Macro vs. micro methods in non-life claims reserving (an econometric perspective)

Arthur Charpentier and Mathieu Pigeon

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves with "macro" and "micro" models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, applications in claims reserving are considered.

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Year of publication:	June 2016
Authors:	Charpentier, Arthur ; Pigeon, Mathieu
Subject:	loss reserving \| clustering \| generalized linear mixed models

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