Forecasting Runoff Triangles

Piet De Jong*

*Corresponding author for this work

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

This paper deals with the methodology of liability forecasting using the runoff triangle data. Techniques are based on time series models and methods that facilitate the calculation of forecast distributions and the assessment of model fit. The models deal with correlation within triangles. Correlations are critical to proper reserving. The output of the methodology is the complete shape of the liability distribution. Methods are applied to a well-known runoff triangle and results compared to those from previous studies.

Original languageEnglish
Pages (from-to)28-38
Number of pages11
JournalNorth American Actuarial Journal
Volume10
Issue number2
DOIs
Publication statusPublished - 1 Apr 2006

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