For calculating non-life insurance premiums, actuaries traditionally rely on separate severity and frequency models using covariates to explain the claims loss exposure. In this paper, we focus on the claim severity. First, we build two reference models, a generalized linear model and a...

This study on explaining aggregated recovery rates (ARR) is based on the largest existing loss and recovery database for commercial loans provided by Global Credit Data, which includes defaults from 5 continents and over 120 countries. The dependence of monthly ARR from bank loans on various...