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Provedor de dados:  AgEcon
País:  United States
Título:  Risky Loss Distributions and Modeling the Loss Reserve Pay-out Tail
Autores:  Cummins, J. David
McDonald, James B.
Merrill, Craig
Data:  2009-05-20
Ano:  2007
Palavras-chave:  Loss distributions
Loss reserves
Generalized beta distribution
Liability insurance
Risk and Uncertainty
C16
G22
Resumo:  Although an extensive literature has developed on modeling the loss reserve runoff triangle, the estimation of severity distributions applicable to claims settled in specific cells of the runoff triangle has received little attention in the literature. This paper proposes the use of a very flexible probability density function, the generalized beta of the 2nd kind (GB2) to model severity distributions in the cells of the runoff triangle and illustrates the use of the GB2 based on a sample of nearly 500,000 products liability paid claims. The results show that the GB2 provides a significantly better fit to the severity data than conventional distributions such as the Weibull, Burr 12, and generalized gamma and that modeling severity by cell is important to avoid errors in estimating the riskiness of liability claims payments, especially at the longer lags.
Tipo:  Journal Article
Idioma:  Inglês
Identificador:  http://purl.umn.edu/50154
Relação:  Review of Applied Economics>Volume 3, Number 1-2, 2007
Formato:  23
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