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Using Generalized Linear Models to Develop Loss Triangles in Reserving


Abstract The use of generalized linear models in loss reserving is not new; many statistical models have been developed to fit the loss data gathered by various insurance companies. The most popular models belong to what Glen Barnett and Ben Zehnwirth in "Best Estimates for Reserves" call the "extended link ratio family (ELRF)," as they are developed from the chain ladder algorithm used by actuaries to estimate unpaid claims. Although these models are intuitive and easy to implement, they are nevertheless flawed because many of the assumptions behind the models do not hold true when fitted with real-world data. Even more problematically, the ELRF cannot account for environmental changes like inflation which are often observed in ... (more)
Created Date 2018-05
Contributor Zhang, Zhihan Jennifer (Author) / Milovanovic, Jelena (Thesis Director) / Tomita, Melissa (Committee Member) / Zicarelli, John (Committee Member) / W.P. Carey School of Business / School of Mathematical and Statistical Sciences / Barrett, The Honors College
Subject Actuarial Science / Loss Reserving / Generalized Linear Models / Insurance
Series Academic Year 2017-2018
Type Text
Extent 32 pages
Language English
Copyright
Reuse Permissions All Rights Reserved
Collaborating Institutions Barrett, the Honors College
Additional Formats MODS / OAI Dublin Core / RIS


  Zhang_Z_Spring 2018.pdf
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