Loss reserving using growth curve modeling
Loss reserving using growth curve modeling

Summary/Abstract: In the non-life insurance, an important position in the insurance fund is total loss reserve (IBNR). The literature proposes a wide variety of stochastic methods for estimating the loss reserve, based largely on the chain-ladder technique [Mack 1993; Mack 1999; Wüthrich, Merz 2008]. This paper presents an approach based on the estimation of the growth curve for the cumulative value of losses paid in subsequent accident years. In the case study, the total reserve estimation procedure was carried out and as an input the paid loss triangle taken from [Zhang 2010] was investigated. The calculations were performed using the R [R Core Team 2012].

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