Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development
(2016) , 9 pages
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- Abstract
- This paper proposes a new loss reserving approach, inspired from the collective model of risk theory. According to the collective paradigm, we do not relate payments to specific claims or policies but we work within a frequency-severity setting, with a number of payments in every cell of the run-off triangle, together with the corresponding paid amounts. Compared to the Tweedie reserving model, that can be seen as a compound sum with Poisson-distributed number of terms and Gamma-distributed summands, we allow here for more general severity distributions, typically mixture models combining a light-tailed component with a heavier- tailed one. A case study based on a motor third party liability insurance portfolio observed over 2004-2014 is used to illustrate the approach proposed in this paper.
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Citations
Denuit, M., & Trufin, J. (2016). Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development (ISBA Discussion Paper 2016/30). https://hdl.handle.net/2078.5/184548