A continuous-time model for claims reserving

DOI10.4064/AM41-4-1MaRDI QIDQ2939949zbMATH OpenOpenAlexFDO

Authors Tomasz Rolski, Agata Tomanek

Publication date 23 January 2015

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am41-4-1

zbMATH Keywords

claim reservingFFTIBNR lossesnon-homogeneous Poisson processsaddlepoint approximation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites work

• An Introduction to the Theory of Point Processes
• Panjer recursion versus FFT for compound distributions
• Prediction of outstanding payments in a Poisson cluster model
• Probability and stochastics processes.

Cited in

(16)

• A compound trend renewal model for medical/professional liabilities
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Recursive estimation of the claim rates and sizes in an insurance model
• On the calculation of prospective and retrospective reserves in non-Markov models
• Prediction of components in random sums
• Prediction in a mixed Poisson cluster model
• A marked Cox model for the number of IBNR claims: theory
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
• Claims Reserving with a Stochastic Vector Projection
• A marked Cox model for the number of IBNR claims: estimation and application
• Modelling of technical reserves of an insurance company
• Stable-\(1/2\) bridges and insurance
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• Consistent development patterns
• Prediction in a non-homogeneous Poisson cluster model

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