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2015•Science Journal of Applied Mathematics and StatisticsOpen access

A Power Law Extrapolation – Interpolation Method for IBNR Claims Reserving

Werner Hürlimann

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Abstract

To calculate claims reserves more frequently than the usual yearly periods for which ultimate loss development factors are available, it is necessary to perform an extrapolation prior to the time marking the end of the first development year and an interpolation for each successive development year. A simple power law extrapolation – interpolation method is developed and illustrated for monthly and quarterly sub-periods.

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To calculate claims reserves more frequently than the usual yearly periods for which ultimate loss development factors are available, it is necessary to perform an extrapolation prior to the time marking the end of the first development year and an interpolation for each successive development year. A simple power law extrapolation – interpolation method is developed and illustrated for monthly and quarterly sub-periods.

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Available abstract

To calculate claims reserves more frequently than the usual yearly periods for which ultimate loss development factors are available, it is necessary to perform an extrapolation prior to the time marking the end of the first development year and an interpolation for each successive development year. A simple power law extrapolation – interpolation method is developed and illustrated for monthly and quarterly sub-periods.

Key concepts: Extrapolation, Interpolation (computer graphics), Linear interpolation, Econometrics, Mathematics, Power law, Simple (philosophy), Applied mathematics

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