Claim reservation in non-life insurance

Specialeforsvar ved Jesper Pedersen

Titel: Claim reservation in non-life insurance

Abstract:  This thesis' focus is to investigate the possibilities of modelling the reserves in a non-life insurance company, using the classical chain ladder model presented by Thomas Mack compared to other methods. The chain ladder method of Thomas Mack is simple to employ, but has a large relative errors. Because of the importance of reserving in a non-life insurance company, it is of interest to investigate and maybe minimize the large relative errors, hence improve the models. ~~The Munich chain ladder introduced by Gerhard Quarg and Thomas Mack and two models which is inspired by the classical chain ladder will be presented. The Munich chain ladder method uses both the paid and incurred claims to predict the total outstanding claims. The first of the two extended chain ladder models is a model which depends on the last accident year for the projection of that specific accident year. The other extended model predicts the development upon the last two claims of the particular accident year. How the parameters of the four different models is estimated is proposed individually for each model. ~~At last, the bootstrap method is applied to an example to discuss uncertainties of the models, some of the parameters' confidence interval and to compare the prediction of the total outstanding claims

Vejleder:  Jostein Paulsen
Censor:    Mette M Havning