Add to ORKGActuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve, and actuaries use various ad hoc methods to derive a range for the indicated reserve. We use a Monte Carlo simulation method to compare various loss reserve estimation methods, including traditional methods and regression-based methods of loss reserving
Motivation. The new solvency regimes now emerging, insist that capital requirements align with the u...
Insurance companies must have an appropriate method of estimating future reserve amounts. These valu...
The variability of claim costs represents an important risk component, which should be taken into ac...
Actuaries are often asked to provide a range or confidence level for the loss reserve along with a p...
This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional method...
We evaluate the performance of various loss reserving methods and their associated parameterizations...
Actuaries perform many roles within an insurance company. While perhaps the most notable is their wo...
Maximum likelihood estimation has been the workhorse of statistics for decades, but alternative meth...
Loss reserving has been one of the most challenging tasks that actuaries face since the appearance o...
abstract: The use of generalized linear models in loss reserving is not new; many statistical models...
This paper develops a three dimensional statistical approach to the estimation of the mean and the s...
use his simulation technique to test three loss reserving methods. Two of these methods are discusse...
Abstract. This paper is a response to the Casualty Actuarial Society’s call for papers on the topic ...
Traditional loss reserving techniques calculate loss reserve variability as if it were based on a si...
In Basel II Capital Accord, the Advanced Measurement Approaches (AMA) is stated as one of the pillar...
Motivation. The new solvency regimes now emerging, insist that capital requirements align with the u...
Insurance companies must have an appropriate method of estimating future reserve amounts. These valu...
The variability of claim costs represents an important risk component, which should be taken into ac...
Actuaries are often asked to provide a range or confidence level for the loss reserve along with a p...
This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional method...
We evaluate the performance of various loss reserving methods and their associated parameterizations...
Actuaries perform many roles within an insurance company. While perhaps the most notable is their wo...
Maximum likelihood estimation has been the workhorse of statistics for decades, but alternative meth...
Loss reserving has been one of the most challenging tasks that actuaries face since the appearance o...
abstract: The use of generalized linear models in loss reserving is not new; many statistical models...
This paper develops a three dimensional statistical approach to the estimation of the mean and the s...
use his simulation technique to test three loss reserving methods. Two of these methods are discusse...
Abstract. This paper is a response to the Casualty Actuarial Society’s call for papers on the topic ...
Traditional loss reserving techniques calculate loss reserve variability as if it were based on a si...
In Basel II Capital Accord, the Advanced Measurement Approaches (AMA) is stated as one of the pillar...
Motivation. The new solvency regimes now emerging, insist that capital requirements align with the u...
Insurance companies must have an appropriate method of estimating future reserve amounts. These valu...
The variability of claim costs represents an important risk component, which should be taken into ac...