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CAS Exam 7 Study Notes: Loss Development Using Credibility
2018-02-28
I've uploaded my notes on Loss Development Using Credibility, a paper by Eric Brosius. The paper explains how to use linear regression to predict ultimate claim values based on the amount reported as of a given date, and demonstrates that the result has an equivalent interpretation as a credibility-weighted average of the ultimate loss estimates from the link ratio and budgeted loss methods. The notebook illustrates how to replicate the examples from the paper using R. Of particular interest, it shows how to use R to simulate the results of a Poisson process as a means to generate data to illustrate the methodology.
Keywords: Actuarial Science, Exam 7, Study Note