Individual loss reserving using paid-incurred data

DOI10.1016/j.insmatheco.2014.06.012zbMath1304.91130OpenAlexW2073375386MaRDI QIDQ2513626

Katrien Antonio, Mathieu Pigeon, Michel M. Denuit

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.012

zbMATH Keywords

predictionmultivariate skew normal distributionchain-laddergeneral insurancestochastic loss reserving

Mathematics Subject Classification ID

Related Items (19)

Stochastic loss reserving using individual information model with over-dispersed Poisson ⋮ A micro-level claim count model with overdispersion and reporting delays ⋮ Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective ⋮ Asymptotic behaviors of stochastic reserving: aggregate versus individual models ⋮ Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models ⋮ COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING ⋮ Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims ⋮ A censored copula model for micro-level claim reserving ⋮ Individual claims reserving using activation patterns ⋮ Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation ⋮ Infinitely stochastic micro reserving ⋮ Modeling the number of hidden events subject to observation delay ⋮ Collective loss reserving with two types of claims in motor third party liability insurance ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ 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 ⋮ In-sample forecasting applied to reserving and mesothelioma mortality ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING ⋮ Stochastic reserving using policyholder information via EM algorithm

Uses Software

• DCL

Cites Work

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• Paid-incurred chain claims reserving method
• A class of multivariate skew-normal models
• Double Chain Ladder
• Bootstrapping Individual Claim Histories
• Stochastic projection for large individual losses
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Statistical Applications of the Multivariate Skew Normal Distribution
• PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK
• Double Chain Ladder and Bornhuetter-Ferguson

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