Modeling dependencies in claims reserving with GEE

DOI10.1016/J.INSMATHECO.2013.09.018zbMATH Open1290.62098arXiv1306.3768OpenAlexW2962811422MaRDI QIDQ2015647FDOQ2015647

Šárka Hudecová, Michal Pešta

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Abstract: 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 generalized estimating equations (GEE) for estimation of the claims reserves is shown. Claim triangles 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 provided as an illustration of the potential benefits of the presented approach.

Full work available at URL: https://arxiv.org/abs/1306.3768

zbMATH Keywords

generalized estimating equationsclaims reservingmodel selection criteriondependency modelingmean square error estimation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Title not available (Why is that?)
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Cited In (7)

• A generalized linear model with smoothing effects for claims reserving
• AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL
• Infinitely stochastic micro reserving
• FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
• Conditional least squares and copulae in claims reserving for a single line of business
• Tweedie double GLM loss triangles with dependence within and across business lines
• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Uses Software

• geepack

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