Simulation based comparison of stochastic claims reserving models in general insurance

DOI10.1556/012.2017.54.2.1364zbMATH Open1399.91037OpenAlexW2750323519MaRDI QIDQ3132943FDOQ3132943

Authors: M. Arató, László Martinek, Miklós Mályusz 

Publication date: 12 February 2018

Published in: Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1556/012.2017.54.2.1364

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zbMATH Keywords

multilevel Monte Carloprobabilistic forecastclaims reservingcomparison frameworkprobability scores

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (7)

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• The difference between LSMC and replicating portfolio in insurance liability modeling
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• Claims Reserving with a Stochastic Vector Projection
• Title not available (Why is that?)
• Sensitivity Analysis of Insurance Risk Models via Simulation
• Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation

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