(Pontificia Universidad Católica del Perú, 2015-07-20) Mazuelos Vizcarra, Gisella Gabriela; Valdivieso Serrano, Luis Hilmar
This document is intented to deepen the study of univariate and multivariate Chain Ladder
methods for estimating reserves in an insurance company. It presents from a theoretical
and applicative perspective both the univariate deterministic and stochastic Chain Ladder
methods. Although, the first is the most used method by insurance companies due to its simplicity
and lack of probabilistic assumptions, the second, proposed by Mack (1993), allows
the construction of confidence intervals for the estimated reserves, which is invaluable for
researchers.
We also develop the General Multivariate Chain Ladder model, which has the basic
premise to analyze the possible relationship that may exist between different development
triangles, thus providing another tool to improve inferences and predictions of reserves.
These methods have been developed and applied to a database of 3 types of health insurance,
thus showing the advantages and disadvantages of each of them in different scenarios
and providing various tools for decision making in meeting the future obligations of insurance
companies.
