Estimating IBNR claim counts using different levels of data aggregation

DOI10.1080/03610918.2019.1705973MaRDI QIDQ5866139zbMATH OpenOpenAlexFDO

Authors Liivika Tee, Meelis Käärik

Publication date 13 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1705973

zbMATH Keywords

chain-ladder methodclaims reservingcontinuous chain-ladderdensity estimationIBNR claimskernel smoothingpredictive modeling

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A kernel method of estimating structured nonparametric regression based on marginal integration
• A marked Cox model for the number of IBNR claims: estimation and application
• A marked Cox model for the number of IBNR claims: theory
• Addendum to “kernel estimators for multivariate regression”
• An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Individual loss reserving with the multivariate skew normal framework
• Micro-level stochastic loss reserving for general insurance
• Multivariate Boundary Kernels and a Continuous Least Squares Principle
• Multivariate Boundary Kernels from Local Linear Estimation
• Multivariate density estimation. Theory, practice, and visualization
• Nonparametric density estimation for multivariate bounded data
• On the relationship between classical chain ladder and granular reserving
• Stochastic claims reserving methods in insurance

Cited in

(2)

• Application of improved multiple imputation method in the estimation of the outstanding claims reserve with missing data
• Marked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays

Describes a project that uses

Uses Software

• R
• KernSmooth

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