Dispersion modelling of outstanding claims with double Poisson regression models

DOI10.1016/J.INSMATHECO.2021.10.002MaRDI QIDQ2665876zbMATH OpenOpenAlexFDO

Authors Guangyuan Gao, Shengwang Meng, Yanlin Shi

Publication date 19 November 2021

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.10.002

zbMATH Keywords

approximate restricted or residual maximum likelihood (approximate REML)chain-ladder techniquedouble Poisson distributionincurred but not reported (IBNR) claimsover-dispersed Poisson modelprediction error

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

• A note on the overdispersed Poisson family.
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Prediction error in the overdispersed Poisson model for loss development triangles
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE

Cites work

• A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL
• An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion
• An extended quasi-likelihood function
• Claims Reserving Using Tweedie's Compound Poisson Model
• Double chain ladder, claims development inflation and zero-claims
• Double Exponential Families and Their Use in Generalized Linear Regression
• Full Bayesian analysis of claims reserving uncertainty
• Generalized log-normal chain-ladder
• scientific article; zbMATH DE number 2111709 (Why is no real title available?)
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Negative Binomial Regression
• Neural network embedding of the over-dispersed Poisson reserving model
• Over-Dispersed Age-Period-Cohort Models
• Recovery of inter-block information when block sizes are unequal
• The geometric chain-ladder
• The reserve uncertainties in the chain ladder model of Mack revisited

Cited in

(7)

• A note on the overdispersed Poisson family.
• Prediction of outstanding payments in a Poisson cluster model
• scientific article; zbMATH DE number 553770 (Why is no real title available?)
• Provisions for Outstanding Claims with Distance-Based Generalized Linear Models
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
• Claims Reserving with a Robust Generalized Additive Model

Describes a project that uses

Uses Software

• COUNT
• DCL

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