Chain Ladder Excel Caritat

Fortis Bank Insurance
Corporate Actuarial Control
The chain ladder method

Calculation of the proportionality factors.
The cumulative run-off triangle
Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
5
4,456
The d run-off triangle

Year of origin
0
1
2
3
4
5
6
0
1.362
1.384
1.381
1.396
1.378
#DIV/0!
1
1.009
1.008
1.010
1.017
#DIV/0!
0.9957
pj
Tot. Loss
Tol. Increm.
Development year
2
3
4
1.004
1.002
1.005
1.005
1.002
1.004
0.9981
0.9953
98.914%
98.914%
98.914%
0.000%
1.00434
98.914%
0.000%
1.00186
99.344%
0.430%
1.00474
99.529%
0.185%
24,832
169%
24,832
169%
27,087
185%
2,255
15%
20,525
140%
(6,562)
-45%
20,614
141%
89
1%
14,595
100%
38
0%
DEVELOPMENT FACTORS
DEVELOPMENT RATIOS
DEVELOPMENT PERCENTAG
14,664
100%
98
1%
14,664
100%
0%
4
7
10
5
21
The incremental run-off triangle

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865
Development year
2
3
39
17
37
24
53
22
103
Completion of the cumulative run-off triangle

Method 1 (using the proportionality factors p i,i+1)
Year of origin
Loss Reserving Techniques in Non-Life

(E. Van den Borre)
Development year
2
3
1

0
1
2
3
4
5
6
3,209
3,367
3,871
4,239
4,929
5,217
4,372.00
4,659.00
5,345.00
5,917.00
6,794.00
4,411.00
4,696.00
5,398.00
6,020.00
0.00
4,428.00
4,720.00
5,420.00
6,046.15
0.00
0.00
4,435.00
4,730.00
5,430.07
0.00
0.00
4,456.00
4,752.40
5,455.78
0.00
0.00
0.00
4,456.00
4,752.40
5,455.78
0.00
0.00
0.00
1
4,372
4,659
5,345
5,917
6,794
0.00
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420 5,430.07
6,020 6,046.15 6,057.38
0.00
0.00
0.00
0.00
0.00
0.00
5
4,456
4,752.40
5,455.78
6,086.06
0.00
0.00
6
4,456.00
4,752.40
5,455.78
6,086.06
0.00
0.00
1
1,163
1,292
1,474
1,678
1,865
(5,217.00)
Development year
2
3
4
39
17
7
37
24
10
53
22
10.07
103
26.15
11.24
###
-
5
21
22.40
25.71
28.68
-
Method 2 (using the proportionality factors p 1,i)

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
6
-
Estimated Reserves
Year of origin Reserve Reserve
0
0
0
1
22
22
2
36
36
3
66
4
(6,794.00)
5
-5,217
-5,217
Total:
The d-triangle

(E. Van den Borre)

Year of origin
0
1
2
3
4
5
6
0
1.362
1.384
1.381
1.396
1.378
-
1
1.009
1.008
1.010
1.017
#DIV/0!

(E. Van den Borre)
Development year
2
3
4
1.004
1.002
1.005
1.005
1.002
1.005
1.004
1.002
1.005
1.004
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
5
1.000
1.000
1.000
#DIV/0!
#DIV/0!
#DIV/0!

DEVELOPMENT FACTORS
DEVELOPMENT RATIOS
DEVELOPMENT PERCENTAGES
141.5%

(E. Van den Borre)


(E. Van den Borre)


(E. Van den Borre)

The (old) chain ladder method

Here the proportionality factors are the mean of empirical proportionality factors.
Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
5
4,456
5
21
6,250
7,000
6,050
f(x) = 1.4039538088x
1.3814972301x - 90.3107918789
6,500
f(x) = 1.0404611982x
1.011835442x - 147.2697736397
5,850
5,650
6,000
5,450
5,250
5,500
5,050
5,000
4,850
4,650
4,500
4,450
4,250
4,000
3,000
3,500
4,000
4,500
5,000
5,500
4,000
4,500
5,000
5,500
6,000
6,500

Year of origin
0
1
2
3
4
5
6
0
1.362
1.384
1.381
1.396
1.378
1
1.009
1.008
1.010
1.017
pj
Development year
2
3
4
1.004
1.002
1.005
1.005
1.002
1.004
1.00435
1.00185
1.00474

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865

(E. Van den Borre)
Development year
2
3
39
17
37
24
53
22
103
4
7
10
The chain ladder method (2)


Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372.00
4,659.00
5,345.00
5,917.00
6,794.00
0.00
Development year
2
3
4
4,411.00 4,428.00 4,435.00
4,696.00 4,720.00 4,730.00
5,398.00 5,420.00 5,430.03
6,020.00 6,046.17 6,057.35
0.00
0.00
0.00
0.00
0.00
5
4,456.00
4,752.40
5,455.74
6,086.03
0.00
0.00
6
4,456.00
4,752.40
5,455.74
6,086.03
0.00
0.00
6
4,456.00
4,752.40
5,455.74
6,086.03
0.00
0.00
Method 2 (using the proportionality factors p 1,i)

Year of origin
0
1
2
3
4
5
6
1
4,372
4,659
5,345
5,917
6,794
0.00
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420 5,430.03
6,020 6,046.17 6,057.35
0.00
0.00
0.00
0.00
0.00
0.00
5
4,456
4,752.40
5,455.74
6,086.03
0.00
0.00
1
1,163
1,292
1,474
1,678
1,865
(5,217.00)
Development year
2
3
4
39
17
7
37
24
10
53
22
10.03
103
26.17
11.18
###
-
5
21
22.40
25.71
28.68
-
0
3,209
3,367
3,871
4,239
4,929
5,217

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
Estimated Reserves
Year of origin Reserve Reserve
0
0
0
1
22
22
2
36
36
3
66
66
4
-6,794
5
-5,217
-5,217
Total:
-11,886.8
6
-
(Official Chain Ladder : )
The d-triangle

(E. Van den Borre)

Year of origin
0
1
2
3
4
5
6
0
1.362
1.384
1.381
1.396
1.378
-
1
1.009
1.008
1.010
1.017
#DIV/0!

(E. Van den Borre)
Development year
2
3
4
1.004
1.002
1.005
1.005
1.002
1.005
1.004
1.002
1.005
1.004
1.002
1.005
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
5
1.000
1.000
1.000
1.000
#DIV/0!
#DIV/0!


(E. Van den Borre)
10


(E. Van den Borre)
11


(E. Van den Borre)
12

The (old) chain ladder method

Here the proportionality factors are the mean of empirical proportionality factors.
Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
1.38093
1.01143
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
5
4,456
5
4,456.00
4,752.40
5,455.78
6,086.06
6,947.08
7,366.66
6
4,456.00
4,752.40
5,455.78
6,086.06
6,947.08
7,366.66
0
5
,2
6
,0
7
6
5
,0
3
0
.4
1
f(x)=
-7
8
5
9
8
.3
1
f(x)=
0
2
7
9
4
4
.0
1
f(x)=
3
-7
2
8
9
6
6
0
,5
.0
1
f(x)=
2
4
5
3
8
0
,8
5
1.00434
1.00186
1.00474
0
,6
5
,0
6
0
,4
5
0
,2
5
,0
5
,0
5
5
,0
0
5
,8
4
0
5
,6
4
0
,5
4
0
,5
4
0
5
,2
4
,0
4
,0
8
,0
5
,0
4
,0
3
Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372.00
4,659.00
5,345.00
5,917.00
6,794.00
7,204.33
Reserves

(E. Van den Borre)
Development year
2
3
4
4,411.00 4,428.00 4,435.00
4,696.00 4,720.00 4,730.00
5,398.00 5,420.00 5,430.07
6,020.00 6,046.15 6,057.38
6,871.67 6,901.52 6,914.34
7,286.69 7,318.34 7,331.94
0 0.004713 0.006559 0.01085507 0.022036

4591
4672
4863
5175
5673
0 22.01795 31.89587 56.1749909 125.0083
0.0
24.6
35.6
62.7
139.6
13
cape code

PREMIUM
4591
4672
4863
5175
5673
6431
4,456.00
4,752.40
5,455.78
6,086.06
6,947.08
7,366.66
LOSS RATIO
35,063.99
31405
111.65%
0
0.004713
0.006559
0.010855
0.022036
0.291809
PREMIUM
4,591
4,672
4,863
5,175
5,673
6,431
0.0
22.0
31.9
56.2
125.0
1876.6
0
25
36
63
140
2095
2358
0.291809
6431
1876.623
2095.3

(E. Van den Borre)
14
cape code


Year of origin
0
1
2
3
4
5
6
Year of origin
0
1
2
3
4
5
6
Year of origin
0
1
2
3
4
5
6
Year of origin
0
1
2
3
4
5
6
Year of origin
0
1
2
3
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
0
1.362
1.373
1.376
1.382
1.381
1
1.009
1.008
1.009
1.011
0
3,209
3,367
3,871
4,239
4,929
1
4,372
4,659
5,345
5,917
6,811
0
3,209
3,367
3,871
4,239
1
4,372
4,659
5,345
5,833
0
3,209
3,367
3,871
1
4,372
4,659
5,316

