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2

Abstract

Forecasting Loss Ratio In Property And Liability Insurance Companies Using Autoregressive And Integrated

Moving Average Models (ARIMA) For Time Series Analysis

Osama Rabie Amin Soliman

This study aims at applying Box Jenkins analysis

for time series to forecast loss ratio, in P/L insurance companies, which is considered one of most important indicators that many important and strategic decisions rely on, such as reinsurance decisions, rate making decisions, and underwriting decisions

The proposed model is characterized by many features,

especially realism of its assumptions that make forecasts more reliable and accurate than other that forecasting models produce.

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16

8. Margaret Brown, Modeling And Forecasting In Insurance Management,

A Guide To Insurance Management, Edited by: Stephen Diacon,

Macmillan, 1996,. 9. Rasha M. El-Souda "Time Series Identification. Unpublished masters thesis, Faculty Of

Economics And Political Sciences, Cairo University, 2000.

10. Paul Swadener, The Loss Ratio Method Of Rating And Feedback Control Loop

Concept", Journal of Risk and Insurance Vol.XXXI March 1984.

Number 2.

1. Patricia E. Gragnor & Ricky C. K. Introduction To Time- Series

Modeling &Forecasting In Business and Economics McGraw Hill Book

Co. N.Y.1994.

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