Separation of Attritional and Large Losses in Chain Ladder Calculations
Ulrich Riegel - Host: NN
20.06.2024 um 16:30 Uhr
Ulrich Riegel
im Hörsaal A 027 über das Thema
Separation of Attritional and Large Losses in Chain Ladder Calculations
Zusammenfassung: Insurance claims are often not paid out immediately. In long-tail lines such as liability or motor liability, it can take years or even decades until a claim is settled. In order to set up adequate reserves, so-called IBNR methods are used to predict future payments. Chain ladder is probably the most popular IBNR method worldwide. Since large losses behave quite differently from attritional losses, it is advisable to separate the two loss categories in the IBNR calculation.
We introduce a stochastic model for the development of attritional and large claims in long-tail lines of business and present a corresponding chain ladder-like IBNR method that predicts attritional and large losses in a consistent way.