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This research has proposed a method for estimating the prediction error of the Bornhuetter-Ferguson
reserve estimation method by using bootstrap technique and to compare results with the estimated prediction error
of the Chain-Ladder reserve estimation method. This study used claims data for the accident year 2005-2009
classify by type of insurance product sold by one non-life insurance company in Thailand.
The results showed that the estimated prediction error of the Bornhuetter-Ferguson reserve estimation
method by using bootstrap technique is lower than the estimated prediction error of the chain ladder method
reserve estimation method for compulsory automobile insurance and health insurance.
Keywords: Prediction error , Chain-Ladder method , Bornhuetter-Ferguson method , Bootstrapping method ,
Stochastic claims reserving
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Method) ×¥Á¦ºÉ°Šš¸É ε‡´¤µ„ °Šš» „ª·›¸š¸É čoĜ„µ¦ž¦³¤µ–œ´Êœ ‡º °˜o°Š„µ¦®µ‹ÎµœªœÁŠ·œÎµ¦°Š‡n µ·œÅ®¤š—šœ
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(prediction error) ‹¹ŠÁž}œ°¸„ª·›¸ ®œ¹ÉŠš¸Énª¥šÎµÄ®o „µ¦ž¦³¤µ–ÁŠ·œÎµ¦°Š‡n µ· œÅ®¤š—šœ¤¸‡nµÄ„¨oÁ‡¸ ¥Š„´
‡nµ·œÅ®¤š¸É‡µ—ªnµ‹³˜o°Š—čoÄ®o„´Ÿ¼oÁ°µž¦³„´œ£´¥
Šµœª·‹´ ¥œ¸ÊŗoœÎ µÁœ°ª·›¸„µ¦®µ‡nµ‡ªµ¤‡¨µ—Á‡¨ºÉ °œ¡¥µ„¦–r (prediction error) ץčoÁš‡œ· ‡¼˜Â˜¦ž
(bootstrap technique) °Š„µ¦ž¦³¤µ–ÁŠ·œÎµ¦°Š‡nµ· œÅ®¤š—šœ—oª¥ª·›¸°¦rœ±¼˜Áš°¦r Á¢°¦r„¼Ž´œ (Bornhuetter-
Ferguson Method) ¡¦o°¤š´ÊŠœÎµŸ¨š¸Éŗoœ¸Ê ŞÁž¦¸¥Áš¸¥„´ ‡nµ‡ªµ¤‡¨µ—Á‡¨ºÉ°œ¡¥µ„¦–r °Š„µ¦ž¦³¤µ–ÁŠ·œ
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1. ª·›¸´œÅ—¨¼ „ÃŽn (Chain-Ladder Method) —o ª¥‡nµÁŒ¨¸É¥ °Š‡ªµ¤‡¨µ—Á‡¨ºÉ°œ¥„„ε¨´Š°Š (Mean Square Error)
2. ª·›¸´œÅ—¨¼ „ÃŽn (Chain-Ladder Method) š¸Éčoª·›¸¼ ˜Â˜¦ž (Bootstrap Method)
3. ª·›¸°¦rœ±¼˜Áš°¦r Á¢°¦r„¼Ž´œ (Bornhuetter-Ferguson Method) —oª¥‡nµÁŒ¨¸É¥ °Š‡ªµ¤‡¨µ—Á‡¨ºÉ°œ¥„„ε¨´Š°Š
(Mean Square Error)
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