Variance Papers Published Nov. 5-12

Four new papers have been published on the Variance website:

Approximating the Aggregate Loss Distribution
by Dmitry E. Papush, Aleksey S. Popelyukhin, and Jasmine G. Zhang

The paper studies which statistical distribution is the most appropriate to use for the approximation of the Aggregate distribution of insurance claims.

The Skewness of Bornhuetter-Ferguson
by E. Dal Moro

Based on a stochastic reserving model, this paper provides a first approach for the estimation of the third moment, i.e., the skewness of the Bornhuetter-Ferguson reserving method.

Regression Shrinkage and Selection for Actuarial Models
by Gee Y. Lee

This paper demonstrates a variable shrinkage and selection approach to improve loss models. The paper introduces a new high dimensional GB2 routine for parameter estimation.

Expected Adverse Deviation as a Measure of Risk Distribution
by Derek W. Freihaut, Christopher M. Holt, and Robert J. Walling

This paper focuses on assessing risk distribution using Expected Adverse Deviation, a methodology developed by Pinnacle Actuarial Resources as an accurate and communicable one-tailed statistic for assessing risk distribution.