Non-life insurance companies need to set aside reserves to meet their claims liability cash flows. The Double Chain Ladder (DCL) approach uses more run-off triangles of data to improve the estimates obtained by the classical chain ladder applied to the run-off triangle of payments only. In this paper we follow an analogous approach but in the framework of Hierarchical Generalized Linear Models (HGLMs). The estimates obtained by the two methods are compared.
DCL and HGLM approaches in claims reserving: a comparison
GIGANTE, PATRIZIA;PICECH, LIVIANA;
2014-01-01
Abstract
Non-life insurance companies need to set aside reserves to meet their claims liability cash flows. The Double Chain Ladder (DCL) approach uses more run-off triangles of data to improve the estimates obtained by the classical chain ladder applied to the run-off triangle of payments only. In this paper we follow an analogous approach but in the framework of Hierarchical Generalized Linear Models (HGLMs). The estimates obtained by the two methods are compared.File in questo prodotto:
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