(E. Van den Borre)
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
5
4,456
Development year
2
3
4
1.004
1.002
1.005
1.005
1.002
1.004
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,727
5,398
5,422
5,970
Development year
2
3
4,411
4,428
4,696
4,714
5,390
Development year
2
3
4,411
4,701
15
Boni-Mali (chain ladder)

4
5
6
Year of origin
Development year
2
3
4
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
5
#REF!
#REF!
#REF!
#REF!
#REF!
6
#REF!
#REF!
#REF!
#REF!
#REF!
Previous estimation (without any correction for year 0)

Development year
Year of origin
0
1
2
3
4
0
3,209
#REF!
#REF!
#REF!
#REF!
1
3,367
#REF!
#REF!
#REF!
#REF!
2
3,871
#REF!
#REF!
#REF!
#REF!
3
4,239
#REF!
#REF!
#REF!
#REF!
4
4,929
6,811 6,871.97 6,902.91 6,913.82
5
#REF!
#REF!
#REF!
#REF!
6,913.82
6
#REF!
#REF!
#REF!
#REF!
6,913.82
Year of origin
0
1
2
3
4
1
4,372
4,587
0
3,209
3,367
3,871
4,239
4,929
1
#REF!
#REF!
#REF!
#REF!
#REF!
Development year
2
3
0
1
2
3
4
5
6
0
3,209
3,367
Previous estimation (without correction for year 0)

Development year
Year of origin
0
1
2
3
4
0
3,209
#REF!
#REF!
#REF!
#REF!
1
3,367
#REF!
#REF!
#REF!
#REF!
2
3,871
#REF!
#REF!
#REF!
#REF!
3
4,239
#REF!
#REF!
#REF!
#REF!
4
4,929
6,811 6,871.97 6,902.91 6,913.82

(E. Van den Borre)
16
0.5%
5
#REF!
#REF!
#REF!
#REF!
6,948.39
6
#REF!
#REF!
#REF!
#REF!
6,948.39

Year of ori
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865
Year of ori
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
1
1,163
1,292
1,474
1,678
1,882
Year of ori
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
1
1,163
1,292
1,474
1,594
Year of ori
0
1
2
3
0
3,209
3,367
3,871
1
1,163
1,292
1,445

(E. Van den Borre)
Development year
2
3
39
17
37
24
53
22
103
Development year
2
3
39
17
37
24
53
24
53
-
Development year
2
3
39
17
37
18
45
Development year
2
3
39
42
17
4
7
10
5
21
4
7
7

4
5
6
Year of ori
0
1
2
3
4
5
6
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
#REF!
0
3,209
3,367

(E. Van den Borre)
1
1,163
1,220
Development year
2
3
18

Difference
3
(2)
50
187
237
Difference
6
8
204
218
Difference
(5)
182
177
Difference
72

(E. Van den Borre)
19


(E. Van den Borre)
20
Formation Caritat, 2008
The chain ladder method, Average cost

Number of claims
Year of origin
0
1
2
3
4
5
6
Year of origin
0
1
2
3
4
5
6
Development year
2
3
1,047.5
1,047.7
1,028.7
1,028.9
967.8
970.1
986.8
0
1,043.4
1,043.0
965.1
977.0
1,099.0
1,076.3
1
1,045.5
1,027.1
967.9
984.7
1,118.5
4
1,047.7
1,028.7
5
1,047.7
1.00316
1.00139
1.00089
0.99990
1.00000
0
1,043
1,043
965
977
1,099
1,076
1
1,045.50
1,027.10
967.90
984.70
1,118.50
1,079.70
Development year
2
3
1,047.50 1,047.70
1,028.70 1,028.90
967.80
970.10
986.80
987.68
1,120.06 1,121.05
1,081.20 1,082.16
4
1,047.70
1,028.70
970.01
987.58
1,120.94
1,082.06
5
1,047.70
1,028.70
970.01
987.58
1,120.94
1,082.06
6
1,047.70
1,028.70
970.01
987.58
1,120.94
1,082.06
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
4
4,435
4,730
5
4,456
1.38093
1.01143
0
3,209
3,367
1
4,372.00
4,659.00
5
4,456.00
4,752.40
6
4,456.00
4,752.40
Paid losses
Year of origin
0
1
2
3
4
5
6
Year of origin
0
1

(arthur.charpentier@univ-rennes1.fr)
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
1.00434
1.00186
1.00474
Development year
2
3
4,411.00 4,428.00
4,696.00 4,720.00
4
4,435.00
4,730.00
21
Chain ladder, average cost
2
3
4
5
6
3,871
4,239
4,929
5,217
5,345.00
5,917.00
6,794.00
7,204.33
5,398.00
6,020.00
6,871.67
7,286.69
5,420.00
6,046.15
6,901.52
7,318.34
5,430.07
6,057.38
6,914.34
7,331.94
5,455.78
6,086.06
6,947.08
7,366.66
5,455.78
6,086.06
6,947.08
7,366.66
0
4,975
5,135
5,681
6,272
7,326
7,353
1
4,629
4,949
5,631
6,198
7,087
4
4,456
4,750
5
4,456
0.96955
0.97646
0.99513
0.99740
1.00000
0
4,975
5,135
5,681
6,272
7,326
7,353
1
4,629.00
4,949.00
5,631.00
6,198.00
7,087.00
7,129.07
Development year
2
3
4,497.00 4,470.00
4,783.00 4,760.00
5,492.00 5,470.00
6,131.00 6,101.12
6,920.15 6,886.42
6,961.23 6,927.30
4
4,456.00
4,750.00
5,455.78
6,085.25
6,868.51
6,909.29
5
4,456.00
4,750.00
5,455.78
6,085.25
6,868.51
6,909.29
6
4,456.00
4,750.00
5,455.78
6,085.25
6,868.51
6,909.29
Incurred losses
Year of origin
0
1
2
3
4
5
6
Year of origin
0
1
2
3
4
5
6
0
1
2
3
4
5
Development year
2
3
4,497
4,470
4,783
4,760
5,492
5,470
6,131
NUMBER
AV. COST (I)
AV. COST (TOT. COSTTOT. COSTLATEST RES (I)
1,047.70
4.25
4.25
4456
4456
4,456
1,028.70
4.62
4.62
4750
4752
4,730
20
970.01
5.62
5.62
5456
5456
5,420
36
987.58
6.16
6.16
6085
6085
6,020
65
1,120.94
6.13
6.20
6869
6947
6,794
75
1,082.06
6.38
6.80
6908
7360
5,217
1,691
Total

22
1,886
AVERAGE Paid losses
Year of ori
0
1
2
3
4
5
6
Year of ori
0
1
0
3.08
3.23
4.01
4.34
4.48
4.85
1
4.18
4.54
5.52
6.01
6.07
1.37541
1.01013
0
3.08
3.23
1
4.18
4.54

Development year
2
3
4
4.21
4.23
4.23
4.56
4.59
4.60
5.58
5.59
6.10
1.00330
1.00196
5
4.25
4.62
6
4.25
4.62
1.00474
Development year
2
3
4.21
4.23
4.56
4.59
23
5
4.25
4
4.23
4.60
2
3
4
5
6
4.01
4.34
4.48
4.85
5.52
6.01
6.07
6.67
5.58
6.10
6.14
6.73
5.59
6.12
6.16
6.76
5.60
6.13
6.17
6.77
5.62
6.16
6.20
6.80
5.62
6.16
6.20
6.80
5
4.25
5
4.25
4.62
5.62
6.16
6.13
6.38
6
4.25
4.62
5.62
6.16
6.13
6.38
AVERAGE Incurred losses
Year of ori
0
1
2
3
4
5
6
Year of ori
0
1
2
3
4
5
6
0
4.77
4.92
5.89
6.42
6.67
6.83
1
4.43
4.82
5.82
6.29
6.34
0.96618
0.97530
0
4.77
4.92
5.89
6.42
6.67
6.83
1
4.43
4.82
5.82
6.29
6.34
6.60
Development year
2
3
4
4.29
4.27
4.25
4.65
4.63
4.62
5.67
5.64
6.21
0.99412
0.99751
1.00000
Development year
2
3
4.29
4.27
4.65
4.63
5.67
5.64
6.21
6.18
6.18
6.14
6.44
6.40
4
4.25
4.62
5.62
6.16
6.13
6.38
RES (P)
22
36
65
153
2,143
2,419

24

The chain ladder method, Variant I

Estimation of the linear least square parameters
The d-triangle
Year of origin
0
1.362
1.384
1.381
1.396
1.378
0
1
2
3
4
5
6
Method 1 (using Excel functions)

a0
column 0:
column 1:
column 2:
column 3:
1.3714
a1
0.0027
b1
1.0069
a2
0.0001
b2
1.0042
a3
0.0005
column 4:
Method 2 (using formulas)
column 0:
n
xi
yi
xiyi
column 2:
column 3:
5.0
10.0
6.9
13.8
30.0
0.0044
1.3714
4.0
6.0
4.0
6.1
xi)2
14.0
a1
0.0027
b1
1.0069
n
xi
yi
xiyi
3.0
3.0
3.0
3.0
xi)2
5.0
a2
0.0001
b2
1.0042
2.0

