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European Actuarial Journal
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28-08-2024 | Original Research Paper

Claim reserving via inverse probability weighting: a micro-level Chain-Ladder method

Authors: Sebastián Calcetero Vanegas, Andrei L. Badescu, X. Sheldon Lin

Published in: European Actuarial Journal | Issue 1/2025

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Abstract

The article discusses the crucial aspect of claim reserving in insurance, emphasizing the importance of accurate reserves for solvency and risk assessment. It highlights the limitations of macro-level models, such as the Chain-Ladder method, and introduces a novel approach using inverse probability weighting (IPW) to incorporate individual claim information. This methodology enhances the Chain-Ladder method by providing a more accurate and statistically justified reserve estimation. The article also outlines the theoretical foundation and practical implications of the IPW approach, demonstrating its advantages over traditional methods. Additionally, it provides a numerical study using real data from a European automobile insurance company, showcasing the practical application and benefits of the IPW methodology.
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Metadata
Title
Claim reserving via inverse probability weighting: a micro-level Chain-Ladder method
Authors
Sebastián Calcetero Vanegas
Andrei L. Badescu
X. Sheldon Lin
Publication date
28-08-2024
Publisher
Springer Berlin Heidelberg
Published in
European Actuarial Journal / Issue 1/2025
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-024-00395-3

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