constitutes a subject to estimation. The simulation analysis presented in this paper enabled the comparison of the prediction quality based on the classical chain ladder and of its Bayesian counterpart.

Suggested Citation

  • Karina Ostoj, 2018. "Analysis of the IBNR reserve credibility predictors," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 187-206.
    • Handle: RePEc:sgh:annals:i:51:y:2018:p:187-206
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    References listed on IDEAS

    as
    1. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    2. Gisler, Alois & Wüthrich, Mario V., 2008. "Credibility for the Chain Ladder Reserving Method," ASTIN Bulletin, Cambridge University Press, vol. 38(2), pages 565-600, November.
    3. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
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