Example 17: Closed Claim Factor-To-Ultimate Model
Click compute to see results.
- This page extends Example 15 to model development
on closed claims where there are no partial payments.
- Num_L2 is the log_2 of the number of points in the XY plane. Seven corresponds to a 128 x 128 grid. This number must be greater than the maximum likely claim count to avoid aliasing. Unless you have a very fast PC, avoid setting Num_L2 greater than eight.
- Max FTU is the largest FTU used to bucket the empirical FTU distribution.
- FTU Num_L2 is the log_2 of the number of buckets
used to discretize the claim count distribution. It should be selected
slightly lower than Num_L2.
- Mildenhall, Working Paper on Loss Development, 2001. I am also developing a version of this method to work with paid or incurred losses.