Modeling dependencies in claims reserving with GEE

Šárka Hudecová and Michal Pešta

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 786-794

Abstract: 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.

Keywords: IM10; IM20; IM40; Claims reserving; Dependency modeling; Generalized estimating equations; Model selection criterion; Mean square error estimation (search for similar items in EconPapers)
JEL-codes: C13 C33 G22 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:786-794

DOI: 10.1016/j.insmatheco.2013.09.018

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