TITLE:
The Prediction of Non-Life Claim Reserves under Inflation—An Analysis including Diagonal Effects
AUTHORS:
Ting Yan
KEYWORDS:
Claim Reserves, Diagonal Effects, Bornhuetter-Ferguson Method, Chain Ladder Method, Inflation, Bootstrap
JOURNAL NAME:
Open Journal of Statistics,
Vol.6 No.2,
April
27,
2016
ABSTRACT: The extraction of various reserves is one of the most important
measures that guarantee insurance companies’ solvency. Accurate assessment of
non-life insurance claim reserves needs to consider the volatility risks of
inflation. This paper presents a stochastic model of
claim reserves including inflation factor and diagonal effects. By applying
this model, we can predict the values of the claim reserves and evaluate
predicting risks. Through analyzing actual data and using the bootstrap method,
we can compare Bornhuetter-Ferguson method involving diagonal effects with
chain ladder method. It is shown that the former is more efficient and robust
than the latter.