(E. Van den Borre)
1.0016
1 (no least square regression needed)
xi)2
a0
b0
n
xi
yi
xiyi
4
1.005
0.0044
b0
b3
column 1:
1
1.009
1.008
1.010
1.017
Development year
2
3
1.004
1.002
1.005
1.002
1.004
25
Chain ladder, Variant I

xi
yi
xiyi
xi)2
a3
b3
column 4:
1.0
2.0
1.0
1.0
0.0005
1.0016
1.0047 (no least square regression needed)
Completion of the d-triangle

Year of origin
0
1
2
3
4
5
6
0
1.3624
1.3837
1.3808
1.3958
1.3784
1.3934
1.0206
Development year
2
3
1.0039
1.0016
1.0051
1.0021
1.0041
1.0027
1.0046
1.0032
1.0047
1.0037
1.0048
1.0043
4
1.0047
1.0047
1.0047
1.0047
1.0047
1.0047
5
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1
1.0089
1.0079
1.0099
1.0174
1.0179
1.0206
Development year
2
3
1.0039
1.0016
1.0051
1.0021
1.0041
1.0027
1.0046
1.0032
1.0047
1.0037
1.0048
1.0043
4
1.0047
1.0047
1.0047
1.0047
1.0047
1.0047
5
1.0000
1.0000
1.0000
1.0000
1.0000
1.0000
1
4,372
4,659
5,345
5,917
6,794
7,270
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
6,048
6,916
7,420
7,455
4
4,435
4,730
5,434
6,067
7,487
5
4,456
4,752
5,460
6,096
7,523
1
1,163
1,292
1,474
1,678
1,865
2,053
Development year
2
3
39
17
37
24
53
22
103
28
122
(6,916)
150
36
4
7
10
14
19
32
5
21
22
26
29
35
1
1.0089
1.0079
1.0099
1.0174
Method 2 (using formulas)

Year of origin
0
1
2
3
4
5
6
0
1.3624
1.3837
1.3808
1.3958
1.3784
1.3934
The completed cumulative run-off triangle

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
The completed incremental run-off triangle

Year of origin
0
1
2
3
4
5
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
26

6
Estimated Reserves
Year of origin
Reserve
0
0
1
22
2
40
3
76
4
-6,794
5
2,306
Total:
-4,350

(E. Van den Borre)
27


(E. Van den Borre)
28

6
4,456
4,752
5,460
6,096
7,523
6
(E. Van den Borre)
29


(E. Van den Borre)
30

The chain ladder method, Variant II

Calculation of the weighted average of each column (w ij =( i+j+1)2)
The d-triangle
Year of origin
0
1
2
3
4
5
6
0
0.930
0.964
0.991
0.988
0.967
1
0.971
0.966
0.975
0.989
Development year
2
3
4
0.994
0.997
1.000
0.995
0.998
0.996
Calculation d0
t-j
j
5
0
wi0
i
0
1
2
3
4
di0
1
2
3
4
5
Calculation d1
t-j
0.9305
0.9638
0.9912
0.9882
0.9674
wi0*di0
0.930452
1.927556
2.973596
3.952806
4.836882
d0
0.974753
di1
wi1*di1
1.942968
2.899374
3.901261
4.94595
1
wi1
i
0
1
2
3
2
3
4
5
0.9715
0.9665
0.9753
0.9892
d1
0.977825
Calculation d2
t-j
j
4
2
wi2
i
0
1
2
di2
3
4
5
wi2*di2
0.9940 2.981988
0.9952 3.980765
0.9960 4.979971
d2
Calculation d3
t-j
j
0.995227
3
3

(E. Van den Borre)
31
Chain ladder, Variant II

wi3
i
0
1
di3
4
5
wi3*di3
0.9969 3.987472
0.9979 4.989496
d3
Calculation d4
t-j
j
0.997441
2
4
wi4
i
0
di4
5
wi1*di4
1.0000
d4
Completion of the d-triangle

d0
0.9748
d1
0.9778
d2
0.9952
d3
0.9974
d4
1.0000
1.0000
d5
Year of origin
0
1
2
3
4
5
6
0
0.930
0.964
0.991
0.988
0.967
0.975
1
0.971
0.966
0.975
0.989
0.978
0.978
Development year
2
3
0.994
0.997
0.995
0.998
0.996
0.997
0.997
0.997
0.997
4
1.000
1.000
1.000
1.000
1.000
1.000
5
1.000
1.000
1.000
1.000
1.000
1.000
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
5,406
6,020
6,643
4,973
-
5
4,456
4,730
5,406
-
6
4,456
4,730
5,406
-
The completed cumulative triangle

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
5,085

Year of origin
0
1
2
3
4
5
0
3,209
3,366
3,869
4,236
4,925
5,212
1
1,163
1,292
1,474
1,678
1,865
(132)

(E. Van den Borre)
Development year
2
3
39
17
37
24
53
22
103
(6,020)
(151)
(6,643)
(113)
(4,973)
32
4
7
10
(14)
-
5
21
-
6


(E. Van den Borre)
33

Estimated Reserves
Year of origin Reserve
0
0
1
0
2
-14
3
-6,020
4
-6,794
5
-5,217
Total:
-18,045

(E. Van den Borre)
34

The chain ladder method, Variant III

The logarithm of the cumulative run-off triangle.
Development year
Year of origin
0
1
2
3
0
3,209
4,372
4,411
4,428
1
3,367
4,659
4,696
4,720
2
3,871
5,345
5,398
5,420
3
4,239
5,917
6,020
4
4,929
6,794
5
5,217
6
4
4,435
4,730
5
4,456
4
8.40
8.46
5
8.40
ln(Cumulative triangle)
Year of origin
0
8.07
8.12
8.26
8.35
8.50
8.56
0
1
2
3
4
5
6
1
8.38
8.45
8.58
8.69
8.82
Development year
2
3
8.39
8.40
8.45
8.46
8.59
8.60
8.70
Estimation of the lineair least square parameters

column 0:
0.104684923
a0
8.050189709
column 1:
0.112066733
column 2:
a1
8.360432289
0.107227495
column 3:
a2
8.374896106
0.1010739
column 4:
a3
8.383298922
0.064397587
column 5:
a4
8.397282895
Err:504
a5
Err:504
Estimation of the cost level adjustment factors
0.1047
0.1121
0.1072
0.1011
0.0644
Err:504

(E. Van den Borre)
1.110361
1.118588
1.113187
1.106358
1.066516
Err:504
35
Chain ladder, Variant III

Cost level adjustment of the incremental run-off triangle

Development year
Year of origin
0
1
2
3
0
3,209
1,163
39
17
1
3,367
1,292
37
24
2
3,871
1,474
53
22
3
4,239
1,678
103
4
4,929
1,865
5
5,217
6
n-(i+j)
4
7
10
5
21
4
1.00
0.00
5
0.00
4
7.47
10.00
5
Err:504
(n = 6)
Year of origin
0
5.00
4.00
3.00
2.00
1.00
0.00
1
4.00
3.00
2.00
1.00
0.00
0
5,416.14
5,117.99
5,299.26
5,226.27
5,472.97
5,217.00
1
1,820.79
1,808.31
1,844.32
1,876.99
1,865.00
0
1
2
3
4
5
6
Development year
2
3
3.00
2.00
2.00
1.00
1.00
0.00
0.00
The x'-run-off triangle

Year of origin
0
1
2
3
4
5
6
Completion of the x'-run-off-triangle

column 0
j
0
n-j
6
w
x'i,0
i
i,0
0
1
2
3
4
5
6
x'0
1
2
3
4
5
6
7
28
5,416.14
5,117.99
5,299.26
5,226.27
5,472.97
5,217.00
0.00
Development year
2
3
53.80
20.81
45.85
26.55
59.00
22.00
103.00
wi,0 x'i,0
5416.143
10235.98
15897.79
20905.07
27364.84
31302
0
111121.8
3968.6364

(E. Van den Borre)
36

column 1
j
n-j
1
5
wi,01
i
0
1
2
3
4
5
x'1
wi,0 x'i,1
1,820.79
1,808.31
1,844.32
1,876.99
1,865.00
0.00
3641.578
5424.924
7377.299
9384.949
11190
0
37018.75
1371.0648
column 2
j
n-j
2
4
wi,2
i
0
1
2
3
4
x'2
column 3
j
n-j
x'i,2
3
4
5
6
7
25
53.80
45.85
59.00
103.00
0.00
wi,2 x'i,2
161.3953
183.3996
294.9947
618
0
1257.79
20.81
26.55
22.00
0.00
wi,3 x'i,3
83.23397
132.763
132
0
347.997
50.311581
3
3
wi,3
i
0
1
2
3
x'3
x'i,3
4
5
6
7
22
15.818044
column 4
j
n-j
4
2
wi,4
i
0
1
2
x'4
x'i,4
5
6
7
18
wi,4 x'i,4
7.47 37.32807
10.00
60
0.00
0
97.32807
5.4071151
column 5
j
n-j
5
1
wi,5
i
0
1
x'5
x'i,1
2
3
4
5
6
7
27
x'i,5
6
7
13
wi,5 x'i,5
Err:504
0.00
Err:504
0
Err:504
Err:504

