Claims Reserving Methods for one Run-off triangle and for a Portfolio of Several Run-off Triangles

Georgios Pitselis

We consider various claims reserving methods (including robust methods) for general insurance. First, we present the univariate case (one run-off triangle) and apply well known actuarial methods for estimating the ultimate reserves. Second, we present the multivariate case (a portfolio of several correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data). Numerical illustrations of the loss reserving methods are also provided.