A0690
Title: Loss reserving using geometric processes
Authors: Shiying Gao - The University of Sydney (Australia) [presenting]
Boris Choy - University of Sydney (Australia)
Junbin Gao - The University of Sydney (Australia)
Abstract: Forecasting the future liability of an insurance product is a risk management exercise in an insurance company. Under-estimation of loss reserves may result in insolvency. The claim data presented is modelled in a run-off triangle using a stochastic model. As observed in many real claim data, claim amounts show trend patterns across the accident years and development years. The novelty is to model the trends using the geometric process. The Bayesian approach is used in data analysis for statistical inference and forecast of loss reserves. The performance of the geometric process in modelling the trends shall be investigated.
