Abstract
This paper will address adjusting incurred loss triangles for changes in case reserve adequacy. This proposal is an attempt to improve upon the traditional Berquist-Sherman Method by using a generalized linear model of case reserves as the basis for restating case reserves at earlier evaluations rather than using average case reserves as the basis.
Keywords: Case reserve adequacy; generalized linear modeling; reserving; reserve strengthening
Volume
Summer, Vol 2
Page
1-17
Year
2012
Keywords
predictive analytics
Categories
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Actuarial Applications and Methodologies
Reserving
Publications
Casualty Actuarial Society E-Forum
