Asymptotic behaviors of stochastic reserving: aggregate versus individual models

DOI10.1016/J.EJOR.2015.09.039zbMATH Open1348.91292OpenAlexW1888355991MaRDI QIDQ321018FDOQ321018

Jinlong Huang, Xian Zhou, Xianyi Wu

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.039

zbMATH Keywords

asymptotic variancerisk managementaggregate data modelindividual data modelstochastic reserving

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Double chain ladder
• Stochastic claims reserving methods in insurance
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Double Chain Ladder and Bornhuetter-Ferguson
• Individual loss reserving using paid-incurred data
• Micro-level stochastic loss reserving for general insurance
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK
• Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models
• Credible Claims Reserves: the Benktander Method

Cited In (14)

• Regression based reserving models and partial information
• A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS
• Continuous chain-ladder with paid data
• Estimation of Poisson-Dirichlet parameters with monotone missing data
• Stochastic reserving using policyholder information via EM algorithm
• FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
• On the relationship between classical chain ladder and granular reserving
• SynthETIC: an individual insurance claim simulator with feature control
• Nonlinear reserving in life insurance: aggregation and mean-field approximation
• THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING
• 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
• On the calculation of prospective and retrospective reserves in non-Markov models
• A hierarchical reserving model for reported non-life insurance claims

Uses Software

• DCL

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