Papers › Replicating and extending chain-ladder via an age-period-cohort structure on the claim...
Replicating and extending chain-ladder via an age-period-cohort structure on the claim development in a run-off triangle
Gabriele Pittarello, Munir Hiabu, Andrés M. Villegas
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This paper introduces yet another stochastic model replicating chain-ladder estimates and furthermore considers extensions that add flexibility to the modeling. In its simplest form, the proposed model replicates the chain-ladder's development factors using a GLM model with averaged hazard rates running in reversed development time as response. This is in contrast to the existing reserving literature within the GLM framework where claim amounts are modeled as response. Modeling the averaged hazard rate corresponds to modeling the claim development and is arguably closer to the actual chain-ladder algorithm. Furthermore, since exposure does not need to be modeled, the model only has half the number of parameters compared to when modeling the claim amounts. This lesser complexity can be used to easily introduce model extensions that may better fit the data. We provide a new R-package, clmplus, where the models are implemented and can be fed with run-off triangles. We conduct an empirical study on 30 publicly available run-off triangles making a case for the benefit of having clmplus in the actuary's toolbox.
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