The issue of modeling and forecasting IBNR (incurred but not reported) actuarial reserve under Kalman filter techniques and extensions, using data arranged in a runoff triangle, is a frequent theme in the literature. One quite recent approach is to order the runoff triangle under a row-wise fashion and use linear state-space models for the resulting data set. To allow new possibilities for short-term IBNR reserves as well as to mitigate insolvency risk, in this paper we extend such a state-space method by: (i) a calendar year IBNR reserve prediction; and (ii) a tail effect for the row-wise ordered triangle. The extension is implemented with a real runoff triangle and compared with some traditional IBNR predictors. Empirical results indicate that the approach of this paper outperforms the competing methods in terms of out-of-sample comparisons and gives more conservative IBNR reserves than the original statespace method.
RESUMOObjetivou-se com este estudo utilizar a técnica de análise de agrupamento para classificar modelos de regressão não lineares usados para descrever a curva de crescimento de frangos de corte, levando em consideração os resultados de diferentes avaliadores de qualidade de ajuste. Para tanto, utilizaram-se dados de peso corporal e idade dos seguintes grupos genéticos de frangos de corte: Cobb500, Hubbard Flex e Ross308, de ambos os sexos, constituindo, assim, seis classes. Foram ajustados 10 modelos não lineares, cuja qualidade de ajuste foi medida pelo coeficiente de determinação ajustado, pelos critérios de informação de Akaike e bayesiano, pelo quadrado médio do erro e pelo índice assintótico. A análise de agrupamento indicou os modelos logístico, Michaelis-Menten, Michaelis-Menten modificado e von Bertalanffy como os mais adequados à descrição das curvas de crescimento das seis classes estudadas.
Palavras-chave: agrupamento, curva de crescimento, idade, peso corporal
ABSTRACT
The aim of this study was to classify non-linear models used to describe the growth curve of broilers using the cluster analysis technique, taking into account the results of different measures of quality
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