Template-type: ReDIF-Paper 1.0
Author-Name: Di Kuang
Author-Email: di.kuang@aonbenfield.com
Author-Workplace-Name: Aon, 8 Devonshire Square, London EC2M 4PL, U.K.
Author-Name: Bent Nielsen
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford OX1 1NF, U.K.
Author-Name: Jens Perch Nielsen
Author-Email: Jens.Nielsen.1@city.ac.uk
Author-Workplace-Name: Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, U.K.
Title: Forecasting in an extended chain-ladder-type model
Abstract:  Reserving in general insurance is often done using chain-ladder-type methods. We propose a method aimed at situations where there is a
sudden change in the economic environment affecting the policies for all accident years in the reserving triangle. It is shown that methods for forecasting
non-stationary time series are helpful. We illustrate the method using data published in Barnett and Zehnwirth (2000). These data illustrate features
we also found in data from the general insurer RSA during the recent credit crunch.
Keywords: Calendar effect, canonical parameter, extended chain-ladder, identification problem, forecasting.
X-Classification-JEL: 
Length: 19 pages
Creation-Date: 2010-06-24
Number: 2010-W05
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2010/w5/Forecast24jun10.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1005