Last Years have witnessed increasing interest in stochastic claims reserving method. Probably the lack of need for this methods and the major complexity produced a low diffusion. More recently, greater interest has been expressed in estimating the downside potential of claims reserves, in addition to a best estimate of outstanding claims reserves. In the framework of Solvency II project, it has been requested a new method for computing technical provisions, which are defined as the sum of two components: the best estimate and the risk margin. Both the Best estimate and the Risk Margin of the Outstanding Loss Liabilities must be derived by well defined probabilistic models properly calibrated. For that it is necessary to be able to estimate the variability of claims reserves and ideally to estimate a full distribution of possible outcomes. This paper considers a range of stochastic claims reserving method for use in general insurance, analyzing stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are applied to data and properly compared.
Titolo tradotto del contributo[Autom. eng. transl.] Stochastic Claims Reserves: some methodologies compared
Lingua originaleItalian
Titolo della pubblicazione ospiteAnnali n.13 Università del Sannio
Numero di pagine30
Stato di pubblicazionePubblicato - 2008


  • Riserve sinistri stocastiche
  • bootstrapping
  • over dispersed poisson

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