Title: Application of classical and robust chain-ladder methods: results for the Belgian non-life business
Authors: Martine Van Wouwe, Tim Verdonck, Kristel Van Rompay
Addresses: University of Antwerp, Prinsstraat 13, B-2000, Antwerp, Belgium. ' University of Antwerp, Middelheimlaan 1, B-2020 Antwerp, Belgium. ' University of Antwerp, Prinsstraat 13, B-2000 Antwerp, Belgium
Abstract: The solvency II regulation for the non-life insurance business focuses on the application of the chain-ladder method in the EU. A recent memorandum of the EU also expresses its concern about the treatment of outlying data. Not only the appearance but certainly the consequences for the solvency risk capital are brought up. We will discuss the results of applying classical and robust chain-ladder methods to real data from several lines of business in the non-life insurance branch in Belgium.
Keywords: claims reserve; chain-ladder methods; outliers; Belgium; non-life insurance business; solvency risk capital.
Global Business and Economics Review, 2009 Vol.11 No.2, pp.99 - 115
Received: 29 Aug 2008
Accepted: 29 May 2009
Published online: 19 Oct 2009 *