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On the distribution of discounted loss reserves using generalized linear models |
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| Authors: | Tom Hoedemakers Jan Beirlant Marc J. Goovaerts Jan Dhaene |
| Affiliation: | 1. Department of Applied Economics , K.U. Leuven , Naamsestraat 69, 3000, Leuven, Belgium;2. University Centre for Statistics , K.U. Leuven , W. de Croylaan 54, 3001, Heverlee, Belgium;3. Institute of Actuarial Science , University of Amsterdam , Roeterstraat 11, 1018, WB, Amsterdam, Netherlands |
| Abstract: | Renshaw and Verrall [] specified the generalized linear model (GLM) underlying the chain-ladder technique and suggested some other GLMs which might be useful in claims reserving. The purpose of this paper is to construct bounds for the discounted loss reserve within the framework of GLMs. Exact calculation of the distribution of the total reserve is not feasible, and hence the determination of lower and upper bounds with a simpler structure is a possible way out. The paper ends with numerical examples illustrating the usefulness of the presented approximations. |
| Keywords: | IBNR Comonotonicity Simulation Generalized linear model Prediction |