An application of randomly truncated data models in reserving IBNR claims

DOI10.1016/S0167-6687(99)00028-1zbMATH Open0947.62072OpenAlexW2025869848MaRDI QIDQ1962822FDOQ1962822

Authors: Tomáš Herbst 

Publication date: 30 March 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00028-1

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zbMATH Keywords

IBNR claimscompound Poisson modelmodel of randomly truncated data

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Empirical distributions in selection bias models
• A Semiparametric Model for Randomly Truncated Data
• Estimating a distribution function with truncated data
• Title not available (Why is that?)
• Random truncation models and Markov processes
• Prediction of claim numbers based on hazard rates
• Prediction of IBNR claim counts by modelling the distribution of report lags

Cited In (9)

• Discrete-time survival analysis under ranked set sampling: an application to Turkish motor insurance data
• A contribution to modelling of IBNR claims
• Fast adaptive estimation of log-additive exponential models in Kullback-Leibler divergence
• Tail product-limit process for truncated data with application to extreme value index estimation
• Estimating extreme quantiles under random truncation
• Applying copula models to individual claim loss reserving methods
• Semiparametric model for prediction of individual claim loss reserving
• Title not available (Why is that?)
• Modelling catastrophe claims with left-truncated severity distributions

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