ANALYSIS OF MOTOR VEHICLE INSURANCE CLAIM RESERVE USING ROBUST CHAIN LADDER (STUDY CASE : PT. QWE)
Desnu Anggara Suwardi, Yogo Purwono
University of Indonesia
Abstract
in motor vehicle insurance business an insurer often needs to build up a reserve to ensure the company can fulfill its obligation. Chain ladder is one of the most widely used method in claim reserving. However, chain ladder method is very vulnerable to outlier. This study focused on claim reserving that resistant to outlier data by using robust chain ladder. There are two step to robustify chain ladder method. The first step is to detect outlier by using median as development factor to compute the residual, and adjust the outlying values. The second step is apply a classic chain ladder method to the adjusted data. This study show that robust chain ladder has a better result than a standard chain ladder method.
Keywords: Claim Reserving; Chain Ladder; Robust Chain Ladder; Motor Vehicle Insurance; outlier
Topic: Financial Management and Accounting