I would like to discuss multi-horizon reserving backtesting, especially for short-tailed business.
For selected historical valuations, it would be useful to choose a forecast horizon and compare the estimate with the later observed diagonal. That makes it possible to assess one, two, or more future reporting periods rather than only the next diagonal. The youngest origin periods need to be excluded whenever their later experience was not available at the training valuation.
A helper could return one row per valuation and horizon, together with clear forecast-error measures, while leaving the choice of reserving method to the user.
The closed prototype is #1247. I am opening this issue first so the expected behaviour and API can be discussed before any implementation.
I would like to discuss multi-horizon reserving backtesting, especially for short-tailed business.
For selected historical valuations, it would be useful to choose a forecast horizon and compare the estimate with the later observed diagonal. That makes it possible to assess one, two, or more future reporting periods rather than only the next diagonal. The youngest origin periods need to be excluded whenever their later experience was not available at the training valuation.
A helper could return one row per valuation and horizon, together with clear forecast-error measures, while leaving the choice of reserving method to the user.
The closed prototype is #1247. I am opening this issue first so the expected behaviour and API can be discussed before any implementation.