Perpustakaan Digital ITB

In the field of general insurance, including a long-tail business, the prediction of the claims reserve need to be determined so that the insurance company will be able to pay the incoming claims. There are methods or models which can be used to predict the claims reserve; for example the Chain-Ladder and the Munich Chain-Ladder methods. Usually, the instrument used to compare the claims reserving methods or models is the mean square error of predictions. However, for some prediction methods or models, the mean square error is difficult to be determined analytically. Therefore, another instrument is needed, for example the Claims Development Result. In this Final Project (Tugas Akhir), the prediction of the claims reserve is determined using the Chain-Ladder, the Munich Chain Ladder, and the Extended Complementary Loss Ratio methods with the Claims Development Result as the instrument to compare the prediction results. Based on the data used in this Final Project, the Chain-Ladder method applied to the Incurred Claims run-off triangle gives the best claims reserve prediction.