17 January 2007

Individual claim loss reserving conditioned by case estimates

The Institute of Actuaries (UK) have just published the results of research undertaken by Greg Taylor:

Individual claim loss reserving conditioned by case estimates.
by Greg Taylor, Grainne McGuire & James Sullivan.

This paper examines various forms of individual claim model for the purpose of loss reserving, with emphasis on predictive efficiency in the sense of prediction error in the reserve. Each form of model is calibrated against a single extensive data set, and then used to generate a forecast of loss reserve and an estimate of its prediction error.

It's now on my to-do list

No comments: