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Risks 2018, 6(4), 139; https://doi.org/10.3390/risks6040139

Overdispersed-Poisson Model in Claims Reserving: Closed Tool for One-Year Volatility in GLM Framework

IVASS, Prudential Supervision, 00187 Rome, Italy
These authors contributed equally to this work.
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Received: 14 September 2018 / Revised: 22 November 2018 / Accepted: 25 November 2018 / Published: 5 December 2018
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Abstract

The aim of this paper is to carry out a closed tool to estimate the one-year volatility of the claims reserve, calculated through the generalized linear models (GLM), notably the overdispersed- Poisson model. Up to now, this one-year volatility has been estimated through the well-known bootstrap methodology that demands the use of the Monte Carlo method with a re-reserving technique. Nonetheless, this method is time consuming under the calculation point of view; therefore, approximation techniques are often used in practice, such as an emergence pattern based on the link between the one-year volatility—resulting from the Merz–Wüthrich method—and the ultimate volatility—resulting from the Mack method. View Full-Text
Keywords: claims reserving; prediction error; claims development result; one year view claims reserving; prediction error; claims development result; one year view
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Strascia, S.C.; Tripodi, A. Overdispersed-Poisson Model in Claims Reserving: Closed Tool for One-Year Volatility in GLM Framework. Risks 2018, 6, 139.

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