Asymptotic behaviors of stochastic reserving: aggregate versus individual models

DOI10.1016/J.EJOR.2015.09.039MaRDI QIDQ321018zbMATH OpenOpenAlexFDO

Authors Jinlong Huang, Xianyi Wu, Xian Zhou

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)

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Cites work

• Credible Claims Reserves: the Benktander Method
• Double Chain Ladder and Bornhuetter-Ferguson
• Double chain ladder
• Individual loss reserving using paid-incurred data
• Individual loss reserving with the multivariate skew normal framework
• Micro-level stochastic loss reserving for general insurance
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Stochastic claims reserving methods in insurance
• Stochastic loss reserving in discrete time: individual vs. aggregate data models

Cited in

(17)

• Regression based reserving models and partial information
• Continuous chain-ladder with paid data
• Estimation of Poisson-Dirichlet parameters with monotone missing data
• The impacts of individual information on loss reserving
• Stochastic reserving using policyholder information via EM algorithm
• FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
• On the relationship between classical chain ladder and granular reserving
• A collective reserving model with claim openness
• \texttt{SynthETIC}: an individual insurance claim simulator with feature control
• Nonlinear reserving in life insurance: aggregation and mean-field approximation
• An individual loss reserving model with independent reporting and settlement
• Asymptotic theory for Mack's model
• 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
• Stochastic loss reserving in discrete time: individual vs. aggregate data models
• A hierarchical reserving model for reported non-life insurance claims

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Uses Software

• DCL

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