Abstract
In this paper we describe a new approach to modelling the development of claims run-off triangles. This method replaces the usual ad hoc practical process of extrapolating a development pattern to obtain tail factors with an objective procedure. An example is given, illustrating the results in a practical context, and the WinBUGS code is supplied.
Keywords Claims Run-Off Triangles, Monte Carlo Valuation
Volume
Vol. 42, No. 1
Page
1-24
Year
2012
Keywords
predictive analytics
Categories
Actuarial Applications and Methodologies
Reserving
Claims Handling
Financial and Statistical Methods
Simulation
Monte Carlo Valuation
Publications
ASTIN Bulletin
