Álvarez-Jareño, José Antonio Coll-Serrano, Vicente
Year of Publication:
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 14 [Year:] 2012 [Pages:] 124-136
Insurance companies have to estimate reserves and provisions to cover the payment of either unreported claims or unsettled claims. In this paper, we apply the Chain-Ladder method to obtain a point estimate of reserves, and then we use the bootstrap technique to estimate the margin of error and the confidence interval of the reserves. Since estimating reserves is a real problem which insurance companies have to face, its solving has a special interest for students of Actuarial Sciences. To ease the understanding and monitoring the process, the Chain-Ladder method and bootstrap is run step by step by using an Excel application designed for that purpose.
bootstrap Chain-Ladder method reserves insurance company Excel