Semiparametric model for prediction of individual claim loss reserving

摘要: Abstract The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task insurance companies to predict their liabilities. Conventional methods, such as ladder or separation methods based on aggregated grouped the so-called “run-off triangle”, have been illustrated some drawbacks. Recently, individual claim models attracted a great deal interest in actuarial literature, which can overcome shortcomings models. In this paper, we propose alternative model, has semiparametric structure and be used fit flexibly reserving. Local likelihood is employed estimate parametric nonparametric components asymptotic properties are discussed. Then prediction IBNR reserving investigated. A simulation study carried out evaluate performance proposed methods.