Artikel
Macro vs. micro methods in non-life claims reserving (an econometric perspective)
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.
- Sprache
-
Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 4 ; Year: 2016 ; Issue: 2 ; Pages: 1-18 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
loss reserving
clustering
generalized linear mixed models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Charpentier, Arthur
Pigeon, Mathieu
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2016
- DOI
-
doi:10.3390/risks4020012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Charpentier, Arthur
- Pigeon, Mathieu
- MDPI
Entstanden
- 2016
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