(E. Van den Borre)
37

column 6
j
n-j
6
0
wi,6
i
0
x'6
x'i,6
wi,6 x'i,6
7
7
0.00
0
0
The completed x'-run-off triangle

Year of origin
0
1
2
3
4
5
6
0
5,416.14
5,117.99
5,299.26
5,226.27
5,472.97
5,217.00
Development year
2
3
53.80
20.81
45.85
26.55
59.00
22.00
103.00
15.82
50.31
15.82
50.31
15.82
4
7.47
10.00
5.41
5.41
5.41
5.41
5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
6
0.00
0.00
0.00
0.00
0.00
0.00
Development year
2
3
-3.00
-2.00
-2.00
-1.00
-1.00
0.00
0.00
1.00
1.00
2.00
2.00
3.00
4
-1.00
0.00
1.00
2.00
3.00
4.00
5
0.00
1.00
2.00
3.00
4.00
5.00
Development year
2
3
39.00
17.00
37.00
24.00
53.00
22.00
103.00
17.50
56.01
19.36
62.35
21.42
4
7.00
10.00
5.77
6.15
6.56
7.00
5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Development year
2
3
4
4,411.00 4,428.00 4,435.00
4,696.00 4,720.00 4,730.00
5,398.00 5,420.00 5,425.77
6,020.00 6,037.50 6,043.65
6,850.01 6,869.37 6,875.93
6,813.00 6,834.42 6,841.42
5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
6
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
1
1,820.79
1,808.31
1,844.32
1,876.99
1,865.00
1,371.06
Reversion of the cost level adjustment

i+j-n
Year of origin
0
1
2
3
4
5
6
0
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1
-4.00
-3.00
-2.00
-1.00
0.00
1.00

Year of origin
0
1
2
3
4
5
6
0
3,209.00
3,367.00
3,871.00
4,239.00
4,929.00
5,217.00
1
1,163.00
1,292.00
1,474.00
1,678.00
1,865.00
1,533.66

Year of origin
0
1
2
3
4
5
6
0
3,209.00
3,367.00
3,871.00
4,239.00
4,929.00
5,217.00
1
4,372.00
4,659.00
5,345.00
5,917.00
6,794.00
6,750.66

(E. Van den Borre)
38

Estimated Reserves
0
Err:504
1
Err:504
2
Err:504
3
Err:504
4
Err:504
5
Err:504
Total:
Err:504

(E. Van den Borre)
39

The chain ladder method, Variant IV

The logarithm of the cumulative run-off triangle.
Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
0
8.07
8.12
8.26
8.35
8.50
8.56
1
8.38
8.45
8.58
8.69
8.82
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
4
4,435
4,730
5
4,456
4
8.40
8.46
5
8.40
ln(Cumulative triangle)
Year of origin
0
1
2
3
4
5
6
Development year
2
3
8.39
8.40
8.45
8.46
8.59
8.60
8.70
Estimation of the lineair least square parameters

a0
column 0:
0.104684923
column 1:
column 2:
column 3:
column 4:
column 5:
b0
8.050189709
a1
0.112066733
b1
8.360432289
a2
0.107227495
b2
8.374896106
a3
0.1010739
b3
8.383298922
a4
0.064397587
b4
8.397282895
a5
Err:504
b5
Err:504
Estimation of the cost level adjustment factors

wj
j
w0
w1
w2
0
1
2
25
1.110361
16
1.118588
1.113187
1.106358
1.066516
w3
w4

(E. Van den Borre)
40
Chain ladder, Variant IV

w5
5
sum
0
55
0.1046849
'
Err:504
Err:504
Err:504
w0
27.75902
17.8974
0.1120667
'
Err:504
w1
0.1072275
0.1010739
'
'
Err:504
Err:504
w2
w3
10.01869
4.425434
0.0643976
'
Err:504
w4
1.066516
Err:504
'
Err:504
w5
Err:504
Err:504
sum
Cost level adjustment of the incremental run-off triangle
Development year
Year of origin
0
1
2
3
0
3,209
4,372
4,411
4,428
1
3,367
4,659
4,696
4,720
2
3,871
5,345
5,398
5,420
3
4,239
5,917
6,020
4
4,929
6,794
5
5,217
6
n-(i+j)
4
4,435
4,730
5
4,456
4
1
0
5
0
(n = 5)
Year of origin
0
1
2
3
4
5
6
0
5
4
3
2
1
0
1
4
3
2
1
0
0
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
1
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Development year
2
3
3
2
2
1
1
0
0
x'-run-off triangle
Year of origin
0
1
2
3
4
5
6
Development year
2
3
4
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
5
6
Err:504 #VALUE!
Err:504
Completion of the x'-run-off triangle

(E. Van den Borre)
41

column 0
j
n-j
0
6
wi,0
i
0
1
2
3
4
5
6
x'0
column 1
j
n-j
wi,0 x'i,0
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
1
5
wi,01
i
0
1
2
3
4
5
x'i,1
2
3
4
5
6
7
27
x'1
wi,0 x'i,1
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
column 2
j
n-j
2
4
wi,2
i
0
1
2
3
4
x'i,2
3
4
5
6
7
25
x'2
wi,2 x'i,2
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
column 3
j
n-j
3
3
wi,3
i
0
1
2
3
x'3
x'i,0
1
2
3
4
5
6
7
28
x'i,3
4
5
6
7
22
wi,3 x'i,3
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
column 4

(E. Van den Borre)
42

j
n-j
4
2
wi,4
i
0
1
2
x'i,4
5
6
7
18
x'4
wi,4 x'i,4
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
column 5
j
n-j
5
1
wi,5
i
0
1
x'i,5
6
7
13
x'5
column 6
j
n-j
wi,5 x'i,5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
6
0
wi,6
i
0
x'6
x'i,6
7
7
wi,6 x'i,6
#VALUE! #VALUE!
#VALUE!
#VALUE!
The completed x'-run-off triangle

Year of origin
0
1
2
3
4
5
6
0
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
1
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Development year
2
3
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
4
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Development year
2
3
-4.00
-3.00
-3.00
-2.00
-2.00
-1.00
-1.00
0.00
0.00
1.00
1.00
2.00
2.00
3.00
4
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6
0.00
1.00
2.00
3.00
4.00
5.00
6.00
Reversion of the cost-level adjustment

i+j-n
Year of origin
0
1
2
3
4
5
6
0
-6.00
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00

(E. Van den Borre)
43

Year of origin
0
1
2
3
4
5
6
0
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
1
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Development year
2
3
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
4
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Development year
2
3
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
4
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
5
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
6
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504

Year of origin
0
1
2
3
4
5
6
0
2,062.00
2,031.00
2,164.00
2,320.00
2,462.00
2,651.00
3,084.00
1
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Err:504
Estimated Reserves
Year of origin
Reserve
0
0.0
1
Err:504
2
Err:504
3
Err:504
4
Err:504
5
Err:504
6
Err:504
Total:
Err:504

(E. Van den Borre)
44


The final loss run-off triangle
Year of origin
0
1
2
3
4
5
6
pj
0
4,975
5,135
5,681
6,272
7,326
7,353
1
4,629
4,949
5,631
6,198
7,087
1.0314
1.0241
0.96955
0.97646
Development year
2
3
4
4,497
4,470
4,456
4,783
4,760
4,750
5,492
5,470
6,131
1.0049
0.99513
1.0026
0.99740
5
4,456
1.0000
1.00000
DEVELOPMENT FAC

Year of origin
0
1
2
3
4
5
6
TOTAL
1
4,629.00
4,949.00
5,631.00
6,198.00
7,087.00
7,129.07
Development year
2
3
4
4,497.00 4,470.00 4,456.00
4,783.00 4,760.00 4,750.00
5,492.00 5,470.00 5,455.78
6,131.00 6,101.12 6,085.25
6,920.15 6,886.42 6,868.51
6,961.23 6,927.30 6,909.29
LATEST PALATEST IN
4,456.00
4,456.00
4,730.00
4,750.00
5,420.00
5,470.00
6,020.00
6,131.00
6,794.00
7,087.00
5,217
7,353
32,637
35,247
LATEST P/ ULT. PAID ULT. INC.

