Combining chain-ladder claims reserving with fuzzy numbers

In this paper we extend the classical chain-ladder claims reserving method using fuzzy methods. Therefore, we derive new estimators for the claims development factors as well as new predictors for the ultimate claims. The advantage in using fuzzy numbers lies in the fact that the model uncertainty is directly included in and can be controlled by the “new” fuzzy claims development factors. We also provide a predictor for the uncertainty of the ultimate claims for single accident years and for aggregated accident years.