Micro-Level Stochastic Loss Reserving

Comparing Micro- and Macro-Level Loss Reserving Models

Accurate loss reserves are essential for insurers to maintain adequate capital and to efficiently price their insurance products. Loss reserving for Property & Casualty insurance is usually based on macro-level models with aggregate data in a run-off triangle. The macro-level models may generate material errors in the reserve estimates when assumptions underlying the estimates evolve over time ...

Micro-Level Loss Reserving Models with Applications in Workers Compensation Insurance

Accurate loss reserves are essential for insurers to maintain adequate capital and to efficiently price their insurance products. Loss reserving for Property & Casualty (P&C) insurance is usually based on macro-level models with aggregate data in a run-off triangle but many limitations exist in these models despite of their simplicity. A run-off triangle is a summary of underlying individual cl...

Loss reserving using loss aversion functions

This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies,and extends existi...

Dependent Loss Reserving Using Copulas

Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...

Using Expected Loss Ratios in Reserving