Interpolation Along a Curve

By Joseph A. Boor

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Abstract

Actuaries quite often have to interpolate data to obtain quantities such as loss development factors (LDFs) for maturities in between the maturities included in a loss development triangle, or increased limits factors for limits between the data points used in the increased limits analysis. This paper presents an approach that includes the advantages of using fitted curves for non-linear data, and that avoids the errors arising from mismatches between patterns in the data and patterns inherent to the curve family used for interpolation.

Keywords Interpolation, loss development, increased limits, curve fitting

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Citation

Boor, Joseph A., "Interpolation Along a Curve," Variance 8:1, 2014, p. 9.

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Mission Statement

Variance (ISSN 1940-6452) is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.