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

DOI10.1016/J.INSMATHECO.2019.10.001MaRDI QIDQ2010902zbMATH OpenOpenAlexWikidataFDO

Authors 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

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)

Recommendations

• scientific article; zbMATH DE number 3978233
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Cites work

• scientific article; zbMATH DE number 3686629 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• A contribution to modelling of IBNR claims
• 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
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• Chain ladder and error propagation
• Double chain ladder
• Estimation for nonhomogeneous Poisson processes from aggregated data
• Micro-level stochastic loss reserving for general insurance
• Non-life insurance mathematics. An introduction with the Poisson process
• On the Foundations of Statistical Inference
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Probability: A Graduate Course
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The collective reserving model
• The one-year non-life insurance risk

Cited in

(4)

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

Describes a project that uses

Uses Software

• DCL

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