Infinitely stochastic micro reserving
DOI10.1016/j.insmatheco.2021.04.007zbMath1471.91474OpenAlexW3153160848MaRDI QIDQ2234749
Michal Pešta, Matúš Maciak, Ostap Okhrin
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
consistencymarked point processdynamic panel dataHawkes processrisk valuationtime-varying modelmicro claims reservingstochastic prediction
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Prediction theory (aspects of stochastic processes) (60G25) Actuarial mathematics (91G05)
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Cites Work
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