Holt–Winters method for run-off triangles in claims reserving

Abstract

Run-off triangles present usual instruments for claims reserve predictions. The paper suggests a relatively simple method of such predictions based on the Holt–Winters recursive formulas modified for missing data. The technique explicitly calculates the corresponding prediction error grounded in the state space modeling and evaluates the claims reserving risk in this way. Empirical data examples enable us to compare the suggested approach with results published by other authors.