Использование метода бутстрапа в оценке страховых резервов

С. 273–279.

Хорошавцева А. Г., Mironkina Y.

Nowadays insurance market is one of the most rapidly developing sectors of economy, the purpose of which is to protect the property interests of individuals and legal entities under ensuing of specific events (insured accidents) at the expense of monetary funds formed from insurance dues (insurance premiums) paid by them. Probabilistic nature of insured accidents as well as the uncertainty of the moment of their occurrence and the severity of losses leads to the necessity of forming loss reserves. Reserves for incurred but not reported claims (hereinafter referred to as IBNR reserves) seem to be the most challenging in terms of actuarial calculations. The following article provides the descriptions of various actuarial techniques of loss reserving and examples of their application to a real insurance portfolio.  In this paper the point estimating methods such as Chain Ladder, Bornhuetter-Fergusson, multiplicative techniques are compared with the stochastic method of Bootstrap and the most accurate estimate is determined using run-off analysis.

Keywords: страховая компания, страховые резервы, insurance company, bootstrap procedure, бутстрап, chain ladder, loss reservs, Bornhuetter-Fergusson, run-off analysis, метод цепной лестницы, метод Борнхуеттера-Фергюсона, run-off анализ

In book

Математическое моделирование в экономике, страховании и управлении рисками: сборник материалов IV Международной молодежной научно-практической конференции

Т. 1. , Саратов: Издательство Саратовского университета, 2015.