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Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective) (1602.08773v1)
Published 28 Feb 2016 in stat.AP
Abstract: Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves, with "macro" and "micro" models. We study theoretical properties of econometric models (Gaussian, Poisson and quasi-Poisson) on individual data, and clustered data. Finally, application on claims reserving are considered.