Individual loss reserving using paid-incurred data

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<title>Individual loss reserving using paid-incurred data</title>
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<namePart>Pigeon, Mathieu</namePart>
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<abstract displayLabel="Summary">This paper develops a stochastic model for individual claims reserving using observed data on claim payments as well as incurred losses. We extend the approach of Pigeon et al. (2013), designed for payments only, towards the inclusion of incurred losses. We call the new technique the individual Paid and Incurred Chain (iPIC) reserving method. Analytic expressions are derived for the expected ultimate losses, given observed development patterns. The usefulness of this new model is illustrated with a portfolio of general liability insurance policies. For the case study developed in this paper, detailed comparisons with existing approaches reveal that iPIC method performs well and produces more accurate predictions.</abstract>
<note type="statement of responsibility">Mathieu Pigeon,  Katrien Antonio, Michel Denuit</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
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<text>01/09/2014 Volumen 58 Número 1 - septiembre 2014 </text>
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