TY - JOUR
T1 - Claim reserve prediction using the credibility theory for the Chain Ladder method
AU - Karmila, S.
AU - Nurrohmah, S.
AU - Sari, S. F.
N1 - Publisher Copyright:
© Published under licence by IOP Publishing Ltd.
PY - 2020/1/29
Y1 - 2020/1/29
N2 - A claim reserve is a reserve that must be prepared by a long-tail business insurance company to fulfil its obligations to future policyholders. One of the most popular methods for predicting claim reserves is the Chain Ladder method. However, on the Chain Ladder method, the claim reserve is predicted solely based on individual information (information derived from the company's past experienced). If the individual information is not enough, an actuary needs to consider other information that is collective information (market experience). Both information can be combined by applying Bühlmann-Straub credibility theory. This paper will discuss about implementation of credibility theory for the Chain Ladder method to predict claim reserve for the data of private passenger autoliability/medical insurance in 1998-2007 are published by National Association of Insurance Commissioners (NAIC).
AB - A claim reserve is a reserve that must be prepared by a long-tail business insurance company to fulfil its obligations to future policyholders. One of the most popular methods for predicting claim reserves is the Chain Ladder method. However, on the Chain Ladder method, the claim reserve is predicted solely based on individual information (information derived from the company's past experienced). If the individual information is not enough, an actuary needs to consider other information that is collective information (market experience). Both information can be combined by applying Bühlmann-Straub credibility theory. This paper will discuss about implementation of credibility theory for the Chain Ladder method to predict claim reserve for the data of private passenger autoliability/medical insurance in 1998-2007 are published by National Association of Insurance Commissioners (NAIC).
UR - http://www.scopus.com/inward/record.url?scp=85079645050&partnerID=8YFLogxK
U2 - 10.1088/1742-6596/1442/1/012038
DO - 10.1088/1742-6596/1442/1/012038
M3 - Conference article
AN - SCOPUS:85079645050
VL - 1442
JO - Journal of Physics: Conference Series
JF - Journal of Physics: Conference Series
SN - 1742-6588
IS - 1
M1 - 012038
T2 - Basic and Applied Sciences Interdisciplinary Conference 2017, BASIC 2017
Y2 - 18 August 2017 through 19 August 2017
ER -