A Comprehensive, Non-Aggregated, Stochastic Approach to Loss Development
By Uri A. Korn
In this paper, we present a stochastic loss development approach that models all the core components of the claims process separately. The benefits of doing so are discussed, including the provision of more accurate results by increasing the data available to analyze. This also allows for finer segmentations, which is helpful for pricing and profitability analysis.
Keywords: Loss development, frequency, severity, reserve variability, Cox proportional hazards model