1 4,456.00 4,456.00
0.995789 4,752.40 4,750.00
0.990859 5,455.78 5,455.78
0.981895 6,086.06 6,085.25
0.958657 6,947.08 6,868.51
0.709506 7,366.66 6,909.29
0.925951
35,064
34,525
0
4,975
5,135
5,681
6,272
7,326
7,353

(E. Van den Borre)
45
5
4,456.00
4,750.00
5,455.78
6,085.25
6,868.51
6,909.29
6
4,456.00
4,750.00
5,455.78
6,085.25
6,868.51
6,909.29
ULT. P/I,
1
1.0005046
1.00000129
1.00013342
1.01143965
1.06619617
1.01561652
The Munich chain ladder method


The final loss run-off triangle
Year of ori
0
1
2
3
4
5
6
DEVELOPMENT FAC pj
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
0.7241
0.9887
1.38093
1.01143
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
0.9957
1.00434
0.9981
1.00186
46
0.9953
1.00474

Development year
Year of ori
0
1
2
3
4
0
3,209 4,372.00 4,411.00 4,428.00 4,435.00
1
3,367 4,659.00 4,696.00 4,720.00 4,730.00
2
3,871 5,345.00 5,398.00 5,420.00 5,430.07
3
4,239 5,917.00 6,020.00 6,046.15 6,057.38
4
4,929 6,794.00 6,871.67 6,901.52 6,914.34
5
5,217 7,204.33 7,286.69 7,318.34 7,331.94
6

(E. Van den Borre)
5
4,456
DEVELOPMENT FACTORS
5
4,456.00
4,752.40
5,455.78
6,086.06
6,947.08
7,366.66
6
4,456.00
4,752.40
5,455.78
6,086.06
6,947.08
7,366.66

DEVELOPMENT FACTORS

(E. Van den Borre)
47

The Vylder's Least Square Method.

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
5
4,456
5
21

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865
The regression dataset

X
line
3,209
3,367
3,871
4,239
4,929
5,217
1,163
1,292
1,474
1,678
1,865
39
37
53
103
17
24
22
7
10
21
Development year
2
3
39
17
37
24
53
22
103
0
column
0
1
2
3
4
5
0
1
2
3
4
0
1
2
3
0
1
2
0
1
0
L0
0
0
0
0
0
0
1
1
1
1
1
2
2
2
2
3
3
3
4
4
5
4
7
10
1
L1
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
1
0
0
1
0
1
2
L2
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
1
0
0
1
0
3
L3
0
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
1
0
0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
0
0
0
RAPPORT DTAILL

(E. Van den Borre)
48
De Vylder regression (1)

Statistiques de la rgression
Coefficient de 0.9955403258
Coefficient d
0.9911005403
Coefficient d
0.9822010806
Erreur-type
243.97432754
Observations
21
ANALYSE DE VARIANCE
Degr de libert
Somme des carrs
Moyenne des carrs
Rgression
10
66289131.8
6628913.18
Rsidus
10
595234.725
59523.4725
Total
20
66884366.6
Coefficients
Valeur critique de F
111.366372 6.827498E-009
Erreur-type
Statistique t Limite
Probabilit
infrieureLimite
pour suprieure
seuil de confiance
pour seuil
= 95%
de confiance = 95%
1685.825
377.525692
4.46545768
0.00120588 844.645341872
L0
-1664.825
288.100982
-5.7786162
0.00017807 -2306.7539874 -1022.89601
L1
-1605.825
288.100982
-5.5738269
0.00023613 -2247.7539874 -963.896013
L2
-1423.825
290.672087 -4.89838915
0.00062461 -2071.4827682 -776.167232
L3
-1169.825
296.305791 -3.94803286
0.002739 -1830.0354428 -509.614557
L4
-605.7
308.605826 -1.96269788
0.07808574 -1293.3166285
81.9166285
C0
3531.175
288.100982
12.2567267 2.3935E-007 2889.24601258
4173.10399
C1
1102.575
288.100982
3.82704354
0.00333494 460.646012577
1744.50399
C2
-161.75
290.672087 -0.55646898
0.59012478 -809.40776819
485.907768
C3
-100
296.305791 -0.33748918
0.74272519 -760.21044275
560.210443
C4
-42
308.605826 -0.13609594
0.89444621 -729.61662848
645.616628
Constante
ANALYSE DES RSIDUS

Observation
RPARTITION DES PROBABILITS
Prvisions X
Rsidus
Centile
3552.175
-343.175
2.38095238
3611.175
-244.175
7.14285714
10
3793.175
77.825
11.9047619
17
4047.175
191.825
16.6666667
21
4611.3
317.7
21.4285714
22
5217
26.1904762
24
1123.575
39.425
30.952381
37
1182.575
109.425
35.7142857
39
1364.575
109.425
40.4761905
53
10
1618.575
59.425
45.2380952
103
11
2182.7
-317.7
50
1163
12
-140.75
179.75
54.7619048
1292
13
-81.75
118.75
59.5238095
1474
14
100.25
-47.25
64.2857143
1678
15
354.25
-251.25
69.047619
1865
16
-79
96
73.8095238
3209
17
-20
44
78.5714286
3367
18
162
-140
83.3333333
3871
19
-21
28
88.0952381
4239
20
38
-28
92.8571429
4929
21
21 6.8212E-013
97.6190476
5217

(E. Van den Borre)
2527.00466
49

The incured projected run-off triangle

Year of origin
0
1
2
3
4
5
6
0
3,552
3,611
3,793
4,047
4,611
5,217
1
1,124
1,183
1,365
1,619
2,183
2,788
3,531
1102.575
Development year
2
3
4
(141)
(79)
(21)
(82)
(20)
38
100
162
220
354
416
474
918
980
1,038
1,524
1,586
1,644
-161.75
(100)
5
21
80
262
516
1,080
1,686
(42)
4
28
(28)
Estimated Reserves
0
0
1
80
2
482
3
4
4017
5
9228
Total:
Residuals
Year of origin
0
1
2
3
4
5
6
0
(343)
(244)
78
192
318
-

(E. Van den Borre)
1
39
109
109
59
(318)
Development year
2
3
180
96
119
44
(47)
(140)
(251)
50

4
L4
0
C0
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
1
C1
1
1
1
1
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
C2
0
0
0
0
0
0
1
1
1
1
1
0
0
0
0
0
0
0
0
0
0

(E. Van den Borre)
3
C3
0
0
0
0
0
0
0
0
0
0
0
1
1
1
1
0
0
0
0
0
0
4
C4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
1
0
0
0
51
5
C5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1

mite infrieure
Limite
poursuprieure
seuil de confiance
pour seuil= de
95,0%
confiance = 95,0%
844.645342
2527.00466
-2306.75399 -1022.89601
-2247.75399 -963.896013
-2071.48277 -776.167232
-1830.03544 -509.614557
-1293.31663
81.9166285
2889.24601
4173.10399
460.646013
1744.50399
-809.407768
485.907768
-760.210443
560.210443
-729.616628
645.616628

(E. Van den Borre)
52

(1,665)
(1,606)
(1,424)
(1,170)
(606)
-
1,686

(E. Van den Borre)
53

The Vylder's Least Square Method.

Estimation of the parameters
The triangle of the model
Year of origin
Development year
2
3
p3S0
p4S0
0 p0S0
1 p0S1
p1S0
p2S0
p1S1
p2S1
p3S1
p4S1
2 p0S2
3 p0S3
p1S2
p2S2
p3S2
p4S2
p1S3
p2S3
p3S3
4 p0S4
5 p0S5
p1S4
p2S4
5
p5S0
6
p6S0
p5S1
p1S5
6 p0S6
Year of origin
0
3,209
3,367
3,871
4,239
4,929
5,217
0
1
2
3
4
5
6
Iteration
1.
2.
3.
4.
5.
rescaled
Development year
2
3
39
17
37
24
53
22
103
1
1,163
1,292
1,474
1,678
1,865
4
7
10
0.50000
0.56732
0.57067
0.57078
0.57078
0.30000
0.22930
0.21817
0.21778
0.21777
0.20000
0.01033
0.00934
0.00933
0.00933
0.10000
0.00384
0.00345
0.00344
0.00344
0.05000
0.00166
0.00149
0.00149
0.00149
sum pj
0.70767
0.27000
0.01156
0.00427
0.00184
The resulting parameters

pr
0.70767
(E. Van den Borre)
Sr
5
21
0.04000
0.00421
0.00377
0.00376
0.00376
4984
5574
5586
5586
5586
5303
5892
5902
5903
5903
6090
6767
6780
6780
6780
6957
7451
7463
7463
7463
8894
8610
8626
8626
8626
10434
9196
9142
9140
9140
0.80657
0.00466
4505
5468
6019
6956
6435
7372
4,505.4751
54

pr
pr
0.27000
Sr
5,468.4782
6,019.1588
0.01156
Sr
pr
0.00427
Sr
6,956.2030
pr
0.00184
Sr
6,435.3532
0.00466
Sr
7,372.1232
pr

