Evalution Method Of Outstanding Claims Reserve

Outshanding claims reserve is the important part of the insurance companyreserves,and it is also one of the important works of the actuarial departments ofinsurance companies.Reserve is important because of the characteristic of theliabilities operating of the insurance companies.The amount of the reserve plays akey role on the future operations of the insurance companies.Setting aside too muchmay make a great impact on the investment income otherwise it may result in thebankruptcy of the insurance companies.The domestic situation is the lack ofhistorical data which wil result in centain problems encountered in the estimation ofdistribution function suitable for the specific situation of China.Outstanding claimsreserve assessment methods widely used, such as the chain ladder method areconvenient to compute, but traditional methods often encountering large changes ofthe data can not be an accurate estimate.In this paper, we consider the known data outliers. When we use the tradionalchain ladder method to estimate outstanding claims reserve, the calculating progressfactors will be greatly affected. The basic idea of this paper is to introduce the timeseries into the outstanding claims reserve-related problems. This acticle mainlyconsider the number of estimated claims. This article will innovate the originaliterative process of the Kalman fliter. The equation of state in the state space modelwill become the ARMA model considering the lagged affect of the state vector ofthe estimated parameters which means that the vector of parameters not only affectthe next issue. Moreover point out the advantages of this method over the chainladder method. Firstly, the known information can be repested used by the methodavoiding the waste of data. And also this method will change the parameter vectorconstantly in the iterative process based on the known information, which can makethe model more responsive to the changing environment,so that the predictive valuewill not arise rather large deviation due to major environmental changes. This paper consist of four parts:The first part makes an intro about the research background and significanceand introduces the impact on the insurance company’s operations due to outstandingclaims reserve assessment.The second part outlines the theoretical basis of the model of mathematicalstatistics and describes the iterative process of the model on claims number.The third part makes a specific description of the tradional chain ladder methodand innovation of the Kalman filtering method in the outstanding claims reserve area.The method used in this paper introduces the number of claims as an example.The fourth part is the empirical part by the specific example carried out in twoways fitting and forecasting and the results are compared.