Modeling dependencies in claims reserving with GEE

A common approach to the claims reserving problem is based on generalized linear models (GLM), where the claims in different origin and development years are assumed to be independent variables. If this is violated, the classical techniques may provide incorrect predictions of the claims reserves or even misleading estimates of the prediction error.

MoreLess

Year of publication:	2013
Authors:	Hudecová, Šárka ; Pešta, Michal
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 3, p. 786-794
Publisher:	Elsevier
Subject:	IM10 \| IM20 \| IM40 \| Claims reserving \| Dependency modeling \| Generalized estimating equations \| Model selection criterion \| Mean square error estimation

More details

Type of publication:	Article
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046616