Claims Reserving under the Double Chain Ladder Model
Switch to a higher level of aggregation
Parameter estimation - DCL model using the BDCL method
Classical Chain Ladder Method
Claims Reserving under the Double Chain Ladder Model
Bootstrap distribution (the full cashflow) adding prior knowledge
Bootstrap distribution: the full cashflow
Parameter estimation - Double Chain Ladder model
Pointwise predictions (RBNS/IBNR split) adding prior knowledge
Pointwise predictions (RBNS/IBNR split)
Extracting information about zero-claims and severity inflation
Cumulative triangle
Incremental triangle
Parameter estimation - DCL model reproducing the incurred reserve.
Plotting the full cashflow (bootstrap distribution)
Plotting the estimated chain ladder parameters
Plotting the estimated parameters in the DCL model
Plotting an incremental run-off triangle
Back-test: testing against the experience
Statistical modelling and forecasting in claims reserving in non-life insurance under the Double Chain Ladder framework by Martinez-Miranda, Nielsen and Verrall (2012).