Unifying Triangle-Based Actuarial Reserving Method

Abstract

This paper presents an approach for combining (or unifying) triangle-based reserving methods. The approach I present expresses the combination of multiple triangle-based methods as a multivariate linear model. I intend this approach to provide a more flexible model with a statistical basis for underlying actuarial assumptions and the selection of the accident year point estimate after consideration of multiple methods.

Volume
Summer
Year
2022
Keywords
Reserving, regression, triangle, multivariate regression
Description
This paper presents an approach for combining (or unifying) triangle-based reserving methods. The approach I present expresses the combination of multiple triangle-based methods as a multivariate linear model. I intend this approach to provide a more flexible model with a statistical basis for underlying actuarial assumptions and the selection of the accident year point estimate after consideration of multiple methods.
Publications
Casualty Actuarial Society E-Forum
Authors
Rajesh Sahasrabuddhe
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