Year of origin
0
1
2
3
4
5
6
0
3,188.37
3,869.86
4,259.55
4,922.67
4,554.08
5,217.00
1
1,216.46
1,476.47
1,625.15
1,878.15
1,737.52
1,990.45
Development year
2
3
52.10
19.24
63.24
23.35
69.61
25.70
80.44
29.70
74.42
27.48
85.25
31.48
4
8.30
10.07
11.09
12.81
11.85
13.58
5
21.00
25.49
28.06
32.42
30.00
34.36
Development year
2
3
4,456.94
4,476.18
5,409.57
5,432.92
5,954.31
5,980.02
6,881.26
6,910.97
6,366.02
6,393.50
7,292.70
7,324.18
4
4,484.48
5,442.99
5,991.10
6,923.78
6,405.36
7,337.76
5
4,505.48
5,468.48
6,019.16
6,956.20
6,435.35
7,372.12

Year of origin
0
1
2
3
4
5
6
0
3,188.37
3,869.86
4,259.55
4,922.67
4,554.08
5,217.00
1
4,404.83
5,346.33
5,884.71
6,800.82
6,291.60
7,207.45

(E. Van den Borre)
55

The linear Arithmetic Separation Method

In this example the seperation method starts from the non-cumulative triangle. We assume therefore that the
triangle that was given always has an estimate of one accident at the end of year 0.
Year of origin
0
1
2
3
4
5
6
0
r
r
r
r
r
r
Development year
2
3
r
r
r
r
r
r
r
1
r
r
r
r
r
4
r
r
5
r

Year of origin
0
1
2
3
4
5
6
Calculation of r5 and 5
5
r5
4
r4
3
r3
2
r2
1
r1
0
r0
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865
Development year
2
3
39
17
37
24
53
22
103
4
7
10
5
21
7,238.00
0.0029
6,710.47
0.0012
5,790.86
0.0032
5,240.32
0.0093
4,606.46
0.2526
4,390.78
0.7308

(E. Van den Borre)
56
Linear Arithmetic Separation

Estimation of the parameters corresponding to the future calender years.

The values
resulting
The known
from the
values
lin.
regression
0
1
2
3
4
5
6
7
8
9
10
11
12
0
1
2
3
4
5
6
7
8
9
10
11
12
The regression parameters

a
b
r0
r1
r2
r3
r4
r5
4,391
4,606
5,240
5,791
6,710
7,238
4,156
4,759
5,361
5,964
6,567
7,170
7,773
8,375
8,978
9,581
10,184
10,787
11,390
602.82
4,155.77
inflation
0.7308 0
0.2526 1
4,391
4,606
4.9%
0.0093 2
0.0032 3
5,240
13.8%
5,791
10.5%
0.0012 4
0.0029 5
6,710
15.9%
7,238
7.9%
7,773
7.4%
8,375
7.8%
8,978
7.2%
9,581
6.7%
10
10,184
6.3%
11
10,787
5.9%
12
11,390
5.6%

Year of origin
0
1
2
3
4
5

(E. Van den Borre)
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865
1,963
57
Development year
2
3
39
17
37
24
53
22
103
25
72
27
78
29
4
7
10
9
10
11
12
5
21
23
24
26
28
30


(E. Van den Borre)
58


Year of origin
0
1
2
3
4
5
6

(E. Van den Borre)
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
7,180
59
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
6,045
6,866
6,893
7,258
7,286
4
4,435
4,730
5,429
6,055
6,904
7,298
5
4,456
4,753
5,454
6,081
6,932
7,328

od
sume therefore that the

(E. Van den Borre)
60

73.08498
25.2551
0.928756
0.31916
0.121877
0.290135

(E. Van den Borre)
61


(E. Van den Borre)
62


(E. Van den Borre)
63

The linear Arithmetic Separation Method

In this example the seperation method starts from the non-cumulative triangle. We assume therefore that
the triangle that was given always has an estimate of one accident at the end of year 0.

Development year
Year of origin
0
1
2
3
4
5
6
0
r
r
r
r
r
r
1
r
r
r
r
r
2
r
r
r
r
3
r
r
r
4
r
r
5
r

Development year
Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
5
r5
7,238.00
0.0029
4
r4
6,710.47
0.0012
3
r3
2
r2
1
r1
0
r0
1
1,163
1,292
1,474
1,678
1,865
2
39
37
53
103
3
17
24
22
4
7
10
5
21
5,790.86
0.0032
5,240.32
0.0093
4,606.46
0.2526
4,390.78
0.7308

(E. Van den Borre)
64
Exp. Arithmetic separation


The
known
values
0
1
2
3
4
5
6
7
8
9
10
11
12
0
1
2
3
4
5
6
7
8
9
10
11
12
4,391
4,606
5,240
5,791
6,710
7,238
The values
resulting
from the lin.
regression
4266.70513
4746.21776
5279.62029
5872.96915
6533.00137
7267.21115
8083.93492
8992.446
10003.0599
11127.2513
12377.7848
13768.8592
15316.2691

m
1.112385
b
4,266.71
r0
0.7308 0
r1
0.2526 1
r2
r3
r4
r5
inflation
4390.78
4606.46
4.9%
0.0093 2
0.0032 3
5240.32
13.8%
5790.86
10.5%
0.0012 4
0.0029 5
6710.47
15.9%
7238.00
7.9%
8083.93
11.7%
8992.45
11.2%
10003.06
11.2%
11127.25
11.2%
10
12377.78
11.2%
11
13768.86
11.2%
12
15316.27
11.2%

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
1
1,163
1,292
1,474
1,678
1,865
2,042
Development year
2
3
39
17
37
24
53
22
103
26
75
29
84
32
65
4
7
10
10
11
12
14
5
21
23
26
29
32
36


Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
1
4,372
4,659
5,345
5,917
6,794
7,259
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
6,046
6,869
6,898
7,342
7,374
66
4
4,435
4,730
5,430
6,057
6,910
7,388
5
4,456
4,753
5,456
6,086
6,942
7,424

The Linear Geometric Separation Method

Year of origin
0
1
2
3
4
5
6
0
r
r
r
r
r
r
1
r
r
r
r
r
Development year
2
3
r
r
r
r
r
r
r
4
r
r
5
r

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
5
r5
129.10
0.1627
4
r4
103.68
0.0723
3
r3
2
r2
1
r1
0
r0
1
1,163
1,292
1,474
1,678
1,865
Development year
2
3
39
17
37
24
53
22
103
4
7
10
5
21
82.46
0.2011
77.27
0.5513
71.46
16.2619
68.05
47.1533

(E. Van den Borre)
67
Linear Geometric Separation


The
known
values
0
1
2
3
4
5
6
7
8
9
10
11
12
0
1
2
3
4
5
6
7
8
9
10
11
12

a
b
68.1
71.5
77.3
82.5
103.7
129.1
r3
r4
r5
59.6
71.2
82.9
94.5
106.1
117.7
129.4
141.0
152.6
164.3
175.9
187.5
199.2
11.63
59.59

r0
47.1533 0
r1
16.2619 1
r2
The values
resulting
from the
lin.
regression
68.0547
71.4611
0.5513 2
0.2011 3
77.2735
0.0723 4
0.1627 5
103.6776
129.3777
141.00822
152.63869
164.26916
10
175.89964
82.4585
129.1011
11
187.53011
12
199.16058

Year of origin
0
1
2
3
4
5
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
Development year
2
3
39
17
37
24
53
22
103
26
71
28
78
31
1
1,163
1,292
1,474
1,678
1,865
2,104
68
4
7
10
9
10
11
12
5
21
21
23
25
27
29


(E. Van den Borre)
69


Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
6,046
6,865
6,894
7,399
7,429
1
4,372
4,659
5,345
5,917
6,794
7,321
70
4
4,435
4,730
5,429
6,056
6,905
7,441
5
4,456
4,751
5,452
6,081
6,931
7,470

The Exponential Geometric Separation Method

Year of origin
0
1
2
3
4
5
6
0
r
r
r
r
r
r
1
r
r
r
r
r
Development year
2
3
r
r
r
r
r
r
r
4
r
r
5
r

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
5
r5
129.10
0.1627
4
r4
103.68
0.0723
3
r3
2
r2
1
r1
0
r0
Development year
2
3
39
17
37
24
53
22
103
1
1,163
1,292
1,474
1,678
1,865
4
7
10
5
21
82.46
0.2011
77.27
0.5513
71.46
16.2619
68.05
47.1533

(E. Van den Borre)
71
Exp. Geometric Separation


The
known
values
0
1
2
3
4
5
6
7
8
9
10
11
12
0
1
2
3
4
5
6
7
8
9
10
11
12

m
b
r0
r1
r2
r3
r4
r5
68.1
71.5
77.3
82.5
103.7
129.1
The values
resulting
from the
lin.
regression
63.146
71.569
81.117
91.938
104.202
118.103
133.857
151.714
171.953
194.891
220.890
250.356
283.754
1.13
63.15
47.1533 0
16.2619 1
68.0547
0.5513 2
0.2011 3
77.2735
0.0723 4
0.1627 5
103.6776
133.857
151.714
171.953
194.891
10
220.890
11
250.356
12
283.754
71.4611
82.4585
129.1011

