Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

Arthur Charpentier and Mathieu Pigeon ()
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Mathieu Pigeon: UQAM - Université du Québec à Montréal = University of Québec in Montréal

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Abstract: Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves, with "macro" and "micro" models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, application on claims reserving are considered.

Keywords: Loss reserving; Clustering; Generalized Linear Mixed Models (search for similar items in EconPapers)
Date: 2016-02-28
Note: View the original document on HAL open archive server: https://hal.science/hal-01280033
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Citations: View citations in EconPapers (3)

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Journal Article: Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective) (2016)
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