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Risks 2016, 4(2), 12;

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

Quantact/Département de mathématiques, Université du Québec à Montréal, Montreal, QC H2X 3Y7, Canada
Département de Sciences Économiques, Université de Rennes 1, Rennes 35000, France
Author to whom correspondence should be addressed.
Academic Editor: Montserrat Guillén
Received: 29 February 2016 / Revised: 19 April 2016 / Accepted: 2 May 2016 / Published: 14 May 2016
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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. View Full-Text
Keywords: loss reserving; clustering; generalized linear mixed models loss reserving; clustering; generalized linear mixed models

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Charpentier, A.; Pigeon, M. Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective). Risks 2016, 4, 12.

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