Estimating IBNR Claims Reserves using Gamma model and GLIM
Abstract
This paper is concerned with the prediction of outstanding claims amounts on a portfolio of general insurance policies, the extension of the standard actuarial techniques (the chain ladder technique) and the development of a statistical analogue of the original chain ladder method. The aims are therefore to develop a gamma distribution model in GLIM and apply it to the IBNR problem that assumes a multiplicative structure
Citation
Estimating IBNR Claims Reserves using Gamma model and GLIM, The Nigerian Journal of Risk and Insurance, 2003, Vol. 4 No. 1: 1 – 11.Publisher
University of Nairobi. School of Mathematics