A Chain-Ladder Analysis of P&I Claims - 2021

Authors

  • Nicholas G. Berketis J. Kouroutis & Co. Ltd. Insurance and Reinsurance Brokers, Piraeus, Greece, Frederick University, Cyprus, Athens University of Economics and Business, Athens, Greece, Marine Insurance at Lloyd’s Maritime Academy

DOI:

https://doi.org/10.14738/abr.116.14871

Keywords:

claim, CL method, run-off triangle, claim reserving, P. & I

Abstract

According to the latest Market Review for 2021/2022 prepared by Lockton: The latest financial results from the International Group of P&I Clubs suggests that we are now in the full swing of a hardening market with premium rises due to be requested over the next year or, perhaps, longer – whether this be due to individual Club performance or the renewal of the International Group General Excess of Loss programme, or both.

References

Berketis, Nicholas, G., (2019), “A Chain-Ladder Analysis of P&I Claims”, Journal of International Business and Economics, December, Vol. 7, No. 2, pp. 47-59 ISSN: 374-2208 (Print), 2374-2194 (Online). ISSN: 2374-2194 http://jibenet.com/journals/jibe/Vol_7_No_2_December_2019/5.pdf

Berketis, Nicholas, G., (2020), “A Chain-Ladder Analysis of P&I Claims”, Journal of Mathematics and Statistical Science (ISSN 2411-2518 USA), Vol.6, Issue 4, pp. 123-139 | Science Signpost Publishing http://www.ss-pub.org/wp- content/uploads/2020/04/JMSS2019103001.pdf

Berketis, Nicholas, G., (2020), “A Chain-Ladder Analysis of P&I Claims”, Archives of Business Research (ABR), tUnmKEEwkIsLNchHujtVU/view

Carrato, Alessandro, Concina, Fabio, Gesmann, Markus, Murphy, Dan, Wuthrich, Mario & Zhang, Wayne, (2018), “Claims Reserving with R: ChainLadder-0.2.9 Package Vignette”, 6, December.

England, P. D., & Verrall, Richard J., (2002), “Stochastic Claims Reserving in General Insurance”, Presented to the Institute of Actuaries, 28 January.

Lockton, (2021), “P&I Market Review 2021-2022”.

Mack, Thomas, (1993), “Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates”, ASTIN Bulletin, Vol. 23(2):213– 225.

Mack, Thomas, (1999), “The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor”. ASTIN Bulletin, Vol. 29(2): 361-366.

Merz, Michael and Mario V. W¨uthrich, (2014), “Claims Run-off Uncertainty: The Full Picture”, SSRN Manuscript, 2524352.

http://opensourcesoftware.casact.org/chain-ladder

Weindorfer, Bjorn, (2012), “A Practical Guide to the Use of the Chain-Ladder Method for Determining Technical Provisions for Outstanding Reporting Claims in Non-Life Insurance”, Working papers series by University of Applied science BFI Vienna, October, No. 77/2012. Presented on 06/05/2022 at the 3rd Conference of the Cyprus Statistical Society, Technical University of Cyprus, ii Limassol, Cyprus. Mack, Thomas, (1993), “Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates”, iii ASTIN Bulletin, Vol. 23(2): 213– 225. Mack, Thomas, (1999), “The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and iv Inclusion of a Tail Factor”. ASTIN Bulletin, Vol. 29(2): 361-366. England, P. D., & Verrall, Richard J., (2002), “Stochastic Claims Reserving in General Insurance”, Presented to the Institute of Actuaries, 28 January.

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Published

2023-06-20

How to Cite

Berketis, N. G. (2023). A Chain-Ladder Analysis of P&I Claims - 2021. Archives of Business Research, 11(6), 43–59. https://doi.org/10.14738/abr.116.14871