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Abstract

Time series analysis plays a pivotal role in the strategic planning and risk management of reinsurance companies. It is an indispensable tool for gaining insights into the future utilization of reinsurance revenues. To effectively safeguard against substantial financial losses stemming from anticipated claims, reinsurance businesses must have a thorough understanding of the expected values of these claims. The ability to estimate the potential value of future claims is paramount, as it empowers reinsurance companies to proactively prepare and allocate resources, ensuring that they are well-equipped to cover likely future claims. Our research incorporates an innovative approach to estimate reinsurance revenues, leveraging the power of time series analysis. By applying the proposed paradigm to an original time series dataset, we aim to showcase its practical value and effectiveness in predicting future revenue trends. To assess the accuracy of these predictions, we employ the Box-Ljung statistical test, a statistical test commonly used in time series analysis. The corresponding p-value generated from this test provides a quantitative measure of the ability to analyze, capture and explain the underlying patterns in the data, thereby aiding reinsurance companies in providing an informed decisions and managing their financial risks effectively. In summary, the integration of time series analysis, single exponential smoothing (SEXS), and advanced forecasting techniques forms a critical foundation for enhancing the predictive capabilities of reinsurance businesses and ensuring their financial stability in the face of uncertain future claims.

Keywords

Cullen-Frey graph Holt-Winters' Additive Algorithm Box-Ljung Test Reinsurance Revenues Residuals Analysis Forecasting Single Exponential Smoothing

Article Details

How to Cite
Abdullah, M. M. (2024). Using the Single-Exponential-Smoothing Time Series Model under the Additive Holt-Winters Algorithm with Decomposition and Residual Analysis to Forecast the Reinsurance-Revenues Dataset. Pakistan Journal of Statistics and Operation Research, 20(2), 311-340. https://doi.org/10.18187/pjsor.v20i2.4409