Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077608 | Insurance: Mathematics and Economics | 2006 | 16 Pages |
Abstract
Incremental loss data triangles regularly contain negative values, which may be due to salvage, subrogation and/or conservative case reserve estimates. Assumptions made by many stochastic claims reserving models are not always satisfied when negative values occur in incremental loss data triangles. This paper takes advantage of a mixture model [Kunkler, M., 2004. Modelling zeros in stochastic reserving models. Insurance: Mathematics and Economics 34, 23-35] to combine both a reflected and a regular generalised linear model to extend many previous stochastic claims reserving models for incremental loss data triangles that contain both positive and negative values.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Michael Kunkler,