Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

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Date

28 février 2016

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HAL-SHS : économie et finance

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Archives ouvertes

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Centre pour la communication scientifique directe

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info:eu-repo/semantics/OpenAccess

Mots-clés En

Loss reserving Clustering Generalized Linear Mixed Models

Sujets proches En

War claims Claims--Law and legislation International claims Private claims

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Arthur Charpentier et al., « Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective) », HAL-SHS : économie et finance, ID : 10670/1.vpg2hq

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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.

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