Tid: 14 september 2009 kl 16.15-17.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Ieva Gediminaite

Titel: On the Prediction Error in Several Claims Reserves Estimation Methods (Examensarbete – Master thesis)

Abstract

The Chain-Ladder (CL) and the Bornhuetter-Ferguson (BF) reserve estimation methods are the most common in the general insurance reserving process. It is very important to know how accurate the resulting estimates are. Mack derived theoretical prediction error formulae for the CL method in 1993 and for the BF method in 2008. Also, bootstrap technique for the CL method has been introduced and developed since England & Verall published their work in 1999. In this thesis the theory behind all the calculations is first explained. Then, the personal accident (PA) insurance data from Trygg-Hansa Försäkrings AB is analyzed. First, the theoretical prediction error for both methods is calculated, according to the articles by Mack. Second, the most recently developed bootstrap procedure is applied for the CL method. Finally, a bootstrap procedure to calculate the estimation error of the BF method is constructed and applied on the PA data. A comparison study of all the performed computations is then given.

Key words and phrases: Prediction error, Chain-Ladder, Bornhuetter-Ferguson, Stochastic claims reserving, Bootstrap in claims reserving.

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