Individual loss reserving using paid-incurred data
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Publication:2513626
DOI10.1016/J.INSMATHECO.2014.06.012zbMATH Open1304.91130OpenAlexW2073375386MaRDI QIDQ2513626FDOQ2513626
Authors: Mathieu Pigeon, Katrien Antonio, Michel 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
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predictionmultivariate skew normal distributionchain-laddergeneral insurancestochastic loss reserving
Cites Work
- Double chain ladder
- Statistical Applications of the Multivariate Skew Normal Distribution
- Stochastic claims reserving methods in insurance
- Prediction of Outstanding Liabilities II. Model Variations and Extensions
- Double Chain Ladder and Bornhuetter-Ferguson
- A class of multivariate skew-normal models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Individual loss reserving with the multivariate skew normal framework
- Prediction of RBNS and IBNR claims using claim amounts and claim counts
- Paid-incurred chain claims reserving method
- A matrix variate skew distribution
- Bootstrapping individual claim histories
- Stochastic projection for large individual losses
- Paid-incurred chain reserving method with dependence modeling
Cited In (31)
- In-sample forecasting applied to reserving and mesothelioma mortality
- The impacts of individual information on loss reserving
- Stochastic reserving using policyholder information via EM algorithm
- A micro-level claim count model with overdispersion and reporting delays
- Claims development result in the paid-incurred chain reserving method
- Modeling the number of hidden events subject to observation delay
- Micro-level reserving for general insurance claims using a long short-term memory network
- Infinitely stochastic micro reserving
- FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Micro-level stochastic loss reserving for general insurance
- Handbook on loss reserving
- Title not available (Why is that?)
- Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida
- 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
- 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
- Paid-incurred chain reserving method with dependence modeling
- A censored copula model for micro-level claim reserving
- Individual claims reserving using activation patterns
- Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores
- COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
- Semiparametric copula models applied to the decomposition of claim amounts
- Asymptotic behaviors of stochastic reserving: aggregate versus individual models
- Collective loss reserving with two types of claims in motor third party liability insurance
- Stochastic loss reserving using individual information model with over-dispersed Poisson
- Stochastic loss reserving in discrete time: individual vs. aggregate data models
- Paid-incurred chain claims reserving method
- Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
- A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance
- A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
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