Abstract
This paper explores the collective risk model as a vehicle for estimating the probability distribution for reserves. Though the basic model has been suggested in the past and it provides a direct means to estimate process uncertainty. It does not directly address the potentially more significant problem of parameter uncertainty. This paper presents some techniques to estimate parameter uncertainty and, to some extent, also uncertainty regarding projection model selection inherent in reserve estimates.
Volume
Spring, Vol 1
Page
297-356
Year
1994
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Actuarial Applications and Methodologies
Reserving
Reserve Variability
Actuarial Applications and Methodologies
Reserving
Uncertainty and Ranges
Publications
Casualty Actuarial Society E-Forum