A Study of Range of Reasonable Loss Reserve Estimates

• Main Authors: HSIU-YUAN CHANG, 張秀媛
• Other Authors: Jinn-Tyan Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/40053557682171478291

碩士 === 逢甲大學 === 統計與精算所 === 97 === The loss reserve is one of the most important liabilities in property-liability insurance companies, and it is closely related to property-liability insurance companies’ solvency and financial stability. Therefore, the estimation of loss reserve is an important issue. However, insurance law does not have a unifying standard for loss reserving methods. The loss reserve needs to be done through actuaries’ experiences and professional expertise. Most of the traditional loss reserving methods can not accurately calculate the expected value and the standard deviation of prediction errors. Hence, there are no objective standards to measure the accuracy of the ultimate losses. In addition, the Principle of Loss Reserving promulgates that the range of reasonable estimate is a range of estimates that would be produced by alternative sets of assumptions that the actuary judges to be reasonable, considering all information reviewed by the actuary. This article introduces methods of estimating loss reserve, such as Grossing Up method, Bornhuetter/Ferguson method, Cape Cod method etc and it then determines best estimate of ultimate losses from these methods. It thereby further considers the range of reasonable estimate of loss reserve.