Esbjörn Ohlsson: Non-life insurance reserving with separate estimation of known and unknown claims
Time: Wed 2015-12-16 15.15 - 16.00
Location: Room 306, House 6, Kräftriket, Department of Mathematics, Stockholm University
Participating: Esbjörn Ohlsson, (Länsförsäkringar AB & Stockholms universitet)
Abstract:
Non-life insurance companies need to set off reserves for the future cash flows relating to claims that are incurred but not settled. These can be divided into unknown claims (Incurred But Not Yet Reported, IBNYR) and claims that are reported but not settled (RBNS)). The traditional Chain ladder method for estimating the future claim costs makes no difference between IBNYR and RBNS. We discuss two methods for estimating these two parts of the reserve separately: Schnieper’s method and a new method that splits the Chain ladder estimate into IBNYR and RBNS.
This seminar is based on Research report 2015:11 available at
www.math.su.se/publikationer/skriftserier/forskningsrapporter-i-matematisk-statistik/forskningsrapporter-i-matematisk-statistik-2015-1.223837