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