Regression Methods in Loss Reserving

A basic feature of the loss reserve estimate process is the analysis of historical data in order to project future loss payments and case reserves for incomplete accident/policy/report periods. A recently developed approach to forecasting reserves is to use regression techniques to estimate loss development factors, accident or calendar period trends, and future loss payments. This session will show how reserves can be estimate by regression procedures using loss development triangle data usually available to actuaries. The regression models will be compared to standard “chain ladder” techniques. Use of regression diagnostics, including graphical analysis, to determine an appropriate model will be explained. Advanced regression techniques such as weighting and Baynesian techniques will be discussed. Calculation of confidence intervals for loss estimates will also be described.