Double chain ladder. 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 for this software
References in zbMATH (referenced in 5 articles , 1 standard article )
Showing results 1 to 5 of 5.
- Bissantz, Nicolai; Dette, Holger; Hildebrandt, Thimo; Bissantz, Kathrin: Smooth backfitting in additive inverse regression (2016)
- Mammen, Enno; Martínez Miranda, María Dolores; Nielsen, Jens Perch: In-sample forecasting applied to reserving and mesothelioma mortality (2015)
- Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel: Individual loss reserving using paid-incurred data (2014)
- Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel: Individual loss reserving with the multivariate skew normal framework (2013)
- Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard: Double chain ladder (2012)