 Generic
Number - 1514 |
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| Written
Date -
May 16th, 14 |
| Modified
Date -
May 16th, 14 |
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| Summary |
In many non-life insurance applications past data are given in a form known as the
run-off triangle. Smoothing such data using parametric crisp regression models has
long served as the basis of estimating future claim amounts and the reserves set
aside to protect the insurer from future losses. In this article a fuzzy counterpart of
the Hoerl curve, a well-known claim reserving regression model, is proposed to
analyze the past claim data and to determine the reserves. The fuzzy Hoerl curve is
more flexible and general than the one considered in the previous fuzzy literature in
that it includes a categorical variable with multiple explanatory variables, which
requires the development of the fuzzy analysis of covariance, or fuzzy ANCOVA.
Using an actual insurance run-off claim data we show that the suggested fuzzy
Hoerl curve based on the fuzzy ANCOVA gives reasonable claim reserves without
stringent assumptions needed for the traditional regression approach in claim
reserving.
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Fuzzy regression towards a general insurance application
