Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)

Arthur Charpentier (1, 2) , Mathieu Pigeon (1)

1 UQAM - Université du Québec à Montréal = University of Québec in Montréal
2 CREM - Centre de recherche en économie et management

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.

Mots clés: Loss reserving; Clustering; Generalized Linear Mixed Models

Domaines: Statistiques [math.ST]; Economies et finances

Arthur Charpentier, Mathieu Pigeon. Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective). 2016. ⟨hal-01280033⟩