标题:The study of modelling problems of GLM for outstanding claims reserving based on prediction error of reserve
作者:Yan, Chun ;Qiu, Yiwei ;Zhang, Liangyu ;Liu, Wei
作者机构:[Yan, Chun ;Qiu, Yiwei ;Zhang, Liangyu ] College of Mathematics and Systems Science, Shandong University of Science and Technology, 579 Qianwangang Ro 更多
通讯作者:Yan, Chun
来源:International Journal of Reasoning-based Intelligent Systems
出版年:2015
卷:7
期:3-4
页码:193-199
DOI:10.1504/IJRIS.2015.072946
摘要:Stochastic methods for outstanding claims reserving based on generalised linear model (GLM) framework are the hotspot of actuarial theory. Based on the GLM framework, the mean square error of prediction of reserves could be calculated. Focused on GLM for outstanding claims reserving, this paper analysed two problems. One is the distribution's assumption chosen of the response variable; the other is the over-parameterisation in models. First, a weighted function was introduced to judge the effect of the model fitted under different distributions. Second, referring to Cape-Cod method, a three-parameter GLM was built by introducing more claims information to reduce the number of parameters in the predictor structure. At last, examples were given to prove the effectiveness of these methods.
© 2015 Inderscience Enterprises Ltd.
收录类别:EI
资源类型:期刊论文
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