Loss prediction based on run-off triangles

Loss reserving is an important subject of actuarial mathematics. It aims at the prediction of future losses caused by claims which have incurred in the past but have not yet been closed. The problem of predicting such losses is particularly important in liability insurance. More generally, it is mos...

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Bibliographic Details
Published in:Advances in statistical analysis : AStA : a journal of the German Statistical Society 2012-06, Vol.96 (2), p.265-310
Main Author: Schmidt, Klaus D.
Format: Article
Language:English
Subjects:
Econometrics
Economics
Finance
Insurance
Management
Mathematics and Statistics
Original Paper
Probability Theory and Stochastic Processes
Statistics
Statistics for Business
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Summary:Loss reserving is an important subject of actuarial mathematics. It aims at the prediction of future losses caused by claims which have incurred in the past but have not yet been closed. The problem of predicting such losses is particularly important in liability insurance. More generally, it is most relevant with respect to the new regulatory requirements for insurance companies operating in the European Union, which are known as Solvency II .
ISSN:1863-8171
1863-818X
DOI:10.1007/s10182-011-0183-0