Claim reserving prediction with Bornhuetter-Ferguson method

I. G.C.D. Saputra, S. Nurrohmah, S. F. Sari

Research output: Contribution to journalConference articlepeer-review

Abstract

In the long-tail business insurance class, claim settlement takes at least one year, since the claim was filed. This is because insurance companies must investigate in advance of the incident. The problem in the long-tail business can be attributed to the large or unresolved number of claims, called outstanding claims. The prediction of outstanding claims has an important role considering insurance companies are required to allocate sufficient reserves for future payment of claims. Generally, the problem of prediction of outstanding claims utilizes run-off triangle. Run-off triangle is an instrument, which is used to analyze the relationship between claims payments that have been made over the past few years. One of the prediction methods that commonly used is the Bornhuetter-Ferguson method. This method will be applied to the paid loss and ALAE Commercial Auto/Truck Liability/Medical insurance data, which is obtained from Highline Annual Statement Schedule P Data from all industry in the United States for the period 1999-2008, where the claim payment is stated in USD (000's).

Original languageEnglish
Article number012102
JournalJournal of Physics: Conference Series
Volume1725
Issue number1
DOIs
Publication statusPublished - 12 Jan 2021
Event2nd Basic and Applied Sciences Interdisciplinary Conference 2018, BASIC 2018 - Depok, Indonesia
Duration: 3 Aug 20184 Aug 2018

Keywords

  • Bornhuetter -Ferguson method
  • Long-tail business insurance
  • Outstanding claims
  • Run-off triangle

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