Analysis of IBNR liabilities with interevent times depending on claim counts

DOI10.1007/S11009-022-09950-5MaRDI QIDQ2152242zbMATH OpenOpenAlexFDO

Authors Daniel J. Geiger, Akim Adekpedjou

Publication date 7 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-022-09950-5

zbMATH Keywords

catastrophesIBNRrandom thresholdsMarkov renewal modelsMarkovian discount rates

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Renewal theory (60K05)

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Cites work

• A collective reserving model with claim openness
• A ruin model with dependence between claim sizes and claim intervals
• Analysis of IBNR claims in renewal insurance models
• Applied Semi-Markov Processes
• Collective reserving using individual claims data
• Compound trend renewal process with discounted claims: a unified approach
• Continuous chain-ladder with paid data
• Covariance of discounted compound renewal sums with a stochastic interest rate
• Machine learning in individual claims reserving
• Matrix-Exponential Distributions in Applied Probability
• Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
• Moments of compound renewal sums with discounted claims
• On a ruin model with both interclaim times and premiums depending on claim sizes
• On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• Recursive Moments of Compound Renewal Sums with Discounted Claims
• Ruin probabilities
• The Curious History of Faa di Bruno's Formula
• The collective reserving model

Cited in

(6)

• A marked Cox model for the number of IBNR claims: theory
• Risk analysis under progressive type II censoring with binomial claim numbers
• Stochastic modelling of insurance liabilities
• Analysis of IBNR claims in renewal insurance models
• Bifurcation of attritional and large losses in an additive IBNR environment
• On the distribution of IBNR reserves

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