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

Author

Listed:
  • Stefano Cavastracci Strascia

    (IVASS, Prudential Supervision, 00187 Rome, Italy
    These authors contributed equally to this work.)

  • Agostino Tripodi

    (IVASS, Prudential Supervision, 00187 Rome, Italy
    These authors contributed equally to this work.)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:gam:jrisks:v:6:y:2018:i:4:p:139-:d:188175
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    References listed on IDEAS

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    1. Björkwall, Susanna & Hössjer, Ola & Ohlsson, Esbjörn & Verrall, Richard, 2011. "A generalized linear model with smoothing effects for claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 27-37, July.
    2. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
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