Loss prediction in a linear model under a linear constraint

摘要

Loss reserving is an important subject of actuarial mathematics. It aims at the prediction of future losses caused by claims which have incurred in the past but have not yet been closed. The problem of predicting such losses is particularly important in liability insurance.rnIn the present paper we study conjoint prediction of paid and incurred losses in a linear model with a linear constraint which is intended to reduce the gap between the predictors of ultimate paid and incurred losses. We thus present an application to actuarial mathematics of the general result established by Kloberdanz and Schmidt (AStA Adv. Stat. Anal. 92:207-215, 2008).