The extraction of various reserves is one of the most important measures that guarantee insurance companies’ solvency. Accurate assessment of non-life insurance claim reserves needs to consider the volatility risks o...The extraction of various reserves is one of the most important measures that guarantee insurance companies’ solvency. Accurate assessment of non-life insurance claim reserves needs to consider the volatility risks of inflation. This paper presents a stochastic model of claim reserves including inflation factor and diagonal effects. By applying this model, we can predict the values of the claim reserves and evaluate predicting risks. Through analyzing actual data and using the bootstrap method, we can compare Bornhuetter-Ferguson method involving diagonal effects with chain ladder method. It is shown that the former is more efficient and robust than the latter.展开更多
文摘The extraction of various reserves is one of the most important measures that guarantee insurance companies’ solvency. Accurate assessment of non-life insurance claim reserves needs to consider the volatility risks of inflation. This paper presents a stochastic model of claim reserves including inflation factor and diagonal effects. By applying this model, we can predict the values of the claim reserves and evaluate predicting risks. Through analyzing actual data and using the bootstrap method, we can compare Bornhuetter-Ferguson method involving diagonal effects with chain ladder method. It is shown that the former is more efficient and robust than the latter.
