Abstract
We propose a double Poisson claims reserving model with a flexible dispersion structure. The over-dispersed Poisson model is a special case of our proposed model. The maximum likelihood estimates (MLE) of mean coefficients and the residual maximum likelihood (REML) estimates of dispersion coefficients are obtained by the method of scoring. We derive the prediction error for both the incurred but not reported (IBNR) claims of each accident year and the total IBNR claims. By a quasi-likelihood approach, the proposed scoring method can be applied to non-integer or negative incremental claims. The empirical studies show that our proposed model provides a more reasonable result than the over-dispersed Poisson model.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
