DOUBLE CHAIN LADDER METHOD WITH ZERO-CLAIMS AND DEVELOPMENT INFLATION PRIOR INFORMATION FOR IBNR AND RBNS CLAIMS RESERVING

• Main Author: (NIM:10114004), HENGKY
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/27817
• Institution: Institut Teknologi Bandung

<br /> <br /> The Basic Chain Ladder method is often used to estimate the outstanding claims reserve for a long-tail business. A general insurance company need to determine the reserve in order to pay those claims reported by policyholders. However, the Basic Chain Ladder method is unable to separate between a reserve for the Incurred But Not Reported (IBNR) claims and that for the Reported But Not Settled (RBNS) claims when the method is only applied to a runoff triangle of claims severity. In this final project (Tugas Akhir), the Basic Chain Ladder and the Double Chain Ladder methods are discussed. With the additional information on the claims frequency, the Double Chain Ladder method is able to separate between the IBNR and RBNS claims reserves. In this final project, the Double Chain Ladder method is analyzed further due to the availability of prior information on development inflation and the number of zero-claims. To compare the quality of the estimators given by different estimation techniques, the prediction error is used. The prediction error is determined using a bootstrapping technique. The method with the smallest prediction error is chosen to estimate the claims reserve. <br />