A generalized linear model with smoothing effects for claims reserving
AbstractIn this paper, we continue the development of the ideas introduced inÂ England and Verrall (2001) by suggesting the use of a reparameterized version of the generalized linear model (GLM) which is frequently used in stochastic claims reserving. This model enables us to smooth the origin, development and calendar year parameters in a similar way as is often done in practice, but still keep the GLM structure. Specifically, we use this model structure in order to obtain reserve estimates and to systemize the model selection procedure that arises in the smoothing process. Moreover, we provide a bootstrap procedure to achieve a full predictive distribution.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 49 (2011)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/inca/505554
Bootstrap Generalized linear model Model selection Smoothing Stochastic claims reserving;
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- Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 355-370, October.
- Taylor, G. C. & Ashe, F. R., 1983. "Second moments of estimates of outstanding claims," Journal of Econometrics, Elsevier, vol. 23(1), pages 37-61, September.
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