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Double Chain Ladder

  • María Dolores Martínez Miranda (a1), Jens Perch Nielsen (a2) and Richard Verrall (a3)

Abstract

By adding the information of reported count data to a classical triangle of reserving data, we derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between development factors allows to involve and then estimate the reporting and payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR and RBNS claims, separately.

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Keywords

Double Chain Ladder

  • María Dolores Martínez Miranda (a1), Jens Perch Nielsen (a2) and Richard Verrall (a3)

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