The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company

Code

• github.com/woali/BootErrorLossReserveHGLM
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Abstract

This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex analytical formula, the error bootstrap estimator is proposed instead. Moreover, the bootstrap procedure is used to obtain full information about the error by applying quantiles of the absolute prediction error. The full R code is available on the Github https://github.com/woali/BootErrorLossReserveHGLM.

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