Cálculo de reservas con modelos lineales generalizados mixtos haciendo uso del software R

摘要

[eng] It is presented an application of generalized linear mixed models to the claim reserving problem, when data is of individual type, that generally corresponds to RBNS (Reported But Not Settled) claims. Reserves by years of origin and total are calculated and, with parametric bootstrap, predictive distributions of these reserves are estimated. Generalized linear mixed models are estimated using frequentist statistic. The used software is R, especially the lme4 package, although it is also used SAS. Results are compared with those of the Chain-Ladder method.