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Article

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

1
Quantact/Département de mathématiques, Université du Québec à Montréal, Montreal, QC H2X 3Y7, Canada
2
Département de Sciences Économiques, Université de Rennes 1, Rennes 35000, France
*
Author to whom correspondence should be addressed.
Academic Editor: Montserrat Guillén
Risks 2016, 4(2), 12; https://doi.org/10.3390/risks4020012
Received: 29 February 2016 / Revised: 19 April 2016 / Accepted: 2 May 2016 / Published: 14 May 2016
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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MDPI and ACS Style

Charpentier, A.; Pigeon, M. Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective). Risks 2016, 4, 12. https://doi.org/10.3390/risks4020012

AMA Style

Charpentier A, Pigeon M. Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective). Risks. 2016; 4(2):12. https://doi.org/10.3390/risks4020012

Chicago/Turabian Style

Charpentier, Arthur, and Mathieu Pigeon. 2016. "Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)" Risks 4, no. 2: 12. https://doi.org/10.3390/risks4020012

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