A micro-level claim count model with overdispersion and reporting delays
From MaRDI portal
Publication:2374091
Recommendations
- Duration dependence models for claim counts
- scientific article; zbMATH DE number 232287
- Prediction of IBNR claim counts by modelling the distribution of report lags
- On unreported claims models and beta-model for randomized probability of reported claims
- Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
- A multivariate claim count model for applications in insurance
- Regime-Switching Periodic Models For Claim Counts
- Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
- On the credibility of insurance claim frequency: generalized count models and parametric estimators
- Dependence modeling of frequency-severity of insurance claims using waiting time
Cites work
- scientific article; zbMATH DE number 3114766 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- A marked Cox model for the number of IBNR claims: theory
- Actuarial Modelling of Claim Counts
- Affine processes for dynamic mortality and actuarial valuations
- Affine stochastic mortality
- An EM algorithm for estimation in Markov-modulated Poisson processes
- An Individual Claims Reserving Model
- Applying copula models to individual claim loss reserving methods
- Doubly stochastic Poisson processes
- Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data
- Exponential inequalities for ruin probabilities in the Cox case
- Financial Modelling with Jump Processes
- Generalized Linear Models for Insurance Data
- Handbook of Markov Chain Monte Carlo
- Individual loss reserving using paid-incurred data
- Individual loss reserving with the multivariate skew normal framework
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- Loss models. From data to decisions
- Micro-level stochastic loss reserving for general insurance
- On Cox processes and credit risky securities
- Prediction of Outstanding Liabilities II. Model Variations and Extensions
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Semiparametric model for prediction of individual claim loss reserving
- Stochastic claims reserving methods in insurance
Cited in
(25)- Continuous chain-ladder with paid data
- Joint model prediction and application to individual-level loss reserving
- The impacts of individual information on loss reserving
- Regime-Switching Periodic Models For Claim Counts
- Modeling the occurrence of events subject to a reporting delay via an EM algorithm
- Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims
- Modeling the number of hidden events subject to observation delay
- Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks
- Estimating IBNR claim counts using different levels of data aggregation
- Analysis of an aggregate loss model in a Markov renewal regime
- Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance
- COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE
- Micro-level stochastic loss reserving for general insurance
- Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data
- Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
- A marked Cox model for the number of IBNR claims: estimation and application
- 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
- Statistical inference for partially observed Markov-modulated diffusion risk model
- Individual loss reserving for multi-coverage insurance
- A marked Cox model for the number of IBNR claims: theory
- Marked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays
- Aggregate claim estimation using bivariate hidden Markov model
- Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
- On the analysis of time dependent claims in a class of birth process claim count models
This page was built for publication: A micro-level claim count model with overdispersion and reporting delays
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2374091)
