We consider an approach based on the hierarchical generalized linear models and h-likelihood estimators
for claims reserving in non-life insurance. The hierarchical generalized linear models represent a
class of flexible mixture models that extend the generalized linear models and the generalized linear
mixed models. The fitting algorithm and the inferential analyses can be obtained by applying standard
procedures to one or more generalized linear models, suitably defined. Our study examines how the
models can be used to obtain predictors of the claims reserves and to determine their prediction
uncertainty.
