A marked Cox model for the number of IBNR claims: theory

From MaRDI portal
Publication:343960


DOI10.1016/j.insmatheco.2016.03.016zbMath1369.91075MaRDI QIDQ343960

Dameng Tang, X. Sheldon Lin, Andrei L. Badescu

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.016


62P05: Applications of statistics to actuarial sciences and financial mathematics


Related Items

Analysis of IBNR claims in renewal insurance models, AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL, COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE, A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION, JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING, Continuous chain-ladder with paid data, THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING, A New Class of Severity Regression Models with an Application to IBNR Prediction, Multivariate Cox Hidden Markov models with an application to operational risk, Estimating IBNR claim counts using different levels of data aggregation, Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models, A Cox model for gradually disappearing events, Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, Modeling the number of hidden events subject to observation delay, On the modelling of multivariate counts with Cox processes and dependent shot noise intensities, Statistical inference for partially observed Markov-modulated diffusion risk model, Modeling the occurrence of events subject to a reporting delay via an EM algorithm, Infinitely stochastic micro reserving, Neural networks applied to chain-ladder reserving, A micro-level claim count model with overdispersion and reporting delays, Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns



Cites Work