Individual Loss Reserving Using Paid-Incurred Data

Insurance: Mathematics and Economics, 2014, 58, 121-131.

23 Pages Posted: 5 Mar 2014 Last revised: 17 May 2017

See all articles by Mathieu Pigeon

Mathieu Pigeon

Catholic University of Louvain (UCL)

Katrien Antonio

KU Leuven; University of Amsterdam

Michel Denuit

Catholic University of Louvain

Date Written: February 25, 2014

Abstract

In this paper, the individual claim reserving model proposed by Pigeon et al. (2013) is extended to include paid and incurred data. Analytic expressions are derived for the expected ultimate losses, given observed development patterns. The usefulness of this new model is illustrated using a portfolio of general liability insurance policies. Detailed comparisons with existing approaches reveal that the paid-incurred individual reserving method proposed in this paper performs well and produces more accurate predictions.

Keywords: Stochastic Loss Reserving; General Insurance; Multivariate Skew Normal Distribution; Prediction

Suggested Citation

Pigeon, Mathieu and Antonio, Katrien and Denuit, Michel, Individual Loss Reserving Using Paid-Incurred Data (February 25, 2014). Insurance: Mathematics and Economics, 2014, 58, 121-131.. Available at SSRN: https://ssrn.com/abstract=2404394 or http://dx.doi.org/10.2139/ssrn.2404394

Mathieu Pigeon (Contact Author)

Catholic University of Louvain (UCL) ( email )

Place des Doyens 1
Louvain-la-Neuve, 1348
Belgium

Katrien Antonio

KU Leuven ( email )

Leuven, Vlaams-Brabant

HOME PAGE: http://www.econ.kuleuven.be/katrien.antonio

University of Amsterdam ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

Michel Denuit

Catholic University of Louvain ( email )

Place Montesquieu, 3
B-1348 Louvain-la-Neuve, 1348
Belgium

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