Department of Finance

 

Date of this Version

2000

Document Type

Article

Citation

Journal of Actuarial Practice 8 (2000), pp. 63-88

Comments

Copyright 2000 Absalom Press

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.

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