Abstract
This paper deals with the methodology of liability forecasting using the runoff triangle data. Techniques are based on time series models and methods that facilitate the calculation of forecast distributions and the assessment of model fit. The models deal with correlation within triangles. Correlations are critical to proper reserving. The output of the methodology is the complete shape of the liability distribution. Methods are applied to a well-known runoff triangle and results compared to those from previous studies.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
