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Diagonal effects in claims reserving

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  • Anders Jessen
  • Niels Rietdorf

Abstract

In this paper we present two different approaches to how one can include diagonal effects in non-life claims reserving based on run-off triangles. Empirical analyses suggest that the approaches in Zehnwirth (2003) and Kuang et al. (2008a, 2008b) do not work well with low-dimensional run-off triangles because estimation uncertainty is too large. To overcome this problem we consider similar models with a smaller number of parameters. These are closely related to the framework considered in Verbeek (1972) and Taylor (1977, 2000); the separation method. We explain that these models can be interpreted as extensions of the multiplicative Poisson models introduced by Hachemeister & Stanard (1975) and Mack (1991).

Suggested Citation

  • Anders Jessen & Niels Rietdorf, 2011. "Diagonal effects in claims reserving," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2011(1), pages 21-37.
    • Handle: RePEc:taf:sactxx:v:2011:y:2011:i:1:p:21-37
    DOI: 10.1080/03461230903301876
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