Generalized additive models for location, scale and shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...

In this paper, the individual claim reserving model proposed by Pigeon et al. (2013) is extended to include paid and incurred data. Analytic expressions are derived for the expected ultimate losses, given observed development patterns. The usefulness of this new model is illustrated using a...