The application of State-Space model in Outstanding Claims Reserve

Author

Pang, Liyan ; He, Siqi

Author_Institution

Fac. of Manage. Sci. & Inf. Eng., Jilin Univ. of Finance & Econ., Changchun, China

Volume

3

fYear

2012

fDate

20-21 Oct. 2012

Firstpage

271

Lastpage

274

Abstract

Outstanding Claims Reserve (OCR) is an important part of Reserve in an insurance company, and calculation of the OCR is a crucial job in an insurance company. There are a lot of ways to calculate the OCR, such as chain ladder method, payments per claim finalised, reserve progress method and B-F method. This paper is mainly discussing the application of State-Space Model(SSM) in OCR. Focus on the times of compensation, I use SSM, in which the state equation is based on ARMA model, to calculate the data in the lower triangle of the run-off triangle. In this paper, empirical analysis shows that the SSM after revise could fit the data of upper triangle and estimate the data of lower triangle better, by Kalman Filter Iteration.

Keywords

Kalman filters; autoregressive moving average processes; insurance; ARMA model; B-F method; Kalman filter iteration; SSM; chain ladder method; empirical analysis; insurance company; outstanding claims reserve; payments per claim finalised; reserve progress method; state-space model; Bismuth; Equations; Insurance; Kalman filters; Mathematical model; Reactive power; Kalman Filter; Outstanding claims reserve; state space; times of compensation;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on

Conference_Location

Sanya

Print_ISBN

978-1-4673-1932-4

Type

conf

DOI

10.1109/ICIII.2012.6339970

Filename

6339970