Abstract
In this paper, we present a stochastic loss development approach that models all the core components of the claims process separately. The benefits of doing so are discussed, including the provision of more accurate results by increasing the data available to analyze. This also allows for finer segmentations, which is helpful for pricing and profitability analysis.
Volume
10
Issue
1
Page
13-33
Year
2016
Keywords
Loss development, frequency, severity, reserve variability, Cox proportional hazards model, predictive analytics
Categories
Financial and Statistical Methods
Loss Distributions
Frequency
Actuarial Applications and Methodologies
Reserving
Reserve Variability
Financial and Statistical Methods
Loss Distributions
Severity
Actuarial Applications and Methodologies
Ratemaking
Trend and Loss Development
Publications
Variance
