On unbalanced data and common shock models in 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 ...

Bivariate Archimedean Copulas for Individual Claim Loss Reserving Models*

The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue f...

Methods and Models of Loss Reserving Based on Run-Off Triangles: A Unifying Survey

The present paper provides a unif3"ing survey of some of the most important methods and models of loss reserving which are based on run-off triangles. The starting point is the thesis that the use of runoff triangles in loss reserving can be justified only under the assumption that the development of the losses of ever3, accident year follows a development pattern which is common to all acciden...

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...

Using Expected Loss Ratios in Reserving