Centro de Documentacion de Fundación MAPFRE - Beyond the tweedie reserving model : the collective approach to loss development

MAP20180004001

Beyond the tweedie reserving model : the collective approach to loss development / Michel Denuit, Julien Trufin

Sumario: This article proposes a new loss reserving approach, inspired from the collective model of risk theory. According to the collective paradigm, we do not relate payments to specific claims or policies, but we work within a frequency-severity setting, with a number of payments in every cell of the run-off triangle, together with the corresponding paid amounts. Compared to the Tweedie reserving model, which can be seen as a compound sum with Poisson-distributed number of terms and Gamma-distributed summands, we allow here for more general severity distributions, typically mixture models combining a light-tailed component with a heavier-tailed one, including inflation effects. The severity model is fitted to individual observations and not to aggregated data displayed in run-off triangles with a single value in every cell. In that respect, the modeling approach appears to be a powerful alternative to both the crude traditional aggregated approach based on triangles and the extremely detailed individual reserving approach developing each and every claim separately. A case study based on a motor third-party liability insurance portfolio observed over 20042014 is used to illustrate the relevance of the proposed approach

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 04/12/2017 Tomo 21 Número 4 - 2017 , p. 611-619

1. Cálculo actuarial . 2. Matemática del seguro . 3. Modelos actuariales . I. Title.