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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