A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong

Insurance: Mathematics and Economics, 2020, vol. 93, issue C, 50-71

Abstract: In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM reserving framework on two fronts: GLM fixed factors are allowed to evolve in a recursive manner, and dependence is incorporated in the specification of these factors using a common shock approach.

Keywords: Claims reserving; Evolutionary GLM; Adaptive reserving; Particle learning; Common shock models (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:93:y:2020:i:c:p:50-71

DOI: 10.1016/j.insmatheco.2020.04.007

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