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

• Main Authors: Stefano Cavastracci Strascia, Agostino Tripodi
• Format: Article
• Language: English
• Published: MDPI AG 2018-12-01
• Series: Risks
• Subjects: claims reserving; prediction error; claims development result; one year view
• Online Access: https://www.mdpi.com/2227-9091/6/4/139

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.