Casualty Actuarial Society

2013 Casualty Loss Reserve Seminar

Workshop 2
Part IV — Multivariate Regression Models for Reserving: An R Package for Loss Reserving

Sunday, September 15, 2013: 3:15 p.m.
Suffolk Room (Boston Marriott Copley Place)
This afternoon workshop session will explore the treatment of loss reserving as a multivariate regression problem.  We will discuss how to properly structure the data, use of statistical diagnostics to assess the goodness of fit and model selection and how to use the model to predict future realizations.  The model is presented using R.  All of the underlying code is publicly available for use.  Examples using publicly available data will be shown.
Moderator: Lise Hasegawa, Vice President, MetLife

Speakers

Presentation 1
Brian A. Fannin, Chief Actuary, The Redwoods Group
Handouts
  • MRMR-Beamer.pdf (847.8 kB)
  • R-Code.xlsx (12.4 kB)
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