Estimating the Reserves in Insurance Companies: An Excel Application of the Chain-Ladder Method and Bootstrap
DOI:
https://doi.org/10.46661/revmetodoscuanteconempresa.2163Keywords:
Bootstrap, método Chain-Ladder, reservas, aseguradora, Excel, bootstrap, Chain-Ladder method, reserves, insurance com-pany, Excel.Abstract
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Insurance companies have to estimate reserves and provisions to cover the payment of either unreported claims or unsettled claims. In this paper, we apply the Chain-Ladder method to obtain a point estimate of reserves, and then we use the bootstrap technique to estimate the margin of error and the confidence interval of the reserves. Since estimating reserves is a real problem which insurance companies have to face, its solving has a special interest for students of Actuarial Sciences. To ease the understanding and monitoring the process, the Chain-Ladder method and bootstrap is run step by step by using an Excel application designed for that purpose.
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