Stochastic Estimation Of Outstanding Claims Reserving Based On B-f Method

Non-life reserve is the money that the insurance company should be reserved or prepared to pay future claims according to the non-life insurance business and insurance contract.Reasonable estimates of outstanding claims reserve can not only reflect a actual achievement of insurance company, is the basis of scientific decision-making in the company management, and has a great influence to the development of a company.The main idea of the introduced models was based on B-F method.In the combination with chain-ladder method and loss development Cape Cod method,which considered both the chain ladder method to estimate the eventual losses, and the estimate of expectated final loss based on the balanced premium.Then we made the development factor of chainladder method as an random variable,and let it obey the lognormal distribution,combined with Cape Cod method to estimate reserves again, finally compares several methods by provided numerical illustrations.The first chapter, the background and research situation at home and abroad of Outstanding Claims Reserve are introducesd.And also introducing definition of Outstanding Claims Reserve simply.The second chapter,we mainly introduce some basic methods about the estimation of outstanding claims reserve. where,Chain ladder method and B-F method are the most basic method for deterministic model; loss development Cape-Cod method and logarithmic development factor method belong to the stochastic model.And the appearance of various models made the evaluation methods of outstanding claims reserve more abundant.The third chapter,we combined deterministic model and stochastic model,which constructed new model,such as model 1,model 2 and model 3.They not only used the known data, also considered some external information.The fourth chapter is empirical analysis, we use the data to the empirical analysis by our new model,and result that our new model is more reliable than previous methods.