Welcome to the ARIA 2021 Annual Meeting Agenda App. You are seeing this in simple view. Click on any session to see Presenters, Discussants and a Session Description. Click on Presenters to find a single presenter and their sessions. If you find an error, please email gphillips@aria.org. Registrants have been added and will continue to be updated until 7/29/21 when registration closes. Zoom links will be shared directly with all participants two days prior to the conference. Please make notifications@sched.com a "safe sender" in your email system. We will be sending messages throughout the conference through this medium.
Steve Guo, Ball State University; Arthur Charpentier, Université du Québec à Montréal; Michael Ludkovski, University of California, Santa Barbara
We analyze loss development in NAIC Schedule P loss triangles using functional data analysis methods. Relying on robust principal component analysis (RPCA), we study the incremental loss ratio curves of workers’ compensation lines across hundreds of companies and 24 years. RPCA helps us to find out patterns of loss development, including (i) identifying outlier loss triangles; (ii) providing a dimension reduction tool to interpret the functional loss development data via a few factors. As one example of a relevant insight, we document distinctive loss development patterns between the late 1980s, 1990s and late 2000s periods. Moreover, our approach provides novel visualization tools. In the latter part of the article, we propose a functional model for generating probabilistic forecasts of incomplete cumulative loss ratio curves based on historical and similar development patterns.
