Aggregate claim estimation using bivariate hidden Markov model

DOI10.1017/ASB.2018.29MaRDI QIDQ4629478zbMATH OpenOpenAlexWikidataFDO

Authors Zarina Nukeshtayeva Oflaz, Ceylan Yozgatligil, A. Sevtap Selcuk-Kestel

Publication date 27 March 2019

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2018.29

zbMATH Keywords

bivariate hidden Markov modelclaim estimationEM algorithmMTPLViterbi algorithm

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A marked Cox model for the number of IBNR claims: theory
• A micro-level claim count model with overdispersion and reporting delays
• A multivariate aggregate loss model
• Conditional least squares and copulae in claims reserving for a single line of business
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Generalized linear models for dependent frequency and severity of insurance claims
• Hidden Markov Models for Time Series
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 4088699 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Measuring the impact of dependence between claims occurrences.
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Modeling dependencies in claims reserving with GEE
• Nonlife actuarial models. Theory, methods and evaluation.
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On a correlated aggregate claims model with thinning-dependence structure
• On the dependency of risks in the individual life model
• On the distributions of two classes of correlated aggregate claims
• Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

Cited in

(1)

• A nonhomogeneous Poisson hidden Markov model for claim counts

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