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Calendar year effect modeling for claims reserving in hglm

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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001  MAP20190032124
003  MAP
005  20191106164250.0
008  191106e20190902esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130010403‎$a‎Gigante, Patrizia
24510‎$a‎Calendar year effect modeling for claims reserving in hglm‎$c‎Patrizia Gigante, Liviana Picech, Luciano Sigalotti
520  ‎$a‎Claims reserving models are usually based on data recorded in run-off tables, according to the origin and the development years of the payments. The amounts on the same diagonal are paid in the same calendar year and are influenced by some common effects, for example, claims inflation, that can induce dependence among payments. We introduce hierarchical generalized linear models (HGLM) with risk parameters related to the origin and the calendar years, in order to model the dependence among payments of both the same origin year and the same calendar year. Besides the random effects, the linear predictor also includes fixed effects. All the parameters are estimated within the model by the h-likelihood approach. The prediction for the outstanding claims and an approximate formula to evaluate the mean square error of prediction are obtained. Moreover, a parametric bootstrap procedure is delineated to get an estimate of the predictive distribution of the outstanding claims. A Poisson-gamma HGLM with origin and calendar year effects is studied extensively and a numerical example is provided. We find that the estimates of the correlations can be significant for payments in the same calendar year and that the inclusion of calendar effects can determine a remarkable impact on the prediction uncertainty.
650 4‎$0‎MAPA20080602642‎$a‎Modelos de simulación
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080629618‎$a‎Reservas técnicas para siniestros
650 4‎$0‎MAPA20080567118‎$a‎Reclamaciones
7001 ‎$0‎MAPA20180003073‎$a‎Picech, Liviana
7001 ‎$0‎MAPA20180003080‎$a‎Sigalotti, Luciano
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/09/2019 Volumen 49 Número 3 - septiembre 2019 , p. 763-786