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Bulletin n°18 / vol. 9 / Juillet 2009 - Décembre 2009
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Claims development result for combined claims incurred and claims paid data
DAHMS R. ; MERZ M. ; WÜTHRICH M. V.
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Abstract
We present the one-year claims development result (CDR) in the complementary loss ratio method (CLRM). The complementary loss ratio method presented in Dahms [3] is a stochastic claims reserving method that considers simulateneously claims paid data and claims incurred data. In this model we study the conditional mean square error of prediction (MSEP) for the one-year claims development result uncertainty. This is an important view in all new solvency considerations and in risk-based controlling of non-life insurance companies.
