Estimating IBNR Claims Reserves using Gamma model and GLIM

Abstract

This paper is concerned with the prediction of outstanding claims amounts on a portfolio of general insurance policies, the extension of the standard actuarial techniques (the chain ladder technique) and the development of a statistical analogue of the original chain ladder method. The aims are therefore to develop a gamma distribution model in GLIM and apply it to the IBNR problem that assumes a multiplicative structure