Pesquisa de referências

Beyond the tweedie reserving model : the collective approach to loss development

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20180004001
003  MAP
005  20180213171144.0
008  180207e20171204esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20080096434‎$a‎Denuit, Michel
24510‎$a‎Beyond the tweedie reserving model‎$b‎: the collective approach to loss development‎$c‎Michel Denuit, Julien Trufin
520  ‎$a‎This 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.
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎04/12/2017 Tomo 21 Número 4 - 2017 , p. 611-619