Thursday, March 24, 2011

Claim development with random development patterns

Walther Neuhaus
(Zabler-Neuhaus AS, Norway)

Abstract: The classical methods of outstanding claim estimation (chain-ladder method and Bornhuetter-Ferguson’s method) build on the assumption of a fixed claim development pattern. This is not always a realistic assumption. This seminar will present a few claim development models with varying development patterns, in particular those of Hesselager&Witting (1988), Neuhaus (1992) and De Jong & Zehnwirth (1983). Models with varying development patterns can be used to justify some of the practical approaches intuitively taken by actuaries, and to assess the risk attached to assuming fixed development patterns.

Thursday, March 24, 2011
Time: 18h00
Room: Sala IAPMEI, Edificio Quelhas, ISEG