Comparative Analysis of Chain Ladder, Bornhuetter-Ferguson, Mack’s Model, and Bootstrapping for Claims Reserving Using Claims Development Data

Suryawan, Falisha (2026) Comparative Analysis of Chain Ladder, Bornhuetter-Ferguson, Mack’s Model, and Bootstrapping for Claims Reserving Using Claims Development Data. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Motor insurance is one of the insurance products with the highest claim frequency, exposing insurers to significant financial risk and making accurate claim reserve estimation essential for solvency and financial stability. This study applies four reserving methods, Chain Ladder, Bornhuetter-Ferguson, Mack’s Model, and Bootstrapping to Domestic Motor Vehicle (DMV) cumulative claims development data from APRA for accident years 2012 to 2022. The Chain Ladder and Bornhuetter-Ferguson methods are used to estimate ultimate claims and outstanding reserves, while Mack’s Model and Bootstrapping are used to assess prediction uncertainty. The Chain Ladder method produced a reserve estimate of $1,326.79 million based purely on historical development patterns, while the Bornhuetter-Ferguson method yielded a slightly higher estimate of A$1,470.62 million, reflecting the influence of the expected loss ratio. For uncertainty assessment, Mack’s Model produced an overall prediction of 23.51%, while the Bootstrapping method produced 43.49%, with differences attributable to their distinct measurement procedures. Across all methods, accident year 2022 consistently contributed the largest proportion of reserves (88%-91%), consistent with the limited development time of the most recent accident year. Based on these findings, the Bornhuetter-Ferguson method is identified as the most suitable primary reserving method for this dataset, given its stability when immature accident years dominate the reserve estimate, while Mack’s Model is preferred for uncertainty assessment due to its analytically derived prediction error.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Claim Reserving, Chain Ladder, Bornhuetter-Ferguson, Mack’s Model, Bootstrapping, Domestic Motor Vehicle Insurance.
Subjects:	H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG8051 Insurance H Social Sciences > HG Finance > HG8054.5 Risk (Insurance) Q Science > QA Mathematics > QA274.2 Stochastic analysis
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Falisha Suryawan
Date Deposited:	03 Aug 2026 03:44
Last Modified:	03 Aug 2026 03:44
URI:	http://repository.its.ac.id/id/eprint/140225

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