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A Mixture model for payments and payment numbers in claims reserving

Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20180005428
003  MAP
005  20180320110144.0
008  180223e20180101bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20130010403‎$a‎Gigante, Patrizia
24512‎$a‎A Mixture model for payments and payment numbers in claims reserving‎$c‎Patrizia Gigante, Liviana Picech, Luciano Sigalotti
520  ‎$a‎We consider a Tweedie's compound Poisson regression model with fixed and random effects, to describe the payment numbers and the incremental payments, jointly, in claims reserving. The parameter estimates are obtained within the framework of hierarchical generalized linear models, by applying the hlikelihood approach. Regression structures are allowed for the means and also for the dispersions. Predictions and prediction errors of the claims reserves are evaluated. Through the parameters of the distributions of the random effects, some external information (e.g. a development pattern of industry wide-data) can be incorporated into the model. A numerical example shows the impact of external data on the reserve and prediction error evaluations.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080597665‎$a‎Métodos estadísticos
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20180003073‎$a‎Picech, Liviana
7001 ‎$0‎MAPA20180003080‎$a‎Sigalotti, Luciano
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2018 Volumen 48 Número 1 - enero 2018 , p. 25-53