CLAIM RESERVE ESTIMATION USING RUN-OFF TRIANGLE WITH KALMAN FILTER APPROACH
<p align="justify">Claim reserve is a prediction on how much cost that an insurer have to pay in the future regarding claim settlement. Claim reserve is classified as a liability in the company’s accounting statement and used as evaluate company’s solvency. There are many ways...
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| Main Author: | |
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/26613 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | <p align="justify">Claim reserve is a prediction on how much cost that an insurer have to pay in the future regarding claim settlement. Claim reserve is classified as a liability in the company’s accounting statement and used as evaluate company’s solvency. There are many ways to determine claim reserve, one of the most common way is using run-off triangle. Run-off triangle can be used to forecast the future claim payment using past data especially in non-life insurance business. In this paper Kalman filter approach is being used on determining run-off triangles. The model used is written in state space form. Kalman filter is used to determine the parameter of the model and getting coefficient to estimate future triangle data. A claim data set is analyzed to determine the claim reserve and evaluation of mean square error of forecast result and model parameters. Then, this result is compared with the use of chain ladder method and Bornhuetter-Ferguson method to see the effectiveness of this proposed method.<p align="justify"> |
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