MODELLING DEPENDENT INCURRED BUT NOT REPORTED CLAIMS WITH GENERALIZED ESTIMATING EQUATIONS
Generalized linear models (GLMs) are a commonly used approach for estimating insurance claims reserves. These models assume that the claims in different origin and development years are independent variables. However, this assumption may not always hold true, leading to potentially incorrect pred...
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| Main Author: | |
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/71061 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Generalized linear models (GLMs) are a commonly used approach for estimating
insurance claims reserves. These models assume that the claims in different origin
and development years are independent variables. However, this assumption may
not always hold true, leading to potentially incorrect predictions of the claim
reserves or misleading estimates of the prediction error. To address this issue, this
project investigates the use of generalized estimating equations (GEEs) for the
estimation of claims reserves. GEEs allow for the incorporation of correlated data,
such as the claims within the same accident year, which loss development triangle
are treated as panel data in the analysis. A range of correlation structures can be
considered within the GEE framework, and model selection criteria are proposed.
Additionally, a method for estimating the mean square error of prediction for the
claims reserves is derived and discussed, along with real data examples to illustrate
the utility of the presented approach. |
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