Diagonal effects in claims reserving |
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Authors: | Anders Hedegaard Jessen Niels Rietdorf |
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Affiliation: | 1. Department of Mathematical Sciences , University of Copenhagen ahje@fairforsikring.dk;3. Alpha Group |
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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). |
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Keywords: | Claims reserving Diagonal effects Bornhuetter-Ferguson method Chain ladder Benktander method Bootstrap |
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