"A Comparative Study of the Performance of Loss Reserving Methods throu" by Prakash Narayan and Thomas Warthen

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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