Generalized Linear Models Beyond the Exponential Family with Loss Reserve Applications

The formulation of generalized linear models in Loss Models by Klugman, Panjer, and Willmot [5] 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.