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Combining chain-ladder claims reserving with fuzzy numbers |
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| Institution: | 1. School of Finance, Zhongnan University of Economics and Law, Nanhu Road, Wuhan, 430073, PR China;2. School of Economics, Fudan University, Guoquan Road, Shanghai 200433, PR China;3. School of Finance, Nankai University, Tongyuan Road, Tianjin, 300350, PR China;1. School of Economics, Ocean University of China, Qingdao 266100, China;2. Marine Development Studies Institute of OUC, Key Research Institute in University, Ministry of Education, Qingdao 266100, China;1. Biomechanics Research Group, TEMA, Department of Mechanical Engineering, University of Aveiro, Aveiro, Portugal;2. Université de Bordeaux, Institut de Mécanique et d’Ingénierie, CNRS UMR 5295, Talence, France |
| Abstract: | In this paper we extend the classical chain-ladder claims reserving method using fuzzy methods. Therefore, we derive new estimators for the claims development factors as well as new predictors for the ultimate claims. The advantage in using fuzzy numbers lies in the fact that the model uncertainty is directly included in and can be controlled by the “new” fuzzy claims development factors. We also provide an estimator for the uncertainty of the ultimate claims for single accident years and for aggregated accident years. |
| Keywords: | Claims reserving Chain-ladder model Fuzzy numbers Ultimate claims predictor Fuzzy uncertainty |
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