Triangle-free Reserving method in General insurance

• Main Author: Nshimiyimana, Obed
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/42950
• Institution: Institut Teknologi Bandung

General insurance companies are in business of taking risks. They take obligation to pay for claims that may arise in exchange for premium from policyholders. The problem of estimating the amount of money the insurance company is liable to pay is called reserves is of utmost importance as the precision of the estimate of that amount can influence the decisions of the stakeholders in the insurance company. The traditional methods used to estimate reserves in general insurance are called triangular methods, the term that result from the fact that claim data are aggregated in run-off triangles and projected to ultimate. In this thesis, we used a triangle-free method that uses individual claim data information. This approach uses claim frequency and severity distributions of the claim data and combine them via Monte Carlo simulation to get the aggregate distribution of reserves. The reserve estimate from this method and from the triangular method called Chain Ladder were compared to the observed reserve from the dataset.in this research, the triangle-free method gave higher but closer estimate of the reserve while the chain ladder gave lower and far estimate from the value of reserve from the dataset.