Traditionally, outstanding claims reserves were settled using deterministic methods which resulted in point estimates of the reserves. The primary advantage of stochastic reserving models is the availability of measures of precision of reserve estimates, and in this respect, attention is focused on the root mean squared error of prediction (prediction error). Of greater interest is a full predictive distribution of possible reserve outcomes, and different methods of obtaining that distributions are described. This study considers the Over- dispersed Poisson model for claims reserving in general insurance. In the over -dispersed Poisson model for loss reserving, it is assumed that the incremental claims are independent and Poisson distributed with the expectations being the product of two factors, depending on the occurrence year and the development year, respectively. The model is cast in the form of a generalized linear model, and a quasi-likelihood approach is used. The model presented here allows the actuary to provide point estimates and measures of dispersion, as well as the complete distribution for outstanding claims from which the reserves can be derived.

Keywords: Claims reserving, chain ladder method, Over-dispersed Poisson model, Generalized Linear Models

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