Overdispersed-Poisson Model in Claims Reserving: Closed Tool for One-Year Volatility in GLM Framework

Stefano Cavastracci Strascia and Agostino Tripodi
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Stefano Cavastracci Strascia: IVASS, Prudential Supervision, 00187 Rome, Italy
Agostino Tripodi: IVASS, Prudential Supervision, 00187 Rome, Italy

Risks, 2018, vol. 6, issue 4, 1-24

Abstract: The aim of this paper is to carry out a closed tool to estimate the one-year volatility of the claims reserve, calculated through the generalized linear models (GLM), notably the overdispersed- Poisson model. Up to now, this one-year volatility has been estimated through the well-known bootstrap methodology that demands the use of the Monte Carlo method with a re-reserving technique. Nonetheless, this method is time consuming under the calculation point of view; therefore, approximation techniques are often used in practice, such as an emergence pattern based on the link between the one-year volatility—resulting from the Merz–Wüthrich method—and the ultimate volatility—resulting from the Mack method.

Keywords: claims reserving; prediction error; claims development result; one year view (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:6:y:2018:i:4:p:139-:d:188175

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