Journal article

A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong

Insurance: Mathematics and Economics | Elsevier | Published : 2020

Abstract

In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM reserving framework on two fronts: GLM fixed factors are allowed to evolve in a recursive manner, and dependence is incorporated in the specification of these factors using a common shock approach. We consider factors that evolve across accident years in conjunction with factors that evolve across cal-endar years. This two-dimensional evolution of factors is unconventional as a traditional evolutionary mode..

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University of Melbourne Researchers

Grants

Awarded by Australian Research Council (Allianz Australia Insurance Ltd)


Awarded by Australian Research Council (Insurance Australia Group Ltd)


Awarded by Australian Research Council (Suncorp Metway Ltd)


Awarded by Australian Research Council


Funding Acknowledgements

This research was supported under Australian Research Council's Linkage (LP130100723, with funding partners Allianz Australia Insurance Ltd, Insurance Australia Group Ltd, and Suncorp Metway Ltd) and Discovery Projects (DP200101859) funding schemes. Furthermore, Phuong Anh Vu acknowledges financial support from a University International Postgraduate Award/University Postgraduate Award and supplementary scholarships provided by the UNSW Business School, Australia. The views expressed herein are those of the authors and are not necessarily those of the supporting organisations.