Some Principles of Prediction
Klaus D. Schmidt
Lehrstuhl für Versicherungsmathematik
Technische Universität Dresden
Abstract
Rate making and loss reserving both require the prediction of future payments
for claims. Whenever this is possible, the prediction of future payments should
be based on claims experience in the past and on assumptions describing the
way in which future payments depend on those in the past. In the present
paper, we develop some basic principles of prediction with special emphasis
on affine–linear or linear prediction and on prediction in the linear model.

Agenda - National Association of Insurance Commissioners

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