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Insurance

1 tool in the Finance and Business area.

Loss Reserving

Estimates unpaid claims from a pasted run-off triangle (cumulative or incremental; accident years down, development ages across) by the chain-ladder development method with the usual age-to-age averages (volume-weighted and simple over all years or the latest n, medial, geometric), a tail factor entered or fitted by exponential decay or an inverse power curve, and the distribution-free standard errors of Mack (1993) for each accident year and the total. With premiums and a priori loss ratios it also runs the expected-claims, Bornhuetter-Ferguson and Cape Cod (with an optional decay weight) methods and compares them, and the England and Verrall (2002) bootstrap of the over-dispersed Poisson chain ladder gives the predictive distribution of the reserve with its percentiles. The default case is the Taylor and Ashe (1983) triangle of Mack's paper, whose factors, variance parameters, reserves and standard errors the page reproduces; the Friedland (2010) U.S. Industry Auto and the RAA examples load from the example selector.

4 worked examples reproduced, listed on the tool page.

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