Blending models

It is common for the valuation of a single business segment to rely on several actuarial models. The question then arises: "How should the results from the various models be blended together into a single result?"

An ad-hoc approach, or use of arbitrary weights, can result in anomalous outcomes (for example, a disjointed progression of the ratio of Outstanding Liability to Case Estimates by accident year).

The following example shows the projected liability from three separate models (PPCI, PPCF, and PCE) by accident year (with higher accident year numbers indicating a more recent year).