We consider a Generalized Linear Mixed Model for claims reserving with the aim of taking account of external information, besides the usual data given by a claims development triangle of observations. The external data are incorporated into the model by connecting them with the random effects. A numerical example is provided.
Generalized Linear Mixed Models for Claims Reserving and the Bornhuetter-Ferguson Method
GIGANTE, PATRIZIA;PICECH, LIVIANA;
2011-01-01
Abstract
We consider a Generalized Linear Mixed Model for claims reserving with the aim of taking account of external information, besides the usual data given by a claims development triangle of observations. The external data are incorporated into the model by connecting them with the random effects. A numerical example is provided.File in questo prodotto:
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