Una propuesta de modelo de estimación de pérdidas con base en el triángulo run-off y el método lda: una comparación frente al método Chain-Ladder

Abstract

The estimation of losses due to accidents is important because it provides the amount destined to meet the obligations to the insured, this amount is known as a reserve for loss. However there are several methods in this regard, basically each of these seek to make a forecast of the reserve derived from the claims that have occurred but not reported (IBNR). That is why it is vital to study, detail and propose robust methods to meet the objective. This is the description of the main components of one of the most commonly used methodologies in the Colombian insurance market, the Chain Ladder method. Which contemplates in its calculations a high degree of knowledge of the business. This method bases its calculation on the historical behavior of the central statistics of the probability distribution of the development factors, understood by this, as the growth rate of the losses. An alternative method based on the LDA model (Loss Distribution Approach) most frequently used to estimate the value in operational risk is proposed. This method allows to use and integrate the historical probabilistic behavior of the frequency of the losses and the severity. The possibilities of the Monte Carlo simulation are used to study different scenarios of the projections generated based on the LDA proposal. It is found that the proposed method allows not only to know a static estimate of the loss, but also to identify different possible values ​​associated with different measures of probability of the occurrence of these events. In this case, the objectives of this work are to identify and study the most common methods for estimating the reserve of casualties, in addition to studying the LDA method and applying it to the calculation of the reserve estimate. Last, but not least, is a comparison of the proposed LDA method with the Chain Ladder method. The work is divided into four parts: the first one, the two parts that are necessary for the development of the work, such as safe business concepts, the methods for calculating the reserve and the LDA method. In the second, there is a description of the data taken for the analysis and application of the Chain Ladder method and the proposed LDA method for the calculation of the reserve. In the third part, there are the results of the study, comparing the methods already described. Finally, the conclusions are presented.