Robustifizierung des Chain-Ladder-Verfahrens über ein skalares Zustandsraummodell |
| |
Authors: | Nataliya Chukhrova Arne Johannssen |
| |
Institution: | 1.Fakult?t für Betriebswirtschaft,Universit?t Hamburg,Hamburg,Deutschland |
| |
Abstract: | Applications of state space models and the Kalman filter are comparatively underrepresented in stochastic claims reserving. This is usually caused by their high complexity due to matrix-based approaches, which complicate their applications. In order to facilitate the implementation of state space models in practice, we present a state space model for cumulative payments in the framework of a scalar-based approach. In addition to a comprehensive presentation of this scalar state space model, some empirical applications and comparisons with popular stochastic claims reserving methods are performed, which show the strengths of the scalar state space model in practical applications. This model is a robustified extension of the well-known Chain Ladder method under the assumption, that the observations in the upper triangle are based on unobservable states. Using Kalman-filter recursions for prediction, filtering and smoothing of cumulative payments, the entire unobservable lower and upper run-off triangles can be determined. Moreover, the model provides an easy way to find and smooth outliers and to interpolate gaps in the data. Thus, the problem of missing values in the upper triangle is also solved in a natural way. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|