A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING

Patrizia Gigante, Liviana Picech and Luciano Sigalotti

ASTIN Bulletin, 2018, vol. 48, issue 1, 25-53

Abstract: We 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 h-likelihood 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.

Date: 2018
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