Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/167882 
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves with "macro" and "micro" models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, applications in claims reserving are considered.
Subjects: 
loss reserving
clustering
generalized linear mixed models
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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