Infinitely stochastic micro reserving
DOI10.1016/J.INSMATHECO.2021.04.007zbMATH Open1471.91474OpenAlexW3153160848MaRDI QIDQ2234749FDOQ2234749
Authors: Matúš Maciak, Ostap Okhrin, Michal Pešta 
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.007
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consistencymarked point processHawkes processdynamic panel datarisk valuationtime-varying modelmicro claims reservingstochastic prediction
Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Prediction theory (aspects of stochastic processes) (60G25)
Cites Work
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- Maximum Likelihood Estimation of Misspecified Models
- Two-step estimation for inhomogeneous spatial point processes
- Stochastic Limit Theory
- Stochastic claims reserving methods in insurance
- Prediction of Outstanding Liabilities II. Model Variations and Extensions
- Multivariate Hawkes processes: an application to financial data
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- Title not available (Why is that?)
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- Mutual excitation in Eurozone sovereign CDS
- A marked Cox model for the number of IBNR claims: theory
- Consistent parametric estimation of the intensity of a spatial-temporal point process
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- Random measures, theory and applications
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- A bivariate shot noise self-exciting process for insurance
- Neural network embedding of the over-dispersed Poisson reserving model
- A marked Cox model for the number of IBNR claims: estimation and application
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- Incomplete interdirections and lift-interdirections
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- On the total claim amount for marked Poisson cluster models
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Cited In (6)
- Collective reserving using individual claims data
- Maximum likelihood with a time varying parameter
- FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
- A collective reserving model with claim openness
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores
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