Centro de Documentacion de Fundación MAPFRE - The Impacts of individual information on loss reserving

MAP20210005558

The Impacts of individual information on loss reserving / Zhigao Wang , Xianyi Wu, Chunjuan Qiu

Sumario: The projection of outstanding liabilities caused by incurred losses or claims has played a fundamental role in general insurance operations. Loss reserving methods based on individual losses generally perform better than those based on aggregate losses. This study uses a parametric individual information model taking not only individual losses but also individual information such as age, gender, and so on from policies themselves into account. Based on this model, this study proposes a computation procedure for the projection of the outstanding liabilities, discusses the estimation and statistical properties of the unknown parameters, and explores the asymptotic behaviors of the resulting loss reserving as the portfolio size approaching infinity. Most importantly, this study demonstrates the benefits of individual information on loss reserving. Remarkably, the accuracy gained from individual information is much greater than that from considering individual losses. Therefore, it is highly recommended to use individual information in loss reserving in general insurance

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2021 Volumen 51 Número 1 - enero 2021 , p. 303-347

1. Mercado de seguros . 2. Reservas técnicas para siniestros . 3. Cálculo actuarial . 4. Matemática del seguro . I. Wu, Xianyi . II. Qiu, Chunjuan . III. Título.