A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING

Content Provider	Scilit
Author	Gigante, Patrizia Picech, Liviana Sigalotti, Luciano
Copyright Year	2016
Description	We consider a Tweedie's compound Poisson regression model with fixed and random effects, to describe the payment numbers and the incremental payments, jointly, in claims reserving. The parameter estimates are obtained within the framework of hierarchical generalized linear models, by applying the h-likelihood approach. Regression structures are allowed for the means and also for the dispersions. Predictions and prediction errors of the claims reserves are evaluated. Through the parameters of the distributions of the random effects, some external information (e.g. a development pattern of industry wide-data) can be incorporated into the model. A numerical example shows the impact of external data on the reserve and prediction error evaluations.
Related Links	https://core.ac.uk/download/pdf/84677694.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/2A9EC0A40D62F8A6B0076D8664332942/S0515036116000301a.pdf/div-class-title-a-mixture-model-for-payments-and-payment-numbers-in-claims-reserving-div.pdf
Ending Page	53
Page Count	29
Starting Page	25
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/asb.2016.30
Journal	ASTIN Bulletin
Issue Number	1
Volume Number	48
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2018-01-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Cybernetical Science Tweedie's Compound Poisson Model Conditional Mean Square Error of Prediction Hierarchical Generalized Linear Models
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics