Nevada General Insurance Company Data

An illustrative dataset—a matrix (of the dimensions 10x10) with ten completed years of claims payment developments of the Nevada General Insurance company from the period 1988 – 1997. However, the data matrix only contains four non-zero origin/occurrence years (from the period 1994 – 1997) all being fully developed for ten consecutive development periods/years (in columns). The remaining matrix rows are all zeros. The resulting run-off triangle (the upper-left triangular part of the data matrix) is, therefore, sparse and very uninformative.

Usage

data(NevadaGeneral)

Format

NevadaGeneral

A simple 10x10 matrix of a class triangle with ten origin years (rows) each being fully developed within ten consecutive development periods (columns). However, only for development profiles are nonzero and standard (parametric) reserving techniques (e.g. the ODP model) are not applicable

origin

matrix rows with the occurrence year (origin)

dev

matrix columns with the development period (development)

Source

https://www.casact.org/publications-research/research/research-resources
(PP Auto Data Set, NAIC group code: 10007)

Details

In practice, the reserve for such sparse run-off triangles is not estimated by any stochastic model but, instead, an expert judgement is used to set the reserve. Nevertheless, the nonparametric reserving provided by PARALLAX, REACT, or MACRAME can still achieve resonable reserve predictions

References

Meyers, G. G. and P. Shi (2011). Loss reserving data pulled from NAIC Schedule P. Available from https://www.casact.org/publications-research/research/research-resources