Selected Loss Reserving Papers
Our actuaries have investigated new loss reserving strategies, by means of individual models and machine learning approaches. To remain applicable, they suggested to combine individual and collective reserving approaches: each large claim is developed on an individual basis whereas attritional ones are still studied using aggregated triangles. This research project greatly benefitted from numerous interactions with Addactis teams.
The proposed approach is summarized in:
- Denuit, M., Trufin, J. (2017). Beyond the Tweedie reserving model: The collective approach to loss development. North American Actuarial Journal, in press.(Link to PDF)
- Denuit, M., Trufin, J. (2016). Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance. ISBA Discussion Paper 2016/29.(Link to reference)
For a gentle introduction, you may find the following document interesting:
- Denuit, M., Trufin, J. (2015). Des cadences collectives de règlement au provisionnement individuel. L’Actuariel 18, 42-44.
Before, our actuaries also contributed to purely individual reserving approaches:
- Pigeon, M., Antonio, K., Denuit, M. (2014). Individual loss reserving using paid-incurred data. Insurance: Mathematics and Economics 58, 121-131.(Link to PDF)
- Pigeon, M., Denuit, M. (2014). Multivariate Skew-Normal individual excess-of-loss reserving. ISBA Discussion Paper – 2014/29.(Link to page)
- Pigeon, M., Antonio, K., Denuit, M. (2013). Individual loss reserving with the Multivariate Skew Normal framework. ASTIN Bulletin 43, 399-428.(Link to PDF)
For an exhaustive list of publications on this topic, please refer to the individual CVs of Michel Denuit and Julien Trufin.