Modeling Dependencies in Claims Reserving with GEE

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Modeling Dependencies in Claims Reserving with GEE

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Modeling Dependencies in Claims Reserving with GEE

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Insurance: Mathematics and Economics

ISSN

0167-6687

e-ISSN

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Svazek periodika

53

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

9

Strana od-do

786-794

Kód UT WoS článku

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EID výsledku v databázi Scopus

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