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Linear Modeling for Insurance Ratemaking/Reserving: Modeling Loss Development Factors for Catastrophe Claims


Abstract Catastrophe events occur rather infrequently, but upon their occurrence, can lead to colossal losses for insurance companies. Due to their size and volatility, catastrophe losses are often treated separately from other insurance losses. In fact, many property and casualty insurance companies feature a department or team which focuses solely on modeling catastrophes. Setting reserves for catastrophe losses is difficult due to their unpredictable and often long-tailed nature. Determining loss development factors (LDFs) to estimate the ultimate loss amounts for catastrophe events is one method for setting reserves. In an attempt to aid Company XYZ set more accurate reserves, the research conducted focuses on estimating LDFs for catastrophes wh... (more)
Created Date 2018-05
Contributor Swoverland, Robert Bo (Author) / Milovanovic, Jelena (Thesis Director) / Zicarelli, John (Committee Member) / School of Mathematical and Statistical Sciences / Barrett, The Honors College
Subject Actuarial / Catastrophe Modeling / Ratemaking
Series Academic Year 2017-2018
Type Text
Extent 25 pages
Language English
Copyright
Reuse Permissions All Rights Reserved
Collaborating Institutions Barrett, the Honors College
Additional Formats MODS / OAI Dublin Core / RIS


  Swoverland_R_Spring_2018.pdf
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