Stochastic claims reserving methods in insurance
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Publication:2852072
zbMATH Open1273.91011MaRDI QIDQ2852072FDOQ2852072
Authors: Mario V. Wüthrich, Michael Merz 
Publication date: 7 October 2013
Recommendations
Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70)
Cited In (only showing first 100 items - show all)
- Modeling dependencies in claims reserving with GEE
- In-sample forecasting applied to reserving and mesothelioma mortality
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
- Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
- Asymptotic consistency and inconsistency of the chain ladder
- A generalized linear model with smoothing effects for claims reserving
- Recursive credibility formula for chain ladder factors and the claims development result
- A micro-level claim count model with overdispersion and reporting delays
- Claims reserving in the hierarchical generalized linear model framework
- Bayesian chain ladder models
- From ruin theory to solvency in non-life insurance
- On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
- Modeling the number of hidden events subject to observation delay
- Prediction in a mixed Poisson cluster model
- Univariate and multivariate claims reserving with generalized link ratios
- Addendum to: ``The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models
- An IBNR-RBNS insurance risk model with marked Poisson arrivals
- Chain ladder and error propagation
- A copula regression for modeling multivariate loss triangles and quantifying reserving variability
- The reserve uncertainties in the chain ladder model of Mack revisited
- Beyond the Tweedie reserving model: the collective approach to loss development
- A simulation model for calculating solvency capital requirements for non-life insurance risk
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Prediction error in the overdispersed Poisson model for loss development triangles
- COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE
- Estimation of Dirichlet process priors with monotone missing data
- Micro-level stochastic loss reserving for general insurance
- Loss prediction based on run-off triangles
- Credibility in Loss Reserving
- Uncertainty of the claims development result in the chain ladder method
- Statutory regulation of casualty insurance companies: An example from Norway with stochastic programming analysis
- A marked Cox model for the number of IBNR claims: estimation and application
- Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
- Credibility for the Chain Ladder Reserving Method
- Semiparametric model for prediction of individual claim loss reserving
- Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis
- Parameter uncertainty and reserve risk under Solvency II
- A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS
- Provisioning against borrowers default risk
- Parameter reduction in log-normal chain-ladder models
- Robust bootstrap procedures for the chain-ladder method
- \texttt{SynthETIC}: an individual insurance claim simulator with feature control
- A marked Cox model for the number of IBNR claims: theory
- Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
- Prediction error for credible claims reserves: an \(h\)-likelihood approach
- An individual loss reserving model with independent reporting and settlement
- Analysis of IBNR claims in renewal insurance models
- Stochastic claims reserving via a Bayesian spline model with random loss ratio effects
- Robust loss reserving in a log-linear model
- Asymptotic behaviors of stochastic reserving: aggregate versus individual models
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
- Individual loss reserving with the multivariate skew normal framework
- Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving
- Bifurcation of attritional and large losses in an additive IBNR environment
- Collective loss reserving with two types of claims in motor third party liability insurance
- Individual loss reserving using paid-incurred data
- Stochastic loss reserving in discrete time: individual vs. aggregate data models
- Modeling accounting year dependence in runoff triangles
- A stochastic approach to insurance cycles
- Paid-incurred chain claims reserving method
- Chain ladder method: Bayesian bootstrap versus classical bootstrap
- Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
- A Cape Cod model for the exponential dispersion family
- Combining chain-ladder claims reserving with fuzzy numbers
- Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
- Taylor approximations for model uncertainty within the Tweedie exponential dispersion family
- Predictive distributions for reserves which separate true IBNR and IBNER claims
- Implementing loss distribution approach for operational risk
- Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
- Calendar year effect modeling for claims reserving in HGLM
- Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
- An estimation of a hybrid log-Poisson regression using a quadratic optimization program for optimal loss reserving in insurance
- Collective reserving using individual claims data
- Joint model prediction and application to individual-level loss reserving
- The impacts of individual information on loss reserving
- Ratemaking in a changing environment
- Stochastic reserving using policyholder information via EM algorithm
- Modeling the occurrence of events subject to a reporting delay via an EM algorithm
- Claims development result in the paid-incurred chain reserving method
- On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company
- Micro-level reserving for general insurance claims using a long short-term memory network
- A New Class of Severity Regression Models with an Application to IBNR Prediction
- Bayesian analysis of big data in insurance predictive modeling using distributed computing
- Infinitely stochastic micro reserving
- Estimating IBNR claim counts using different levels of data aggregation
- FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
- Applying state space models to stochastic claims reserving
- Title not available (Why is that?)
- Conditional least squares and copulae in claims reserving for a single line of business
- Undertaking specific parameters under Solvency II: reduction of capital requirement or not?
- On the relationship between classical chain ladder and granular reserving
- Credibility claims reserving with stochastic diagonal effects
- The empirical Bayesian estimate of claim development factors in liability reserve model
- A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
- Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
- Claims Reserving with a Stochastic Vector Projection
- A quantitative study of chain ladder based pricing approaches for long-tail quota shares
- Risk aggregation and stochastic claims reserving in disability insurance
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