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Handbook on Loss Reserving

✍ Scribed by Michael Radtke, Klaus D. Schmidt, Anja Schnaus (eds.)


Publisher
Springer International Publishing
Year
2016
Tongue
English
Leaves
317
Series
EAA Series
Edition
1
Category
Library

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✦ Synopsis


This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional methods, it also includes a description of more recent ones and a discussion of certain problems occurring in actuarial practice, like inflation, scarce data, large claims, slow loss development, the use of market statistics, the need for simulation techniques and the task of calculating best estimates and ranges of future losses.

In property and casualty insurance the provisions for payment obligations from losses that have occurred but have not yet been settled usually constitute the largest item on the liabilities side of an insurer's balance sheet. For this reason, the determination and evaluation of these loss reserves is of considerable economic importance for every property and casualty insurer.

Actuarial students, academics as well as practicing actuaries will benefit from this overview of the most important actuarial methods of loss reserving by developing an understanding of the underlying stochastic models and how to practically solve some problems which may occur in actuarial practice.

✦ Table of Contents


Front Matter....Pages i-xv
Additive Method....Pages 1-8
Aggregation....Pages 9-16
Bornhuetter–Ferguson Method....Pages 17-32
Bornhuetter–Ferguson Principle....Pages 33-42
Cape Cod Method....Pages 43-52
Chain Ladder Method (Basics)....Pages 53-59
Chain Ladder Method (Models)....Pages 61-69
Chain Ladder Method (Prediction Error)....Pages 71-74
Collective Model....Pages 75-79
Controlling....Pages 81-85
Credibility Models (Basics)....Pages 87-96
Credibility Models (Loss Reserving)....Pages 97-105
Development Patterns (Basics)....Pages 107-117
Development Patterns (Estimation)....Pages 119-122
Expected Loss Method....Pages 123-125
Grossing up Method....Pages 127-131
Linear Models (Basics)....Pages 133-142
Linear Models (Loss Reserving)....Pages 143-149
Lognormal Loglinear Model (Basics)....Pages 151-155
Lognormal Loglinear Model (Loss Reserving)....Pages 157-162
Loss Development Method....Pages 163-168
Loss Ratios....Pages 169-174
Marginal Sum Method....Pages 175-178
Multinomial Model....Pages 179-185
Multiplicative Models....Pages 187-190
Multivariate Methods....Pages 191-199
Munich Chain Ladder Method....Pages 201-207
Paid and Incurred Problem....Pages 209-216
Panning Method....Pages 217-223
Poisson Model....Pages 225-229
Reinsurance....Pages 231-239
Run-Off Data....Pages 241-245
Run-Off Triangles....Pages 247-254
Separation Method....Pages 255-263
Simulation....Pages 265-274
Solvency II....Pages 275-284
Tail Estimation....Pages 285-290
Volume Measures....Pages 291-292
Probability Distributions....Pages 293-302
Back Matter....Pages 303-323

✦ Subjects


Actuarial Sciences;Statistical Theory and Methods;Statistics for Business/Economics/Mathematical Finance/Insurance;Insurance


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