Explicit moments for a class of micro-models in non-life insurance

DOI10.1016/J.INSMATHECO.2019.10.001zbMATH Open1427.91244OpenAlexW2981147037WikidataQ127063570 ScholiaQ127063570MaRDI QIDQ2010902FDOQ2010902

Felix Wahl

Publication date: 28 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.001

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zbMATH Keywords

loss reservingPoisson processriskstochastic claims reservingsolvency

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Double chain ladder
• Title not available (Why is that?)
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• On the Foundations of Statistical Inference
• Probability: A Graduate Course
• Addendum to: ``The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The one-year non-life insurance risk
• A contribution to modelling of IBNR claims
• Micro-level stochastic loss reserving for general insurance
• Title not available (Why is that?)
• Non-life insurance mathematics. An introduction with the Poisson process
• The collective reserving model
• CHAIN LADDER AND ERROR PROPAGATION
• Title not available (Why is that?)
• Estimation for nonhomogeneous Poisson processes from aggregated data

Cited In (3)

• Modeling the occurrence of events subject to a reporting delay via an EM algorithm
• Integral and differential equations for the moments of multistate models in health insurance
• Stochastic loss reserving using individual information model with over-dispersed Poisson

Uses Software

• DCL

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