Comparative Study of the Performance of Loss Reserving Methodsthrough Simulation; A

Warthen, Thomas V.
Narayan, Prakash

Refereed Paper/Article
Journal of Actuarial Practice Absalom Press, Inc. - Lincoln, Nebraska
2000: 8, 1 & 2

Abstract

Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate. Traditional methods of loss reserving do not provide an estimate of the variance of the estimated reserve, and actuaries use various ad hoc methods to derive a range for the indicated reserve. We use a Monte Carlo simulation method to compare various loss reserve estimation methods, including traditional methods and regression-based methods of loss reserving.

Taxonomy Classifications

• Financial and Statistical Methods > Simulation > Monte Carlo Valuation
• Actuarial Applications and Methodologies > Reserving > Reserve Variability
• Actuarial Applications and Methodologies > Reserving > Reserving Methods
• Actuarial Applications and Methodologies > Reserving > Suitability Testing
• Actuarial Applications and Methodologies > Reserving > Uncertainty and Ranges

Printer-Friendly Page

Return to Browse CAS Taxonomy | Advanced Search