Tiivistelmä

Ensin simuloidaan vahinkomenojen virtaa ja sitten tietokone pannaan leikkimään aktuaaria, joka tästä virrasta laskee korvausvastuut. Käyttämällä eri menetelmiä saadaan käsitys siitä, mikä niistä antaa parhaan tuloksen.

Abstract

 The idea in this paper is to describe a procedure by which one can explore how various reserving methods react to fictitious variations, fluctuations, trends, etc. which might influence the claims process. For this purpose, a claims process is first postulated and claims are simulated and ordered to correspond to an actual handling of the observed claims of a fictitious insurer. Next, the simulation program will 'mime' an actuary who is calculating the claims reserve on the basis of these 'observed' claims data. By repeating the simulation numerous times (Monte Carlo method) the distribution of the error can be estimated. By applying the procedure to several reserving methods in parallel a conception of their properties can be gained, in particular, how robust they are against various variations and irregularities in the claims process. Reprinted in Casualty Actuarial Society Forum, Fall 1995 p. 128-153


Kirjoittaja(t)  Pentikäinen T. - Rantala J.
Artikkelin otsikko A simulation procedure for comparing different claims reserving methods
Lehti ASTIN Bulletin 1992;22 (2):191-216
Keywordsclaims reserving, run-off error, chain ladder, model error, parameter error, simulation
Viite julkaisuunhttp://www.casact.org/library/astin/vol22no2/
Kieli  englanti
Julkaisun tyyppiartikkeli tiet lehdessä
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