Modeling Dependencies in Claims Reserving with GEE
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159163" target="_blank" >RIV/00216208:11320/13:10159163 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.insmatheco.2013.09.018" target="_blank" >http://dx.doi.org/10.1016/j.insmatheco.2013.09.018</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.insmatheco.2013.09.018" target="_blank" >10.1016/j.insmatheco.2013.09.018</a>
Alternative languages
Result language
angličtina
Original language name
Modeling Dependencies in Claims Reserving with GEE
Original language description
A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assumed to be independent variables. If this assumption is violated, the classical techniques may provide incorrect predictions of the claims reserves or even misleading estimates of the prediction error. In this article, the application of generalised estimating equations (GEE) for estimation of the claims reserves is shown. Claimtriangles are handled as panel data, where claim amounts within the same accident year are dependent. Since the GEE allow to incorporate dependencies, various correlation structures are introduced and some practical recommendations are given. Model selection criteria within the GEE reserving method are proposed. Moreover, an estimate for the mean square error of prediction for the claims reserves is derived in a nonstandard way and its advantages are discussed. Real data examples are pr
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Insurance: Mathematics and Economics
ISSN
0167-6687
e-ISSN
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Volume of the periodical
53
Issue of the periodical within the volume
3
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
9
Pages from-to
786-794
UT code for WoS article
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EID of the result in the Scopus database
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