Year of origin
0
1
2
3
4
5
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
Development year
2
3
39
17
37
24
53
22
103
27
74
31
84
35
1
1,163
1,292
1,474
1,678
1,865
2,177
72
4
7
10
10
11
12
14
5
21
22
25
28
32
36


(E. Van den Borre)
73


Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
Development year
2
3
4,411
4,428
4,696
4,720
5,398
5,420
6,020
6,047
6,868
6,898
7,477
7,512
1
4,372
4,659
5,345
5,917
6,794
7,394
74
4
4,435
4,730
5,430
6,058
6,911
7,526
5
4,456
4,752
5,454
6,086
6,942
7,562

The chain ladder method (Mack estimation)

Year of origin
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
1.38093
1.41205
1.01143
1.02253
1.00434
1.01097
1.00186
1.00660
1.00474
1.00474
1.00000
24,832
19,615
27,087
27,087
20,525
20,525
14,568
14,568
9,165
9,165
4,456
4,456
0
1.362
1.384
1.381
1.396
1.378
1
1.009
1.008
1.010
1.017
1.100
0.026
0.000
0.943
0.032
0.028
0.057
0.012
0.211
0.001
0.003
0.000
0.000
0.000
0.5254
0.5254
0.1026
0.1026
0.0021
0.0021
0.0007
0.0007
0.0000
0.0002
Process Variance Multiplier

Annual
0.38905
Reserve
0.49462
0.10259
0.10556
0.00211
0.00298
0.00066
0.00087
0.00021
0.00021
Parameter Varia
Annual
0.00001
0.00000
0.00000
0.00000
0.00000
0
1
2
3
4
5
6
pj
sums
5
4,456
The d-triangle
Year of origin
0
1
2
3
4
5
6
Development year
2
3
4
1.004
1.002
1.005
1.005
1.002
1.004
Error term

(E. Van den Borre)
75
Mack coefficients

Reserve
0.00001
0.00000
0.00000
0.00000
0.00000
3
0.00000
2.23E-008
6.72E-008
6.72E-008
6.72E-008
6.72E-008
4
0.00000
2.23E-008
6.72E-008
1.68E-007
1.68E-007
1.68E-007
5
0.00000
2.23E-008
6.72E-008
1.68E-007
3.79E-006
3.79E-006
6
0.00001
2.2321E-008
6.7215E-008
1.6775E-007
0.00000379
1.3738E-005
Covariance Matrix - Estimation Error Only

2
3
4456
4752
2
4456 0.4432034763 0.472684
3
4752 0.4726837526 1.518064
4
5456 0.5426441605 1.742748
5
6086 0.6053332619 1.944079
6
6947 0.6909720811 2.219115
4
5456
0.542644
1.742748
4.99323
5.570074
6.358093
5
6086
0.605333
1.944079
5.570074
140.3817
160.242
6
6947
0.69097208
2.2191154
6.35809338
160.242046
663.007524
4
2.23
0.36
0.63
1.00
0.21
0.11
5
11.85
0.08
0.13
0.21
1.00
0.53
6
25.75
0.04
0.07
0.11
0.53
1.00
Matrix of Estimation Error Factors
2
3
4
5
6
0.00000
0.00000
0.00000
0.00000
0.00001
2
0.00000
2.23210E-008
2.23210E-008
2.23210E-008
2.23210E-008
2.23210E-008
Correlation Matrix - Estimation Error Only

2
0.67
2
0.67
1.00
3
1.23
0.58
4
2.23
0.36
5
11.85
0.08
6
25.75
0.04

(E. Van den Borre)
3
1.23
0.58
1.00
0.63
0.13
0.07
76
Mack coefficients

Diagonal LDF
Reserves Ultimate Proc Mult Proc Sdev
4,456
1.00000
0
4,456
4,730
1.00474
22
4,752 0.00021
0.99
5,420
1.00660
36
5,456 0.00087
2.18
6,020
1.01097
66
6,086 0.00298
4.26
6,794
1.02253
153
6,947 0.10556
27.08
5,217
1.41205
2,150
7,367 0.49462
60.36
32,637
4.42%
6.09%
6.44%
17.69%
2.81%
0.67
1.23
2.23
11.85
25.75
2,427
66.34
4456
4752.397
5455.784
6086.065
6947.084

(E. Van den Borre)
Param Sdev
4456
0.443203
0.472684
0.542644
0.605333
0.690972
77
4752.397
0.472684
1.518064
1.742748
1.944079
2.219115
5455.784
0.542644
1.742748
4.99323
5.570074
6.358093
2.73% 34.22162
6086.065
0.605333
1.944079
5.570074
140.3817
160.242
6947.084
0.690972
2.219115
6.358093
160.242
663.0075
Mack coefficients


(E. Van den Borre)
78
Mack coefficients

Param Sdev
Total Sdev
2.97%
3.44%
3.38%
7.74%
1.20%
1.19
2.50
4.81
29.56
65.63
5.33%
6.99%
7.28%
19.31%
3.05%
1.41%
75
3.08%

(E. Van den Borre)
79
Mack coefficients


(E. Van den Borre)
80
Mack coefficients

The chain ladder method (Mack estimation)

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
4,372
4,659
5,345
5,917
6,794
0
0.734
0.723
0.724
0.716
0.725
1
0.991
0.992
0.990
0.983
0.724
0.991
Development year
2
3
4
4,411
4,428
4,435
4,696
4,720
4,730
5,398
5,420
6,020
5
4,456
The 1/d-triangle
Year of origin
0
1
2
3
4
5
6
median
Development year
2
3
4
0.996
0.998
0.995
0.995
0.998
0.996
0.996
0.998
0.995
The 1/d-triangle
Year of origin
+
=
+
0
1
2
3
4
5
6
Diagonal
N0
1
2
3
4
+
+
-
N+
1
3
2

(E. Van den Borre)
+
=
Development year
2
3
+
-
N
1
1
2
1
1
Total :
n
1
1
1
3
81
m
1
2
2
4
3
E(N)
0
0
0
1
1
0.5000
0.5000
1.2500
0.7500
3.0000
Var(N)
0.75
0.75
3.44
1.69
6.63
Mack coefficients (2)

1
1
-
inf
0
-1.19741
-1.19741
-2.383937
-1.796115
- 2.04
1
1
1
-
1
1
1
1
-
1
-
1
-
sup
2.20
2.20
4.88
3.30
8.04

(E. Van den Borre)
82
Mack coefficients (2)

Coporate Actuarial Control
Christophides linear model

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
1
1,163
1,292
1,474
1,678
1,865
Development year
2
3
39
17
37
24
53
22
103
4
7
10
5
21
4
1.95
2.30
5
3.04
Log (incremental run-off triangle

Year of origin
0
1
2
3
4
5
6
0
8.07
8.12
8.26
8.35
8.50
8.56

(E. Van den Borre)
1
7.06
7.16
7.30
7.43
7.53
Development year
2
3
3.66
2.83
3.61
3.18
3.97
3.09
4.63
Christophides (lin regr)
83

0
Year of origin
0
0
0
0
0
0
1
1
1
1
1
2
2
2
2
3
3
3
4
4
5
Development year
0
1
2
3
4
5
0
1
2
3
4
0
1
2
3
0
1
2
0
1
0

(E. Van den Borre)
Pij
Yij
3,209
1,163
39
17
7
21
3,367
1,292
37
24
10
3,871
1,474
53
22
4,239
1,678
103
4,929
1,865
5,217
8.074
7.059
3.664
2.833
1.946
3.045
8.122
7.164
3.611
3.178
2.303
8.261
7.296
3.970
3.091
8.352
7.425
4.635
8.503
7.531
8.560
a0
1
a1
1
1
1
1
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
a2
0
0
0
0
0
0
1
1
1
1
1
0
0
0
0
0
0
0
0
0
0
3
a3
0
0
0
0
0
0
0
0
0
0
0
1
1
1
1
0
0
0
0
0
0
4
a4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
1
0
0
0
5
a5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
1
b1
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
1
0
0
1
0
2
b2
0
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
1
0
0
0
3
b3
0
0
0
1
0
0
0
0
0
1
0
0
0
0
1
0
0
0
0
0
0
4
b4
0
0
0
0
1
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
5
b5
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
84

