Calculating insurance claim reserves with fuzzy regression

Claim provisions are crucial for the financial stability of insurance companies. This is why actuarial literature has proposed numerous claim reserving methods, which are usually based on statistical concepts. However, the mutant and uncertain behaviour of insurance environments does not make advisable to use a wide data-base when calculating claim reserves. On the one hand, this involves a considerable loss in reliability of statistical methods but, on the other, it makes the use of Fuzzy Set Theory very attractive. In this paper, then, we propose a claim reserving method that combines the extension by Ishibuchi and Nii of Tanaka's classical fuzzy regression method with Sherman's claim reserving scheme.