Semiparametric model for prediction of individual claim loss reserving

DOI10.1016/j.insmatheco.2009.02.009zbMath1231.91259OpenAlexW1988556548MaRDI QIDQ659084

Xian Zhou, Xiao Bing Zhao, Jinglong Wang

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.02.009

zbMATH Keywords

local likelihoodloss reservingaggregated claim modelIBNR claimindividual claim loss modelsemiparametric structure

Mathematics Subject Classification ID

Related Items (16)

A micro-level claim count model with overdispersion and reporting delays ⋮ Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective ⋮ Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models ⋮ A marked Cox model for the number of IBNR claims: theory ⋮ Collective reserving using individual claims data ⋮ Micro-level stochastic loss reserving for general insurance ⋮ Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation ⋮ INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK ⋮ Infinitely stochastic micro reserving ⋮ Collective loss reserving with two types of claims in motor third party liability insurance ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ On the relationship between classical chain ladder and granular reserving ⋮ A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS ⋮ An individual claims reserving model for reported claims ⋮ An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model

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