A generalized linear model with smoothing effects for claims reserving
2011 (English)In: Insurance, Mathematics & Economics, ISSN 0167-6687, E-ISSN 0617-6687, Vol. 49, no 1, 27-37 p.Article in journal (Refereed) Published
In this paper, we continue the development of the ideas introduced in England and Verrall (2001) by suggesting the use of a reparameterized version of the generalized linear model (GLM) which is frequently used in stochastic claims reserving. This model enables us to smooth the origin, development and calendar year parameters in a similar way as is often done in practice, but still keep the GLM structure. Specifically, we use this model structure in order to obtain reserve estimates and to systemize the model selection procedure that arises in the smoothing process. Moreover, we provide a bootstrap procedure to achieve a full predictive distribution.
Place, publisher, year, edition, pages
2011. Vol. 49, no 1, 27-37 p.
Bootstrap; Generalized linear model, Model selection, Smoothing, Stochastic claims reserving
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:su:diva-52363DOI: 10.1016/j.insmatheco.2011.01.012ISI: 000291838200004OAI: oai:DiVA.org:su-52363DiVA: diva2:387207