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Testing Goodness-of-Fit of an Estimated Run-Off Triangle

Published online by Cambridge University Press:  29 August 2014

G. C. Taylor
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By the term actual run-off triangle we shall mean the two-way tabulation—according to year of origin and year of payment—of claims paid to date, which has the following form:

where Cij is the amount paid during development year j in respect of claims whose year of origin is i.

The information relating to the area below and/or to the right of this triangle is unknown since it represents the future development of various cohorts of claims.

Now in seeking to use this triangle as a basis for projection of claims in future development years for each of the years of origin 0, 1, 2, etc., we must recognise that the entries Cij in the above triangle, being random variables, contain random deviations from their expected values uij. It is the corresponding triangle of these expected values in which we are interested, and which shall be called the expected run-off triangle.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 10 , Issue 1 , May 1978 , pp. 78 - 86
Copyright
Copyright © International Actuarial Association 1978

References

Beard, R. E., (1974). Some historical, theoretical and practical aspects. Appears in Claims provisions for non-life insurance business. Institute of Mathematics and its Applications.Google Scholar
Cramér, H., (1946). Mathematical methods in statistics, edition. Princeton University Press.Google Scholar
Taylor, G. C., (1977). Separation of inflation and other effects from the distribution of non-life insurance claim delays. The ASTIN Bulletin, 9, 219–30.CrossRefGoogle Scholar