Abstract
The problem of combining two or more estimates into a single estimate appears in many applications, such as combining estimates based on paid losses and estimates based on incurred losses, or combining estimates for several accident years or lines of business into a single estimate. A methodology for performing such combinations which allows for correlation is described. An accompanying Excel spreadsheet illustrates the procedure.
Keywords: Reserving, Credibility, Solvency II, Ranges
Volume
Summer, Vol. 2
Page
1-14
Year
2014
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Actuarial Applications and Methodologies
Reserving
Uncertainty and Ranges
Financial and Statistical Methods
Credibility
Publications
Casualty Actuarial Society E-Forum
