Abstract
By adding the information of reported count data to a classical triangle of reserving data, we derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between development factors allows to involve and then estimate the reporting and payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR and RBNS claims, separately.
Keywords Bootstrapping, Chain Ladder, Claims Reserves, Reserve Risk
Volume
Vol. 42, No. 1
Page
1-18
Year
2012
Categories
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Actuarial Applications and Methodologies
Reserving
Claims Handling
Publications
ASTIN Bulletin
