Macro vs. Micro Methods in Non-Life Claims Reserving an Econometric PerspectiveReport as inadecuate




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1 UQAM - UQAM 2 CREM - Centre de Recherche en Economie et Management

Abstract : Traditionally, actuaries have used run-off triangles to estimate reserve -macro- models, on agregated data. But 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, application on claims reserving are considered.

Keywords : Loss reserving Clustering Generalized Linear Mixed Models





Author: Arthur Charpentier - Mathieu Pigeon -

Source: https://hal.archives-ouvertes.fr/



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