Example from: Stochastic Claims Reserving Methods in Insurance, Mario V.

Wüthrich, Michael Merz

Claims paid in calendar year that occurred in occurrence year

Calendar year
Accident year 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
2003 5,946,975 3,721,237 895,717 207,761 206,704 62,124 65,813 14,850 11,129 15,814
2004 6,346,756 3,246,406 723,221 151,797 67,824 36,604 52,752 11,186 11,646
2005 6,269,090 2,976,223 847,053 262,768 152,703 65,445 53,545 8,924
2006 5,863,015 2,683,224 722,532 190,653 132,975 88,341 43,328
2007 5,778,885 2,745,229 653,895 273,395 230,288 105,224
2008 6,184,793 2,828,339 572,765 244,899 104,957
2009 5,600,184 2,893,207 563,114 225,517
2010 5,288,066 2,440,103 528,042
2011 5,290,793 2,357,936
2012 5,675,568
Total 5,946,975 10,067,993 10,411,213 9,770,220 9,667,663 10,045,270 9,528,191 9,293,455 8,933,398 9,076,956

Claims paid in development year that occurred in occurrence year

Development year
Accident year 1 2 3 4 5 6 7 8 9 10
2003 5,946,975 3,721,237 895,717 207,761 206,704 62,124 65,813 14,850 11,129 15,814
2004 6,346,756 3,246,406 723,221 151,797 67,824 36,604 52,752 11,186 11,646
2005 6,269,090 2,976,223 847,053 262,768 152,703 65,445 53,545 8,924
2006 5,863,015 2,683,224 722,532 190,653 132,975 88,341 43,328
2007 5,778,885 2,745,229 653,895 273,395 230,288 105,224
2008 6,184,793 2,828,339 572,765 244,899 104,957
2009 5,600,184 2,893,207 563,114 225,517
2010 5,288,066 2,440,103 528,042
2011 5,290,793 2,357,936
2012 5,675,568
Run-off triangle of cumulative paid claims
Development year
CL a priori BF
Accident year 1 2 3 4 5 6 7 8 9 10 CL ultimate reserves ultmate BF ultimate reserves BH ultimate BH reserves
2003 5,946,975 9,668,212 10,563,929 10,771,690 10,978,394 11,040,518 11,106,331 11,121,181 11,132,310 11,148,124 11,148,124 0 11,653,101 11,148,124 0 11,148,124 0
2004 6,346,756 9,593,162 10,316,383 10,468,180 10,536,004 10,572,608 10,625,360 10,636,546 10,648,192 10,663,318 15,126 11,367,306 10,664,317 16,125 10,663,320 15,128
2005 6,269,090 9,245,313 10,092,366 10,355,134 10,507,837 10,573,282 10,626,827 10,635,751 10,662,008 26,257 10,962,965 10,662,750 26,999 10,662,010 26,259
2006 5,863,015 8,546,239 9,268,771 9,459,424 9,592,399 9,680,740 9,724,068 9,758,606 34,538 10,616,762 9,761,644 37,576 9,758,617 34,549
2007 5,778,885 8,524,114 9,178,009 9,451,404 9,681,692 9,786,916 9,872,218 85,302 11,044,881 9,882,350 95,434 9,872,305 85,389
2008 6,184,793 9,013,132 9,585,897 9,830,796 9,935,753 10,092,247 156,494 11,480,700 10,113,777 178,024 10,092,581 156,828
2009 5,600,184 8,493,391 9,056,505 9,282,022 9,568,143 286,121 11,413,572 9,623,328 341,306 9,569,793 287,771
2010 5,288,066 7,728,169 8,256,211 8,705,378 449,167 11,126,527 8,830,301 574,090 8,711,824 455,613
2011 5,290,793 7,648,729 8,691,971 1,043,242 10,986,548 8,967,375 1,318,646 8,725,026 1,076,297
2012 5,675,568 9,626,383 3,950,815 11,618,437 10,443,953 4,768,385 9,961,926 4,286,358

CL Development
factors 1.493 1.078 1.023 1.015 1.007 1.005 1.001 1.001 1.001 1 Total 98,788,398 6,047,064 100,097,918 7,356,584 99,165,527 6,424,193
Cumulative CL
Development factors 1.696 1.136 1.054 1.031 1.016 1.009 1.004 1.002 1.001 1.000
BH weights 0.590 0.880 0.948 0.970 0.984 0.991 0.996 0.998 0.999 1.000

Run-off triangle of development factors

Development year
Accident year 1 2 3 4 5 6 7 8 9 10
2003 1.626 1.093 1.020 1.019 1.006 1.006 1.001 1.001 1.001
2004 1.512 1.075 1.015 1.006 1.003 1.005 1.001 1.001
2005 1.475 1.092 1.026 1.015 1.006 1.005 1.001
2006 1.458 1.085 1.021 1.014 1.009 1.004
2007 1.475 1.077 1.030 1.024 1.011
2008 1.457 1.064 1.026 1.011
2009 1.517 1.066 1.025
2010 1.461 1.068
2011 1.446
2012