Functional profile techniques for claims reserving
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220015011 | ||
| 003 | MAP | ||
| 005 | 20220518135120.0 | ||
| 008 | 220518e20220509esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20220005272$aMaciak, Matús | |
| 245 | 1 | 0 | $aFunctional profile techniques for claims reserving$cMatús Maciak, Ivan Mizera, Michal Pesta |
| 520 | $aOne of the most fundamental tasks in non-life insurance, done on regular basis, is risk reserving assessment analysis, which amounts to predict stochastically the overall loss reserves to cover possible claims. The most common reserving methods are based on different parametric approaches using aggregated data structured in the run-off triangles. In this paper, we propose a rather non-parametric approach, which handles the underlying loss development triangles as functional profiles and predicts the claim reserve distribution through permutation bootstrap. Three competitive functional-based reserving techniques, each with slightly different scope, are presented; their theoretical and practical advantages in particular, effortless implementation, robustness against outliers, and wide-range applicability are discussed. Theoretical justifications of the methods are derived as well. An evaluation of the empirical performance of the designed methods and a full-scale comparison with standard (parametric) reserving techniques are carried on several hundreds of real run-off triangles against the known real loss outcomes. An important objective of the paper is also to promote the idea of natural usefulness of the functional reserving methods among the reserving practitioners. | ||
| 650 | 4 | $0MAPA20080601522$aEvaluación de riesgos | |
| 650 | 4 | $0MAPA20080573935$aSeguros no vida | |
| 700 | 1 | $0MAPA20220005289$aMizera, Ivan | |
| 700 | 1 | $0MAPA20140011247$aPesta, Michal | |
| 773 | 0 | $wMAP20077000420$g09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 449-482$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |