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Testing Structural Changes in Triangular Data
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 Title & Authors
Testing Structural Changes in Triangular Data
Lee, Sung-Im;
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The loss reserve is defined as a provision for an insurer's liability for claims or an insurer's estimate of the amount an individual claim will ultimately cost. For the estimation of the loss reserve, the data which make up the claims in general is represented as run-off triangle. The chain ladder method has known as the most representative one in the estimation of loss reserves based on such run-off triangular data. However, this fails to capture change point in trend. In order to test of structural changes of development factors, we will present the test statistics and procedures. A real data analysis will also be provided.
Run-off triangle;chain ladder method;structural changes;
 Cited by
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