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Applications of reserving methods for property and casualty insurance in modeling of mortality rates

Resource type
Thesis type
(Project) M.Sc.
Date created
Author: Kim, Seyeon
The Chain-Ladder model is the most widely used technique for property and casualty insurance to estimate unpaid claims, including incurred but not reported (IBNR) claims. In this project, inspired by the reserving methods, we first apply a distribution-free method (the Chain-Ladder model) and a distributional method (the lognormal model) to project future mortality rates. Next, to simulate mortality rates for more applications, we also propose corresponding stochastic versions associated with both the lognormal model and a variant of the Chain-Ladder model. Finally, we demonstrate numerical illustrations based on seventy years of mortality data for both genders of the US, the UK, and Japan. To compare the forecasting performances of the five models we implement, we adopt MAE, RMSE, and MSPE as performance metrics. Numerical results show that the variant of the Chain-Ladder model overall performs the best, followed by the Chain-Ladder model and the lognormal model, for a 10-year period.
37 pages.
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Copyright is held by the author(s).
This thesis may be printed or downloaded for non-commercial research and scholarly purposes.
Supervisor or Senior Supervisor
Thesis advisor: Chi-Liang, Tsai, Cary
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