Zeszyt 51/2018

Kolegium Analiz Ekonomicznych oświadcza, że wersją pierwotną czasopisma jest wersja papierowa.

Karina Ostoj

Analiza predyktorów credibility rezerw IBNR


Analysis of the IBNR reserve credibility predictors

Chain ladder is one of the simplest and the most frequently used method for the estimation of the IBNR (Incurred but not Reported) reserve. Due to its popularity and wide recognition, it abided many modifications, including its generalization within the credibility theory presented in Gisler and Wütrich (2008). The idea relies on a distinction between so-called individual information and collective information relating to various parts of a single insurance portfolio, where the share of both sources of information constitutes a subject to estimation. The simulation analysis presented in this paper enabled the comparison of the prediction quality based on the classical chain ladder and of its Bayesian counterpart.

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spis treści zeszytu 51

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