Generalized estimating equations in claims reserving
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125099" target="_blank" >RIV/00216208:11320/12:10125099 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Generalized estimating equations in claims reserving
Original language description
The classical approaches to claims reserving problem are based on the limiting assumption that the claims in different years are independent variables. If this assumption is violated then the classical techniques provide incorrect pre- diction of the claims reserves. Hence, methods that enable modeling the dependencies among the observations are needed. In this article we show the application of generalized estimating equations (GEE) for estimation of claims reserves, and we discuss the potential benefits of this approach. It is shown that this approach leads to reasonable estimates of the outstanding loss liabilities. The method is illustrated on a Tweedie's compound Poisson model for the incremental claims since the Tweedie's family of distributionsprovides a flexible approach for modeling incremental claims within the framework of generalized linear models (GLM). Details on computation and implementation in the R program are provided.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 27th International Workshop on Statistical Modelling
ISBN
978-80-263-0251-3
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
555-560
Publisher name
Tribun EU
Place of publication
Brno
Event location
Praha
Event date
Jul 16, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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