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The chain-ladder or development [1] method is a prominent [2] [3] actuarial loss reserving technique. The chain-ladder method is used in both the property and casualty [1] [4] and health insurance [5] fields. Its intent is to estimate incurred but not reported claims and project ultimate loss amounts. [5]
Actuarial notation is a shorthand method to allow actuaries to record mathematical formulas that deal with interest rates and life tables. Traditional notation uses a halo system , where symbols are placed as superscript or subscript before or after the main letter.
It is primarily used in the property and casualty [5] [9] and health insurance [2] fields. Generally considered a blend of the chain-ladder and expected claims loss reserving methods, [2] [8] [10] the Bornhuetter–Ferguson method uses both reported or paid losses as well as an a priori expected loss ratio to arrive at an ultimate loss estimate.
Credibility theory is a branch of actuarial mathematics concerned with determining risk premiums. [1] To achieve this, it uses mathematical models in an effort to forecast the ( expected ) number of insurance claims based on past observations.
The former definition may not be a coherent risk measure in general, however it is coherent if the underlying distribution is continuous. [4] The latter definition is a coherent risk measure. [3] TVaR accounts for the severity of the failure, not only the chance of failure. The TVaR is a measure of the expectation only in the tail of the ...
That is, if portfolio always has better values than portfolio under almost all scenarios then the risk of should be less than the risk of . [2] E.g. If is an in the money call option (or otherwise) on a stock, and is also an in the money call option with a lower strike price.
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[1] [2] Insurance claims, especially in long-tailed lines such as liability insurance, are often not paid out immediately. Claims adjusters set initial case reserves for claims; however, it is often impossible to predict immediately what the final amount of an insurance claim will be, [ 3 ] due to uncertainty around defense costs, settlement ...