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Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method

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  • Mario Wüthrich

Abstract

In almost all stochastic claims reserving models one assumes that accident years are independent. In practice this assumption is violated most of the time. Typical examples are claims inflation and accounting year effects that influence all accident years simultaneously. We study a Bayesian chain ladder model that allows for accounting (calendar) year effects modeling. A case study of a general liability dataset shows that such accounting year effects contribute substantially to the prediction uncertainty and therefore need a careful treatment within a risk management and solvency framework.

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  • Mario Wüthrich, 2010. "Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method," North American Actuarial Journal, Taylor & Francis Journals, vol. 14(2), pages 235-255.
    • Handle: RePEc:taf:uaajxx:v:14:y:2010:i:2:p:235-255
    DOI: 10.1080/10920277.2010.10597587
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    Cited by:

    1. Portugal, Luís & Pantelous, Athanasios A. & Verrall, Richard, 2021. "Univariate and multivariate claims reserving with Generalized Link Ratios," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 57-67.

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