TITLE
"A Nonlinear Modeling Approach for Assessing the Accuracy
of Property-Liability Insurer Loss Reserves," Journal of Insurance Issues, Paul
M. Kazenski. Spring 1996, Vol. XIX, No. 1, pp. 1-22.
ABSTRACT
This paper presents the derivation of a four-parameter nonlinear reserve runoff model,
expressed in terms of paid loss realizations (cumulative amounts paid against a given
reserve). By relying upon paid rather than incurred losses, this model offers an approach
to reserve error measurement that avoids potential errors arising from the use of reserve
re-estimates as a proxy for fully developed values. Statistical properties of the model
are examined through Monte Carlo simulation experiments. Application of the model is
demonstrated using consolidated industry data, both for all lines combined and for
individual liability lines. The model is then applied to an analysis of 41 individual
insurers reserving performance.
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