MCFAM Seminar - Stochastic Claims Reserving in Short-term Insurance Contracts
Speaker: Patrick Guge Oloo Weke
Abstract: Claims reserving for general insurance business has developed significantly over the recent past. There has always been a slight mystery in short-term insurance contracts of how to go about reserving for claims, which have not yet come in, and are still in some sense of figment of the future. Stochastic models for triangular data are derived and applied to claims reserving data. The standard actuarial technique, the chain ladder technique is given a sound statistical foundation and considered as a linear model. The chain ladder technique and the two-way analysis of variance are employed for purposes of estimating and predicting the IBNR claims reserves. Insurance claims variables are non-normally distributed and therefore a measure that will capture the dependence among the variables better than the usual correlation is employed. One such method is the use of copulas.