The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models (vol 52, pg 590, 2013)

摘要

This is the first study to derive closed-form analytical expressions for multi-year non-life insurance risk in the chain ladder model. Extending on previous research on the additive reserving model, we define multi-year risk via prediction errors of multi-year claims development results including both observed and future accident years. A resampling argument and a first-order Taylor approximation address the quantification of estimation errors and multiplicative dependencies in the chain ladder framework, respectively. From our generalized multi-year approach, we deduce estimators for reserve and premium risks in multi-year view and their implicit correlation. We reproduce well-known results from literature for the special cases of one-year and ultimo view. Further, we comment on how to obtain estimators for generalized versions of the chain ladder method. A case study demonstrates the applicability of our analytical formulae. (C) 2015 Elsevier B.V. All rights reserved.