Dissertation > Excellent graduate degree dissertation topics show

The Prediction Error of Reserve in Mack Method

Author: LiangQing
Tutor: LiuLePing
School: Tianjin University of Finance and Economics
Course: Statistics
Keywords: Outstanding Loss Reserve Mack Method Chain Ladder Method Prediction Error
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 27
Quote: 0
Read: Download Dissertation

Abstract


China insurance industry is developing rapidly now. For insurance company, the prosperity of the financial market and open environment not only provides a good opportunity, but also puts forward a serious challenge. With the improvement of China insurance institution, reserve gradually becomes more important to insurance company and insurance regulator.For insurance company with non-life insurance business, non-life insurance reserve is the biggest liability and has a direct effect on solvency and financial condition. And outstanding loss reserve evaluation is the characteristics of non-life itself of the decision. There is always difference between estimated outstanding loss reserve and actual outstanding loss reserve for the stochastic and complexity of outstanding claim distribution. And it’s helpful to improve the reliability of reserve estimate and perfect the risk control of insurance company that predicting and evaluating the difference scientifically.Now insurance company mainly adopts the chain ladder method and other certainty models to estimate outstanding loss reserve. The chain ladder method which is easy to understand and to apply is suitable for practice of reserve estimation. But the traditional chain ladder method which only has the point estimation of reserve cannot fully reflect the randomness and statistics of data. Though random model can do well in data randomness procession, it’s hard for random model to be applied in practice. The Mack method which is a good amalgamation of the advantages of chain ladder method and random model, proposes three basic assumptions on the basis of the chain ladder method, so that the chain ladder also has the statistical properties of random model, like hypothesis testing, interval estimation and prediction error. What’s more is that the Mack method doesn’t change the advantage of the chain ladder method that easy to understand and to apply.It’s discussed how to estimate the prediction error of the outstanding loss reserve estimate on the basis of the Mack method in this paper. First, it’s summarized the principle and characteristic of the chain ladder method. Then it’s presented the basic assumptions and properties of the Mack method and demonstrated the parameter estimation under the Mack method and the unbiasedness and optimality of the chain ladder method. And then it establishes the model of prediction error of reserve estimate which is compared with the prediction error of other random models as well, to bring about the conclusion that the chain ladder method based on the Mack method is not worse than general random models in estimated accuracy. Finally, it’s showed how to extend Mack method to build model of the prediction error of reserve estimate for two correlated run-off triangles.

Related Dissertations

  1. Study on Theories and Experiments of Signal Structure and Acquisition for Non-Invasive Blood Glucose Sensing with Near-Infrared Spectroscopy,R318.51
  2. Sequence Constrained Seismic Prediction of Fluvial Reservoir in the Middle of Zhunga’er Basin,P631.4
  3. The Tube Furnace Combustion State Monitoring System Development,TP273
  4. Digital Watermarking Robust Against Synchronization Attacks,TP309.7
  5. Adaptive Multiple Attenuation Based on Blind Source Separation,TN911.7
  6. Research on the Accuracy of Chinese Listed Companies’ Earnings Forecast,F224
  7. Research on Video Processing Technique in Intelligent Transportation Systems,U495
  8. Several Statistical Issues in the Analysis of High-dimensional Biological Data,R195
  9. Neural Network-Based Control Strategies for Permanent Magnet Synchronous Motor,TM341
  10. On the Neural Network Theory and Its Application in Ship Motion Prediction,U675.7
  11. Predictions Error and Intention Understanding: Development and the Neural Basis,B849
  12. Optimum Detection of Anti-Radiation Missile,TJ761.1
  13. Research on Texture and JND Modeling Based Video Coding,TN919.81
  14. The Research on the Prediction of the Outstanding Claim Reserve on the Basis of Bayesian Statistics,F224
  15. Research on Architecture and Key Algorithm of H.264 Decoder,TN919.81
  16. Domestic and foreign insurance companies, the unification and improvement of the corporate income tax,F812.42
  17. K Company’s Improving Planning and Forecasting for the Reasonable Allocation of Inventory,F224
  18. Empirical Study on the Top Management Turnover and Performance of Listed Companies in China,F224
  19. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  20. The True Estimations of China’s Unemployment and the Re-examination of Okun’s Law,F224
  21. State cigarette sales forecast Influencing Factors,F224
  22. The Survey on Food Enterprise Employee-cognitive Levels and Customer-satisfaction Degrees,F224

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile