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Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications*

Published online by Cambridge University Press:  17 April 2015

Gary G. Venter
Gary G. Venter*
Affiliation:
E-mail: [email protected]
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Abstract

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The formulation of generalized linear models in Klugman, Panjer and Willmot (2004) is a bit more general than is often seen, in that the residuals are not restricted to following a member of the exponential family. Some of the distributions this allows have potentially useful applications. The cost is that there is no longer a single form for the likelihood function, so each has to be fit directly. Here the use of loss distributions (frequency, severity and aggregate) in generalized linear models is addressed, along with a few other possibilities.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 2 , November 2007 , pp. 345 - 364
Copyright
Copyright © ASTIN Bulletin 2007

Footnotes

*

An earlier version of this paper was posted to the August 2007 E-Forum of the Casualty Actuarial Society.

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