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

DOI10.1016/J.INSMATHECO.2016.02.002zbMATH Open1369.91084OpenAlexW2275733424MaRDI QIDQ320254FDOQ320254

Authors: Paola Fersini, Giuseppe Melisi 

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.02.002

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zbMATH Keywords

copuladependencebest estimatechain ladderclaims reservedirect compensationmultistate model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• A contribution to modelling of IBNR claims
• Micro-level stochastic loss reserving for general insurance
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• Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving
• Individual loss reserving with the multivariate skew normal framework
• Semiparametric model for prediction of individual claim loss reserving
• Applying copula models to individual claim loss reserving methods

Cited In (3)

• A stochastic model to evaluate pricing distortions in indemnity insurance methods for MTPL insurance
• Title not available (Why is that?)
• Efficient capital management using an internal model: a case of non-life insurance

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