Modeling of Multiple lines of business, segments and layers

The MPTF modeling framework is used to design a composite model for multiple incremental loss development arrays. The identified model describes the variability in each array and the relationships between them (a la PTF models).This has applications to modeling multiple lines of business, segments, layers and credibility modeling. Relationships between arrays involve both process correlation and parameter correlation. Clusters of lines of business are designed where correlations between any lines of business in different clusters are zero. An optimal composite model forecasts lognormal distributions for each cell in each loss development array, including the correlations between cells within in an array and between arrays. These induce correlations between forecasts for each pair of accident years, calendar years and aggregates. (This talk assumes the attendees are familiar with the material in the talk "Best Estimates: the ELRF and PTF models" or the paper "Best Estimates for Reserves," PCAS, 2000).

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