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Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications

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  • Venter, Gary G.

Abstract

The formulation of generalized linear models in Klugman, Panjer and Willmot (2004) is a bit more general than is often seen, in that the residuals are not restricted to following a member of the exponential family. Some of the distributions this allows have potentially useful applications. The cost is that there is no longer a single form for the likelihood function, so each has to be fit directly. Here the use of loss distributions (frequency, severity and aggregate) in generalized linear models is addressed, along with a few other possibilities.

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  • Venter, Gary G., 2007. "Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications," ASTIN Bulletin, Cambridge University Press, vol. 37(2), pages 345-364, November.
    • Handle: RePEc:cup:astinb:v:37:y:2007:i:02:p:345-364_01
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    Cited by:

    1. Erkki K. Laitinen, 2012. "Profitability, Growth, and Different Flow Ratio Concepts: Implications for Failing Firms," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 112-130, November.
    2. Mark Burgin & Gunter Meissner, 2012. "Larger than One Probabilities in Mathematical and Practical Finance," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 1-13, November.
    3. Stefano Cavastracci Strascia & Agostino Tripodi, 2018. "Overdispersed-Poisson Model in Claims Reserving: Closed Tool for One-Year Volatility in GLM Framework," Risks, MDPI, vol. 6(4), pages 1-24, December.

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