A micro-level claim count model with overdispersion and reporting delays

DOI10.1016/j.insmatheco.2016.07.002zbMath1371.91077OpenAlexW3123426247MaRDI QIDQ2374091

Benjamin Avanzi, Xinda Yang, Bernard Wong

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/243005

zbMATH Keywords

Markov chain Monte CarlofilteringCox processshot noiseinsurance claims counts

Mathematics Subject Classification ID

Related Items (14)

Statistical inference for partially observed Markov-modulated diffusion risk model ⋮ JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING ⋮ A marked Cox model for the number of IBNR claims: theory ⋮ Modeling the occurrence of events subject to a reporting delay via an EM algorithm ⋮ Continuous chain-ladder with paid data ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Modeling the number of hidden events subject to observation delay ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data ⋮ Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework ⋮ COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION

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