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Full Length Research
Paper
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Forecasting
general insurance loss reserves in Egypt
Tarek Abd
Elhamid Ahmed Taha1, Yusnidah Ibrahim2*
and Mohd Sobri Minai2
1College
of Commerce, Tanta University, Egypt.
2College
of Business, Universiti Utara Malaysia, Malaysia.
*Corresponding
author. E-mail:
yibrahim@uum.edu.my.
Fax:
006049286406.
Accepted 1 June,
2011 |
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Abstract |
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Loss reserve is one of the most important indicators that have
many important and strategic decisions applications, such as
rate making decisions, underwriting decisions, investment
decision and corporate planning. The aim of this study is to
identify the reliable time series forecasting model to forecast
loss reserve estimates of Egyptian general insurance companies.
Exponential smoothing model, Box-Jenkins analysis and time
series regression model are applied on actual reported loss
reserves data for general insurance sector for the period 1986
to 2006 and their accuracy are compared based on several error
measures. The series from 1986 to 2001 are used for the
estimations process and the remaining observations are used to
evaluate the models as outside sample data. Exponential
smoothing technique in all steps-ahead is identified as the best
forecasting technique to Egyptian general insurance sector.
Key words:
General
insurance, technical reserve estimation, time series
forecasting.
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