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Influence assessment in claims reserving

Peters, S. (2008) Influence assessment in claims reserving. Master's Thesis / Essay, Industrial Engineering and Management.

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Thomas and Cook (1990) developed a method to assess influence of a single observation on point predictions in the generalized linear model. We apply their ideas to claims reserving. We consider the overdispersed Poisson model; a particular model in claims reserving and often used in practice. We develop methods to assess the influence of payments on the reserve and reserve variability. Perturbation of payments and case weights and case deletion are considered as influence measure. The results of case deletion turn out to be useful in the assessment of influence. The reserve is especially sensitive to fluctuations of payments in the corner points of the triangle. Large payments in the north-west corner have a decreasing effect on the reserve and in the southwest and north-east corner an increasing effect on the reserve. The method to assess influence of payments on the reserve detects influential payments and indicates whether the effect is increasingor decreasing. Furthermore, we describe a method to assess the influence on an estimate of the reserve variability. There is no clear relation between this influence and the location of a payment. Finally, the described methods are not applicable for the south-west and north-east corner in the triangle. Therefore, we describe an alternative method to test whether these payments differ from other payments. Different t-tests to the estimated parameters provide a measure to indicate whether the payments in the corners differ from other payments. The developed methods are a useful tool in claims reserving and they aid the expert in the detection of payments that need special attention.

Item Type: Thesis (Master's Thesis / Essay)
Degree programme: Industrial Engineering and Management
Thesis type: Master's Thesis / Essay
Language: English
Date Deposited: 15 Feb 2018 07:28
Last Modified: 15 Feb 2018 07:28

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