RAPPORT DTAILL
Statistiques de la rgression
Coefficient de d
0.9987258137
Coefficient de d
0.997453251
Coefficient de d
0.894906502
Erreur-type
0.1752879878
Observations
21
ANALYSE DE VARIANCE
Degr de libertSomme des
Moyenne
carrs des carrsFValeur critique de F
Rgression
11 120.3402 10.94002 391.657 1E-010
Rsidus
10 0.307259 0.030726
Total
21 120.6475
Constante
a0
a1
a2
a3
a4
a5
b1
b2
b3
b4
b5
Coefficients
Erreur-typeStatistique
Limite infrieure
Probabilit
t Limite suprieure
pour
Limite
seuil infrieure
de
pour
confiance
Limite
seuilpour
de
suprieure
=confiance
seuil
95% depour
confiance
= 95%
seuil de
= 95,0%
confiance = 95,0%
8.5006458854 0.135777 62.60718 3E-014 8.19811 8.803177 8.198115 8.80317699
-0.5535203733 0.156237 -3.54282 0.00533 -0.90164 -0.2054 -0.901638 -0.2054026
-0.393095772 0.156237 -2.51602 0.0306 -0.74121 -0.04498 -0.741214 -0.044978
-0.2817166289 0.158676 -1.77542 0.10621 -0.63527 0.071836 -0.635269 0.07183607
0.0368376361 0.163967 0.224665 0.82676 -0.3285 0.402179 -0.328503 0.40217865
0
0
65535 #NUM!
0
0
0
0
0.0590319176 0.221724 0.266241 0.79546
-0.435 0.553063 -0.434999 0.55306314
-0.967384032 0.110862 -8.72603 5E-006 -1.2144 -0.72037
-1.2144 -0.7203684
-4.2328969857 0.120809 -35.038 9E-012 -4.50208 -3.96372 -4.502076 -3.963718
-5.0570984181 0.134197 -37.6842 4E-012 -5.35611 -4.75809 -5.356108 -4.7580893
-5.9030901917 0.156237 -37.7829 4E-012 -6.25121 -5.55497 -6.251208 -5.5549724
-4.9026030744 0.206992 -23.685 4E-010 -5.36381 -4.4414 -5.363809 -4.441397
ANALYSE DES RSIDUS

Observation
Prvisions Yij

(E. Van den Borre)
Rsidus
85

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
7.9471255121
6.9797414801
3.7142285264
2.890027094
2.0440353204
3.0445224377
8.1075501134
7.1401660814
3.8746531277
3.0504516953
2.2044599217
8.2189292565
7.2515452245
3.9860322708
3.1618308384
8.5374835215
7.5700994894
4.3045865357
8.5006458854
7.5332618534
8.559677803
0.126589
0.079017
-0.050667
-0.056814
-0.098125
-4E-016
0.014227
0.023781
-0.263735
0.127602
0.098125
0.042339
0.04419
-0.01574
-0.070788
-0.185401
-0.144742
0.330142
0.002246
-0.002246
0

(E. Van den Borre)
86

Calculation of the variance-covariance matrix
The future design matrix
0
Year of origin i Development year j Pij
1
5 ln(1,5)
2
4 ln(2,4)
a0
1
a1
2
a2
3
a3
4
a4
5
a5
1
b2
2
b3
3
b4
ln(2,5)
ln(4,3)
ln(4,4)
ln(4,5)
ln(4,3)
ln(4,4)
ln(4,5)
ln(5,2)
ln(5,3)
ln(5,4)
ln(5,5)
5
5
5
5

(E. Van den Borre)
b5
87

X=
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

(E. Van den Borre)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
1
1
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
1
1
1
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
1
1
1
0
0
0
0
0
0
6
0
0
0
0
0
0
0
0
0
1
1
1
1
0
0
7
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
8
0
0
0
1
0
0
1
0
0
0
1
0
0
0
0
9 10
0
1
1
0
0
1
0
0
1
0
0
1
0
0
1
0
0
1
0
0
0
0
1
0
0
1
0
0
0
0
88

X'=
1
2
3
4
5
6
7
8
9
10
1
1
0
0
0
0
0
0
0
1
1
0
1
0
0
0
0
0
1
0
1
0
1
0
0
0
0
0
0
1
1
2
3
4
5
6
7
8
9
10
1
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
2
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
3
###
###
###
###
###
###
###
###
###
###
(X'X)=
2
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
3
###
###
###
###
###
###
###
1
2
3
4
5
6
7
1
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
(XT'X) =
-1

(E. Van den Borre)
1
0
0
1
0
0
0
1
0
0
1
0
0
1
0
0
0
0
1
0
1
0
0
1
0
0
0
0
0
1
1
0
0
0
1
0
0
1
0
0
1
0
0
0
1
0
0
0
1
0
1
0
0
0
1
0
0
0
0
1
1
0
0
0
0
1
1
0
0
0
###
###
###
###
###
###
###
###
###
###
5
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
7
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
8
###
###
###
###
###
###
###
###
###
###
9
###
###
###
###
###
###
###
###
###
###
10
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
5
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
7
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
8
###
###
###
###
###
###
###
9
###
###
###
###
###
###
###
10
###
###
###
###
###
###
###
1
0
0
0
0
1
0
1
0
0
1
0
0
0
0
1
0
0
1
0
1
0
0
0
0
1
0
0
0
1
89

8
9
10

(E. Van den Borre)
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
###
###
###
### #VALUE!
### #VALUE!
### #VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE! ### ### ###

#VALUE! ### ### ###
#VALUE! ### ### ###
90

X (X'X)-1 =
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

(E. Van den Borre)
1
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
2
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
3
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
4
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
5
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
7
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
8
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
9
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
10
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
91

X (X'X) X'=
-1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
1
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
2
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
3
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
4
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
5
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
7
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
8
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
9
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
10
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
11
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
12
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
13
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
14
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
15
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
0.0307258787 (result of the regression analysis)

(E. Van den Borre)
92

2 X (XT X)-1 X'=

(E. Van den Borre)
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
8.50064589
0
-1
1
0
2
0
3
0
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
4
5
0 0.1
1
-1
2
-4
3
-5
4
-6
93

i
j
1
2
2
3
3
3
4
4
4
4
5
5
5
5
5
5
4
5
3
4
5
2
3
4
5
1
2
3
4
5

(E. Van den Borre)
Yi,j
3.20
2.32
3.32
3.48
2.63
3.63
4.27
3.44
2.60
3.60
7.59
4.33
3.50
2.66
3.66
var(Yi,j)
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
E(xi,j)
var(xi,j)
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
(xi,j)
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Constante a0 a1 a2 a3 a4
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
8.50064589
0
0
0 0
0
a5 b1 b2 b3 b4
0
0
0 0
0
0
0
0 0 -6
0
0
0 0
0
0
0
0 -5
0
0
0
0 0 -6
0
0
0 0
0
0
0 -4 0
0
0
0
0 -5
0
0
0
0 0 -6
0
0
0 0
0
0.1 -1
0 0
0
0.1
0 -4 0
0
0.1
0
0 -5
0
0.1
0
0 0 -6
0.1
0
0 0
0
94

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217
Development year
1
2
3
1,163
39
17
1,292
37
24
1,474
53
22
1,678
103
###
1,865 #VALUE!
###
#VALUE! #VALUE!
###
4
7
10
###
###
###
###
5
21
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
4
4,435
4,730
###
###
###
###
5
4,456
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Year of origin
0
1
2
3
4
5
6
0
3,209
3,367
3,871
4,239
4,929
5,217

(E. Van den Borre)
Development year
1
2
3
4,372
4,411
4,428
4,659
4,696
4,720
5,345
5,398
5,420
5,917
6,020
###
6,794 #VALUE!
###
#VALUE! #VALUE!
###
95


(E. Van den Borre)
96


(E. Van den Borre)
97


(E. Van den Borre)
98


(E. Van den Borre)
99


(E. Van den Borre)
100


(E. Van den Borre)
101


(E. Van den Borre)
102


(E. Van den Borre)
103


(E. Van den Borre)
104


(E. Van den Borre)
105

5
-5

(E. Van den Borre)
106

b5
-5
0
-5
0
0
-5
0
0
0
-5
0
0
0
0
-5

(E. Van den Borre)
107


(E. Van den Borre)
108

Chain Ladder Excel Caritat

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Chain Ladder Excel Caritat

Uploaded by

Copyright:

Available Formats

Fortis Bank Insurance

Corporate Actuarial Control

The chain ladder method

The d run-off triangle

The incremental run-off triangle

Completion of the cumulative run-off triangle

Loss Reserving Techniques in Non-Life

The chain ladder method

Fortis Bank Insurance

Method 2 (using the proportionality factors p 1,i)

The incremental run-off triangle

Loss Reserving Techniques in Non-Life

The chain ladder method

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method

Fortis Bank Insurance

The (old) chain ladder method

The incremental run-off triangle

The incremental run-off triangle

Loss Reserving Techniques in Non-Life

The chain ladder method (2)

Fortis Bank Insurance

Completion of the cumulative run-off triangle

Method 2 (using the proportionality factors p 1,i)

The incremental run-off triangle

(Official Chain Ladder : )

Loss Reserving Techniques in Non-Life

The chain ladder method (2)

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method (2)

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method (2)

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method (2)

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

The chain ladder method (2)

Fortis Bank Insurance

The (old) chain ladder method

Completion of the cumulative run-off triangle

Loss Reserving Techniques in Non-Life

0 0.004713 0.006559 0.01085507 0.022036

Fortis Bank Insurance

Loss Reserving Techniques in Non-Life

Fortis Bank Insurance

The chain ladder method

Loss Reserving Techniques in Non-Life

Boni-Mali (chain ladder)

Fortis Bank Insurance

Previous estimation (without any correction for year 0)

Previous estimation (without correction for year 0)