Analysis of IBNR liabilities with interevent times depending on claim counts

DOI10.1007/S11009-022-09950-5zbMATH Open1489.91295OpenAlexW4283267320MaRDI QIDQ2152242FDOQ2152242

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

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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)

Cites Work

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

Cited In (6)

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

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