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.
- 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)
- Denuit, M., Trufin, J. (2015). Des cadences collectives de règlement au provisionnement individuel. L’Actuariel 18, 42-44.
- 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)